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NT7 Order Placement Timing
Started:November 10th, 2013 (08:34 AM) by TexasTrader Views / Replies:345 / 1
Last Reply:November 12th, 2013 (06:37 PM) Attachments:0

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NT7 Order Placement Timing

Old November 10th, 2013, 08:34 AM   #1 (permalink)
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NT7 Order Placement Timing

Hello BM and other forum members.

Question on NT7 and timing - I realize NT7 has 1 sec interval for historic data, and the chart can be refreshed up to every 100ms...

However what about automated strategies - at what interval does NT7 process & send orders? Is it as fast as the data is received, or internally does NT7 push data into a 1s interval for processing and placement of orders? Is there an inherent limitation to processing speed from C#?

I realize there are latencies like internet, distance to exchange, complexity of algos in strategy, etc, however assuming co-located at exchange and fast CPU w/ simple algo... What are the NT7/C# order processing & placement timing abilities?


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Old November 12th, 2013, 06:37 PM   #2 (permalink)
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If you want to implement HFT, it's fairly safe to say, that co-location, tick update, lean implementation (pure binary code (no load-driving frameworks etc.), no unnecessary overhead during runtime, i.e. completely separate monitoring systems on separate data) and direct access to the order book are your most important (technical) bottlenecks.

Forget about tuning C# code pieces, especially if you have time-consuming stations like brokers in the game; not to mention the overhead you incur by using frameworks or standard libraries you might use. Surely, you will win some milliseconds by optimizing your own parts of the C# code, but that is bits and pieces compared to the other components.

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