交易者知道期貨商的Latency??????

TrendRover · 發表於 10-3-18 22:42

API小達人開spec.給下一代下單機：
"
可以增加以下兩種時間，讓交易者知道期貨商的Latency，因為大小台就算回測可以獲利，如果沒有搭配快速的搶單，也是看的到吃不到。

"
我想開一話題：收集各家delay latency information
record send-order and order-filled的時間,
如此哪家delay 了單子多少便原形畢露!!

先問：誰有這樣的工具 .
我知道營業員的頭頭一定作過SWOT 那有密方的請提供一下？

綠茶妹 · 發表於 10-3-18 22:43

有趣的idea！
要有軟體監視才能算出來，版上這麼多程式高手，有人知道要怎麼做嗎？

TrendRover · 發表於 10-3-18 22:45

api的原文link :
http://www.programtrading.tw/viewtopic.php?f=10&t=179

morona · 發表於 10-3-18 22:54

知道這有什賺頭

綠茶妹 · 發表於 10-3-18 23:18

找成交快速的券商下單，例如突破點會有很多人搶，越快成交越好。

wldtw2008 · 發表於 10-3-19 01:16

收集這個資料可能沒啥用, 因為再快也快不過VIP專線吧?!
有的VIP還提供特殊快速的驗章方式, 又多快了幾百毫秒.

TrendRover · 發表於 10-3-19 05:32

回復 6# wldtw2008

其實我的問題並非VIP專線（除非這一專線也可解  IB 下單到摩台香港 USA 日本 KOREA etc的 latency ).
我也知要贏VIP 算這還不如拉VIP專線.
但至少知道瓶頸在哪,要不要拉VIP專線也有個底 ,但贏家並非靠 1 sec 2 sec 贏 ,靠半年前就佈局贏.
先一步一步了解了 automatic trading 會遇到的問題也是 COCO-in的宗旨.
W大應知大略答案 (不需太精確) 就給個譜吧 (example: 100~300ms )--------
   1.散戶環境 -----E2200~E5X00 ,10M/1M VDSL  約delay ???? ms  1000 or 2000 3000 ?
   2. Interactive broker (the same computer like above ) 約？？？？ ms ?
   3. 拉VIP專線+ i7 960 all gigabit network -------delay ??? ms ?

TrendRover · 發表於 10-3-19 05:37

幾年前是想搬到北美解掉時差,專線也是考量之列 not the important things .
但級數多大總有個普 ----用 ping 也無法知道全貌.

TrendRover · 發表於 10-3-19 05:49

IB pipe 專線的服務：
http://individuals.interactivebrokers.com/en/p.php?f=bandwidth
Direct Access means that your order is sent directly to a market center and not through another broker or market center which may slow execution of your order. Broadband connectivity means our pipes are wide so execution of your order will not be slowed by latency problems. We route directly to each exchange through either a T1 or T3 line, the two highest capacity bandwidth connections available

Asia-Pacific
CCASS/3 Fractional T1
HKFE site A primary Fractional T1
HKFE site B primary Fractional T1
HKFE site C primary Fractional T1
HKFE site D primary Fractional T1
Korea Stock Exchange (KSE)  T1
Osaka Securities Exchange (OSE.JPN)  Fractional E1
SGX via radianz Fractional T1
SEHK AMS/3 primary Fractional E1
Sydney Futures Exchange (SNFE)
E1
Tokyo Stock Exchange (TSE.JPN)
Fractional E1

特殊快速的驗章方式-----FIX protocol如下：
(我是Interactive-Brokers信徒若有更好的我也可改如 openEcry or thinkorswim ?）

IBGateway Software
The IBGateway client allows for FIX CTCI connections to IB over the Internet. It is a piece of software that acts as a bridge between your FIX engine and IB. The software can also be used in place of TWS to deliver market data, using the same protocols as the Trader Workstation APIs. In this scenario, you do not need to have TWS running to get API market data. IBGateway Software and the Users' Guide can be found by clicking the buttons at the bottom of the page. To find the Request Market Data API method click here.

Individuals and Non-Pro advisors that require CTCI integration should send a request to tac@interactivebrokers.com. Professional Advisors, Funds, Trading Groups, and Brokers requiring integration should contact their sales representative. Integration can take up to a week.

Once integration has been completed, please follow the steps in order to load the IB Gateway Software that will allow you to receive market data through our API in conjunction with your CTCI order management connection.

TrendRover · 發表於 10-3-19 05:50

IB open mind ,now what about our brokers in Taiwan ?

TrendRover · 發表於 10-3-19 05:54

我不想看到馬先生准許 IB 下單 Taiwan時台灣卷商倒光光 ,
不如現在搥一搥爭氣點活的久!!

TrendRover · 發表於 10-3-19 05:58

IBGateway Software link location :

http://www.interactivebrokers.co ... c&ib_entity=llc

TrendRover · 發表於 10-3-19 06:02

usermanual said:
It is important to note that separate accounts are required for FIX order routing and API market data requests, and the IB Gateway Login box provides two separate login areas.
There are “throughput limits” at the gateway, and the client will be warned if it exceeds the predefined limits. The limits and warnings are as follows:
• Limit: If more than 50 messages per second or 33000 bytes per second are sent…
• Warning: Initially, user defined warning messages will be sent via FIX (35=U, 58=Text String describing the warning, and 6040=34 for the first two warnings). If the “throughput limits” are exceeded a third time, the socket will be broken.

TrendRover · 發表於 10-3-19 06:05

很明顯的快市時我們的order 都被卡死 ,你能心安嗎？
"separate accounts are required for FIX order routing and API market data requests"
IB教得不錯吧！！

opengl · 發表於 10-4-6 13:01

很不錯的資訊.........

請問作scapling... 除了到當地下專線外 ...還有其他的方式嗎

目前你在IB 那邊下單搭配什麼電腦跟網路線

你的單子常常會無法成交嗎... 尤其是快市時

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交易者知道期貨商的Latency??????

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