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Data Feed and Internet Connection Quality with ADSL 2+
I respectfully disagree. It depends on what type of trading your doing. If your daytrading a couple of futures symbols, then sure, ping test far outweighs bandwidth. However if your daytrading largish baskets of equities, its a completely different story. IQFeed has up to 500 tickers you can connect to with their basic service, and if you multiply that out, it's alot of data. I know because I have an extraordinarily shitty ISP, one that gets clogged up around market open, and remains like that for a few hours (I am in Europe, so it corresponds with the time my neighbours get home from work).
IQFeed lays out its data in a format similar to a database. It will display prices in their right order, so if your bandwidth sucks, and the data gets backed up, you will still see prices changing, but the prices you see may from 5, 10, or in my case, up to 20 minutes ago.
I should state that when I trade the ES or NQ on its own, I never have this problem. But if I build an equity scanner in Amibroker, or any other app, I see this backup all the time. I'm on cable, and I regularly get 10Mbit during non peak hours.
Its for these reasons I am thinking of setting up a system at a co-location in the US. That way my US server can suck all the data, and the only bandwidth issues I will have here is the amount of data required to supply a remote server connection.
I check my lag by checking the prices between IQFeed and IB. TWS does not download data, and the price you see is the latest price + ping delay only. Its by this method I have recorded delays of 20 minutes.
Something to keep in mind if you track a reasonable number of tickers, and your bandwidth is less than guaranteed.
Adrian
Can you help answer these questions from other members on NexusFi?
I am pullin the CME Group complete feed (around 250.000 symbols, sometimes near a billion updates per day) and that was topping around 2gb data. Right now for today (US time, now nearly 14:00 as I write it) we just approach 1000mb of data.
This is complete CME Group - all exchanges, all symbols. NxCore feed.
How much bandwidth/throughput are you using (kb/sec)? Because I still think bandwidth is not important. Any mediocre broadband connection these days is at least 2Mb/sec. And if someone is needing more than that, then they aren't reading this post for advice anyway --- they already know their requirements.
2GB of data over an 8 hour period = 256MB an hour = 4.2MB a minute = 70KB a second, the slowest of the absolute slow connection would be triple that at least.
My ISP is really bad at peak times, so I have had the pleasure of investigating this quite alot. The figures that I see is between 10-60MB per symbol per day, depending on the # ticks per minute. A great deal of this may shoot through in the first hour of trading - which is where I suffer the most congestion. If your looking at an instrument that has only one trade per second, it's about 10MB/per day. Something like the ES or AAPL could have a much larger multiple of ticks per minute. Extrapolating some guesstimates here:
20 MB per symbol per day (average);
30% (would that be right?) of trades in the first 2 hours;
150 symbols;
20*0.3* 150 = 900MB of download in 2 hours.
I might attach a bandwidth manager to confirm. My cable has no problems with this kind of qty, but cannot do it in a timely fashion during busy times. Sometimes I see on my IQFeed stats 100KB/sec, other times 1kb/sec. It's the inconsistency that causes the backlog.
First, this is way too much data- I process with 2-3 mbit sometimes ab out 50.000 ticks per second. Second, this really looks like the ISP just oversells? Try a bandiwdth test during peak hours.
