Support Board
Date/Time: Sun, 24 Nov 2024 05:46:07 +0000
high-frequency trading, Chart update interval, and ACSIL trading system
View Count: 2086
| [2021-09-17 00:47:41] |
| User133994 - Posts: 80 |
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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 |
| [2021-09-21 15:39:36] |
| Sierra_Chart Engineering - Posts: 17154 |
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Yes this is possible. You would want to lower the Chart Update Interval for the chart: Chart Settings: Chart Update Interval in Milliseconds (Chart >> Chart Settings >> Display >> Chart Update Interval menu) You would want to use a 10 ms update interval. And use a fast computer and have a dedicated instance of Sierra Chart for this purpose, with only one or two charts open with only the studies that are needed on the chart. And you would definitely want to use a dedicated server, located in Chicago and using the Sierra Chart order routing service: Sierra Chart / Trading Technologies Futures Order Routing Service which soon in October will be changed to direct CME routing. 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, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2021-09-21 15:40:05
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| [2021-09-22 18:03:51] |
| User133994 - Posts: 80 |
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Excellent. Is there anyone with experience doing this that you can connect me with? I really appreciate your response and the idea--it sounds solid. I wonder if anyone has had success implementing the above idea successfully. Where "successfully" means the trades actually got executed inside the 100 ms window with all the associated open, fill, modify, cancel, exit functions working within the same small timeframe. I'm not asking for someone who is successful financially...just someone who can with confidence demonstrate the capability and vouch for the expected low-latency performance with the SC platform. Thanks again for your help. |
| [2021-12-04 15:28:09] |
| Infinite - Posts: 134 |
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I am in Oklahoma. Round trip ping to my Chicago order server is 36ms average(In Chicago that would be 6ms or less). So 18ms after an order is sent it gets there(depending on order type and Depth of Market) SC is the fastest I have seen if used correctly. There is a CUE of trades at the exchange(CME FUTURES) the sooner you get in the sooner you get filled. Moving orders around puts you at the bottom of the CUE of trades. HFT is never done manually, all are fast programs that have ZERO emotion, etc. |
| [2024-06-21 18:36:49] |
| jsandlan - Posts: 46 |
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@User133994 I have requested the ability to direct message you. I'd love to hear about your experience doing high frequency trading on SC.
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