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Date/Time: Thu, 19 Sep 2024 00:54:58 +0000

Post From: Backtest results are radically different from live trading results

[2022-03-17 00:03:49] Link To Thread - Link To Post [Go To First Post]
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SC's Denali feed seems to be limited to 20ms snapshots with the Remote buffer delay setting, which will increase the delay mentioned above. I should have actually linked to the SC docs discussing the Remote Buffer Delay setting: Prices / Data Falling Behind: 4.12 - Sierra Chart Exchange Data Feeds According to that you can set it at 10ms (rather than 20ms). So the worst case is 10ms Remote Buffer + 10 ms Chart Update == 20 ms. Of course, on average the data feed delay is precisely half of the worst case delay. Perhaps that idea is intuitive but I'll explain just in case. The best case would be that a market data update arrives at the Denali server from the CME a microsecond before Denali sends a 10 ms snapshot, and also that the snapshot arrives at the SC platform a microsecond before a chart update interval. In that case the SC portion of the delay for that particular market data update is effectively 0 ms. The worst case is what we're describing above where a market data update arrives at the Denali server a microsecond after the last 10 ms snapshot was sent, so it has to wait till the next one, and the snapshot arrives at the SC platform a microsecond after the last chart update interval, so it has to wait till the next one. Then the combined delay is 20 ms. Thus, on average ticks will have a delay in between 0ms - 20ms which equals 10 ms.