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Direct MessagesDate/Time: Thu, 19 Sep 2024 01:24:00 +0000
Post From: Backtest results are radically different from live trading results
| [2022-03-19 19:56:03] |
| 1+1=10 - Posts: 270 |
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Hi Luigi, Have you guys experimented with other feeds than denali regarding measurable delays?
I personally haven't. Although I was attempting to find a short-term edge a few months ago I actually moved to a long term swing trading approach on futures spreads using seasonality, the law of one price, commitment of traders and new reports. Perhaps the other commentators have? SC is great for quite a few things: 1. idea generation 2. backtesting 3. getting historical data 4. live trading with latencies above 30 ms 5. a wonderful api to help in all the previous tasks But, SC's engineers were not targeting the extremely low latency automated trading use-case. If you want to go as low latency as possible with a round-trip time around 1.5-2 millis!, the most cost-effective solution is the following two steps: 1. Use Rithmic API ($20-$100/m) for data feed and order routing: --- https://edgeclear.com/rithmic/ && https://optimusfutures.com/Rithmic-API.php 2. Run your algorithm from Rithmic's VPS ($99/m) located in the same server rack! as their data feed/order routing server (located in the same building as the CME's exchange servers -- the CME's Aurora, Illinois building: --- https://www.theomne.net/virtual-private-servers/ Regarding speed of Rithmic see: 1. 3rd party trader explaining he gets 1-2 millis with Rithmic -- he was actually asking about going even faster!: 2. Rithmic support explaining their 1.5 milli latency: https://community.optimusfutures.com/t/how-fast-are-the-various-rithmic-configuration-options/2342 Want to go faster? Say less than <0.3ms: 1. Trading Technologies: $400/m + per contract fee w/ $2,000 cap -- https://www.tradingtechnologies.com/resources/pricing/ 2. Rithmic's Diamond API: $1000/m -- https://www.ampclearing.com/rdiamondapi.html 3. CQG has a product which is like $1200/m but I can't find the link. Hopefully this helps. |