Support Board
Date/Time: Sun, 24 Nov 2024 07:34:58 +0000
Post From: high-frequency trading, Chart update interval, and ACSIL trading system
| [2021-09-17 00:47:41] |
| User133994 - Posts: 80 |
|
Support, Often across multiple futures contract symbols there are *OBVIOUS* times when high freq trading is occurring. Can I use Sierra Chart to get *inside* one of these high freq trading events? These events occur inside 100 milliseconds or less...so I would need to have an ACSIL trading system that would get a data update from my Sierra Chart showing obvious indications of millisecond activity occurring, be able to crunch some math via indicators on the new data just received 50 milliseconds ago (easy part), and then send a trade order 30 milliseconds later (1st hard part). Then, 50 milliseconds later [or less], I'll likely need to modify my limit order (via ACSIL)--and move it further up the chart based on new updates due to the high freq trading. (2nd hard part) And then, depending on the duration of the high freq trading event I might need to repeat this modification of the limit order 2 more times (50 milliseconds apart [or less]) before it finally gets filled. All of this activity taking place in 1 second or less.... Is that possible? Perhaps my internet connection won't support those speeds (what is minimum required connection speed--I'm running SC on a local machine in GA over ethernet via coax cable internet)? Do I need to set the chart update interval to 10 ms to ensure that the loaded ASCIL Trading System gets the *fastest* possible data updates/calculations done so that I can get in the middle of the high freq trading that is ongoing in the market? Yes, I have read your documentation that SC isn't a high freq trading program...what is the *acceptable* performance that I should expect in the above scenario for SC? Here is the document that I read from your support docs that doesn't quite answer the question: General Settings Window: Chart Update Interval (Global Settings >> General Settings >> General >> Update Intervals) I also found in these forums that the DTC protocol (https://www.sierrachart.com/index.php?page=doc/DTCMessageDocumentation.php#top) might be able to help in the above scenario--however, I am only interested in your answer to SC performance when only using ACSIL and existing framework--not from using an external program via the DTC protocol. Unless you recommend another program that can do what SC does using the DTC protocol at very high speeds... Thanks in advance for your help. v |