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Date/Time: Thu, 02 May 2024 17:43:34 +0000

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Post From: Sub-instance vs standalone folder installation

[2024-02-15 20:24:35] Link To Thread - Link To Post [Go To First Post]
joshtrader - Posts: 439
Please post your conclusions here, it's always good to keep up. After running scenarios for the first hour of trading today, my conclusions follow. Running one Rithmic instance with a single DOM vs another Denali instance shows the Rithmic feed has many more depth, and even price, changes. While this leads to a more "responsive" view of the market, unfortunately, due to so many depth and price changes, the result is that adding even one or two more symbols causes Sierra to lag in processing every update, leading to lags across all DOMs when market activity is high. The Denali feed will generally have less lag than Rithmic when using multiple symbols, but this is because it does not seem to have as many updates, or at least, Sierra does not seem to process as many. This is objective and easy to see. The Denali DOM updates inside market depth maybe 5-8 times per second max. A Rithmic DOM shows easily 15-20 updates per second. Again, the contrast is most easily observed when market activity is higher. It doesn't have to be VERY high, just not the midday lull when nothing's going on. In my tests, I saw Rithmic instance A lag compared to Rithmic instance B even with the identical windows open, when instance A had previously tracked NQ and YM. In other words, it's not necessarily the updating of the DOMs which is causing the lag, but simply processing the incoming data (using the "ST: ..." status in the main window to determine how many symbols are being tracked). Upon a disconnect and reconnect, the lag went away as both A and B instances were identical in symbols tracked and windows open (1 symbol tracked, 1 DOM open on both). So, my conclusion is that if you have a single instance with a single instrument, you can get lightning fast DOM views by setting the update interval to about 15ms (60 updates per second, faster than the monitor refresh most likely and close to the limits of what the human brain can perceive), and by adding no additional symbols for Sierra to track. Repeat: if you do add additional symbols, there is a very good chance that the data you see is delayed during times like news and market open/close, and I mean sometimes delayed by several seconds. This can be observed by putting the time in the DOM header and comparing it to a real time clock. Sometimes you will see that the last trade is several seconds behind a real time clock (you can even use sierra's real time clock study to see this easily). On the other hand, if you need to track multiple instruments in a single instance, you're better off using Denali, since Sierra is able to better process the data. I am considering three instances of Sierra: (1) Denali only, for charts; (2) Rithmic for my main ES DOM; (3) secondary login for Rithmic (extra $ per month) for YM and NQ DOMs. This spreads out the processing over 3 instances and will likely give the best result. Note that I have a gigabit, fiber internet connection with low latency and jitter. I say this to emphasize that the size of the pipe coming in is not an issue, and my gigabit NIC and cables are not either. The bottleneck seems to be the fact that a single Rithmic data feed with ES is handled well by Sierra, but a single Rithmic data feed with ES + NQ + YM is not. Next I will try the second Rithmic login to see whether ES on one and YM+NQ on the other will be suitable.