Support Board
Date/Time: Sun, 24 Nov 2024 02:30:57 +0000
SC PROXY for executing orders as fast as possible
View Count: 3870
| [2013-08-25 04:55:24] |
| fxz - Posts: 32 |
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Hi I am looking from my custom application to instruct SC to send buy sell orders to the market, I need from the tick received by my application to the order sent by SC to the dts to not exceed 5milliseconds, except my own latency and assuming the hardware is good enough is this doable with SC? What method should i use to get the fastest response? ASCIL or GSP ? SC .NET or SC non-.NET? Unmanaged Automated Trading ? in case at which frequency by SC the ACSIL study or the GSP data will be executed? The logic is i receive a signal ,i send an istruction to SC , SC sends the order to the configured dts, I tried writing a custom scid, overlayed the values on a regular dts scid and set up spreadsheet trading system but didn t work so quickly Date Time Of Last Edit: 2013-08-25 19:56:27
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| [2013-08-25 23:47:48] |
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We also received email communication from you about this. This is possible. Although it sounds like you are writing your own chart through a scid file. You will need to set up Sierra Chart to work with your Currenex account and be connected. Go to the custom chart and set Chart >> Chart Settings >> Alternate Real-Time Update Symbol to the symbol that you want to trade through Currenex. In your custom trading study use this member to cause the study function to be immediately called on market data and order updates: http://www.sierrachart.com/index.php?l=doc/doc_ACSIL_Members.html#scExternalDataImmediateStudyCall You need to use ACSIL and not Spreadsheets. However, the problem here is that sc.ExternalDataImmediateStudyCall does not cause an immediate study function call when a chart data file is externally updated. if you have your own custom data feed you will need to feed Sierra Chart data by using GSP. If you also want to trade, then that will require another connection, which can also be based on GSP. The response time will be extremely fast. In the microsecond range. Below half a millisecond. All of this is going to be possible, but it is just a matter of working out the data and trading connections which is going to require some development. Another thing we could do that would be a temporary solution would be to allow the chart update interval to be much faster than 40 ms. We could take this down to 5 ms. However, that is not really particularly efficient because it causes a lot of update messages to be sent to each chart. Although we could do it. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2013-08-25 23:48:57
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| [2013-08-26 06:17:43] |
| fxz - Posts: 32 |
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Hi thanks, actually i don t need writing my own chart through a scid file, i did it as a try just to avoid ascil and gsp development time, anyway i need just the immediate execution of the order sent to SC not the charts, if the above immediate execution is not doable with the current SC version either without my own charts, then ,as optional solution, a 5 ms SC version would help for now, in the next future maybe a superlight version of SC for HFT could be released , in this superlight version if released, i, as trader, wouldn t actually need charts, neither from the connected DTS, the goal is just to execute orders as fast as possible, so there s no need for sophisticated feauters like charts from dts,spreadsheet and so on, the trader could run a normal copy of SC with the usual refresh of 500ms ms or so just for regular features and a dedicated version of SC "SuperLight SC for HFT" which will just execute orders at "light" speed when from external applications we need this,using SC as a Proxy thanks to really many embedded DTS it has Thanks Marco Date Time Of Last Edit: 2013-08-26 08:31:20
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| [2013-08-27 02:50:25] |
| fxz - Posts: 32 |
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Hi is when using the acsil function immediate execution the bid/ask referring just to ohlc prices or either a change of the bidvol/askvol/volume or custom study will trigger the execution at refresh interval (currently every 40ms) could you kindly send me any newer/older beta version that could execute at 5 or faster? Thanks it would be nice if the Superlight SC for HFT will be released to have the option to connect to multiple dts even just for orders and to be able via acsil to choose for every new order to which dts to send the order, or to send at the same time multiple orders to multiple dts Date Time Of Last Edit: 2013-08-27 02:54:09
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| [2013-08-27 03:08:30] |
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Please allow us time to respond. This requires special review.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2013-08-29 05:32:45] |
| fxz - Posts: 32 |
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Ok, in the meantime i d need to know when ì need to send just an order using Acsil how fast is sent to the dts? immediatly or after 40ms? |
| [2013-08-29 08:26:29] |
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We will get to your other questions in a few minutes. The answer to the last question in post #6, is that it is immediate. The execution speed is extremely fast. It is in the microsecond range. Below 100 µs.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2013-08-29 10:02:06] |
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We need to understand where the order will originate from. Does it originate from an ACSIL trading system? Sierra Chart is already more than fast enough as it is to support high-frequency trading with the use of sc.OnExternalDataImmediateStudyCall: http://www.sierrachart.com/index.php?l=doc/doc_ACSIL_Members.html#scOnExternalDataImmediateStudyCall So there is no need for an HFT version. is when using the acsil function immediate execution the bid/ask referring just to ohlc prices or either a change of the bidvol/askvol/volume or custom study will trigger the execution at refresh interval (currently every 40ms) Any data that is received from the connected data service that updates the chart bar will cause an immediate call into the study function. No delay. it would be nice if the Superlight SC for HFT will be released This is very difficult to support. You have to run a separate copy of Sierra Chart to be connected to different trading services at the same time.to have the option to connect to multiple dts even just for orders and to be able via acsil to choose for every new order to which dts to send the order, or to send at the same time multiple orders to multiple dts We will support a chart update interval down to 10 ms for now. This will be in 1017. Do you want to do something like have your own custom data feed and trade through like Currenex or something? This is possible. We could create a special internal service client that uses GSP for data and trades through Currenex. This is just an example. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2013-08-29 10:02:48
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| [2013-08-29 10:17:13] |
| fxz - Posts: 32 |
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Do you want to do something like have your own custom data feed and trade through like Currenex or something? This is possible. We could create a special internal service client that uses GSP for data and trades through Currenex. This is just an example. Hi yes i have my own custom data feed and looking to trade through currenex and possibly lmax(optional), should i use acsil or gsp to send an "execute order" command to SC? If i am correct, GSP is seen by SC as a datafeeder, so using GSP i should send the data to SC then build a a trading system which would be executed every 10ms,is this correct understanding ? is the same logic using acsil? Thanks Date Time Of Last Edit: 2013-08-29 14:24:05
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| [2013-08-29 18:42:17] |
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You would use ACSIL to send the order. GSP is a communication protocol between the client and the server supporting both market data and trading. This would be used to transmit the order from the client to server. With the way we understand what you want to do, you would use GSP for market data. And then make your trading system in Sierra Chart using ACSIL. In this way, the execution would be below 1 ms. If you do this though, we then have to support the ability for you to trade with Currenex and use GSP for market data. This would have to be custom development but it is doable. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2013-08-30 06:22:12] |
| fxz - Posts: 32 |
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got it ,having a gsp "client" would be useful, about the acsil should ì set something ln loop or it s the sc process responsible to read continously from the sendbox? |
| [2013-09-02 08:33:09] |
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You only need to set this variable to TRUE: http://www.sierrachart.com/index.php?l=doc/doc_ACSIL_Members.html#scOnExternalDataImmediateStudyCall For us to create an internal Currenex client which uses GSP for market data is custom development. This would probably be about 300 USD. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2013-09-03 00:31:27] |
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So let us know if you want us to make the current internal Currenex interface in Sierra Chart to support GSP for market data. We can allocate time for that starting in a couple of weeks. Should not be much problem. What this means , you can create your own custom data feed from any source or multiple sources and trade through Currenex. The execution latency will be under one millisecond. Should be probably under 300 µs. Very fast. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2013-09-03 00:32:35
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| [2013-09-03 06:40:41] |
| fxz - Posts: 32 |
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Ok what is not really clear to me is if i can send at any time using Acsil a command to execute immedoatly (less than 1ms) an order (buy or sell at market symbol x qty y) which would be executed through the configured dts (in my case currenex) 1) also in this basic scenario should i feed SC with my market data through gsp? Why ? Thanks Marco Date Time Of Last Edit: 2013-09-03 06:44:33
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| [2013-09-03 06:51:44] |
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Yes you can have an order immediately executed in under a millisecond as long as it is in response to market data received over the GSP market data connection. For example, updated bid and ask prices or trade price received. We would assume this is most likely the case. The only method by which you can get immediate execution is to feed data into Sierra Chart using a network socket connection and not through a file. GSP uses a network socket connection. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2013-09-03 06:52:15
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