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DOM & Math

  #16 (permalink)

charlotte nc
Trading Experience: Master
Platform: ninjatrader
Broker/Data: NinjaTrader
Favorite Futures: Emini (ES, YM, NQ, ect.)
Posts: 391 since Jan 2015
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Great Question!

Hi mesuteryilmaz,

Regarding this type of data, and the speed of processing, it has several different purposes. On the one hand you are correct that there is a latency threshold.... Beyond a certain point certain bets will not work. But on the other hand, there are some bets that are not latency sensitive at all.

The purpose of this type of data structure modeling is two fold.

1. Source the raw data, synthesize it to build a complete level 3 - level 4 micro-structure fully analyzed. This part has no latency, since you are doing it after the fact for strictly analytical purposes. Here you are exploring the raw structure of the market and learning which edges truly exist by testing every type of bet possible. I urge everyone to do this step, no matter what their trading style is. The better the data set, the better and more accurate their bet - testing will be.

2. Once you have identified several bets with potential edges, you will need to analyze the time stamps of the price level changes and determine which bets you will ever have a chance of pulling off given your commission cost structure, co-location or lack-thereof, etc.

When you build your production code to run in real time, you likely will not be trying to build this type of information in real time because it will draw too much overhead and slow your execution code. So you will need to strip away the extraneous bells and whistles that are more for analytical purposes like tuning your bet, and focus on the alpha signals that you need to place your bet.

Hope this helps a little.


mesuteryilmaz View Post
Very nice. It will make a great differences if you are getting this data in every 100msec as a retail trader or colocated.
Or it doesn’t matter?
Otherwise they will be 100msec ahead of you every time let alone the latency.

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