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I find the same issue on ES when volume rises above 1.8mil when it hits 2 mil..the lag begins.....I do not trade going into the close either...volatile....from 2:30 to 3pm, which is best to avoid in mho.
I have the best hardware, its NT who cant handle it.
A final comment. The problem is NT. Simply put, IMO, a poor quality platform. Solid programming does not crash, lock up, need to clean the data base, etc. From Italy, in a small town, with mediocre internet and a ping of 70-120, I have not had a single issue with Sierra since I left NT for Sierra Charts. Perfectly stable, always. Why the latency is no long a problem, I have no idea. All I know is that now I am focused on trading, not platform issues..for something like $23/mo. Switched brokers at the same time to Edgeclear from AMP. I feel like a hunting dog that has found his bed. This is where I will be as long as I trade. I trade NQ and you can't trade it without a solid platform.
Had the same thing happen yesterday after 3:00 PM to close Had several trades that wont close even hitting the flatten key. Ran a speed test on computer so I cleared out cache, tick,min, day and it seemed to work ok last night . John and everything was fine
Apologies in advance if there are no silver bullets.
In 1995 I had that lag problem and installed a T-Port Card and solved it. The lag was debilitating.
With the LAN card it just went away and charting flowed along 100x faster at least. The T-Port
had 1K of onboard RAM vs 1 byte on the native LAN port that came with the computer.
Given your lag I think it correct to look for a bottleneck of some kind. That need not be all
there is to it.
Today, 90% of all trades are by algo bots. The microsoft.net time unit is 10 nanoseconds
or 0.010 microseconds or 0.000010 milliseconds. Human discernment time is about 1/100
of a sec 10/1000 sec or 10 milliseconds. So Win 10 can time and execute 1,000,000 operations
for each time a human can perceive a difference. In principle at least your CPU can execute
1 million trades for each one of yours. With a million traders all using a breakout equivalent
system at nearly the same price levels a jump of price can trigger a million trades all at once.
The CME bundles the tics and associated prices before transmission into the datastream
to subscribers. Possibly the bundle that hits our cpu instantly has to be unpacked and
contains a large price range in a single burst. System traders use co-located order routers
to the CME mainframe connected via fiber optic cable , a $99.00 per month service.
This supports vast bunching of trades in the packets and a sort of time compression.
1 sec of time could house 100 trades or 10,000 or a million. It is not economically
efficient for a system scaled to handle normal flows to be upscaled to handle flash floods
10^6 times normal. There are going to be cost / benefit conflicts that the end
user (us) are on the wrong side of. CME is likely not the only ones packetizing the
data flow in a unpublished manner before it gets to us.
Chances are only 1 cpu is tasked with unpacking one packet so multiple cpus won't help
as they won't be used and probably can't be as the unpacking is a strictly sequential task.
( Ok , on a mainframe you would unpack from the front and the back but it takes a mindset
like Sierra Charts' to do this on a pc.)
Fast market conditions used to be announced by your broker but things have changed.
In a recent LBR seminar Linda mentioned a friend still working at a market maker whose
sole job function is to turn off the market making algo computer. The market makers
just back out , rather instantly to preserve their capital. This results in a "spinning" market
like a spinning flywheel with the load suddenly removed or your car engine if you shift
into neutral still giving it gas. On the ES DOM instead of 100 to 150 contracts per tick
you see 10 , 12 or 19 and instead of trades at each tick price jumps several ticks at a time
to wherever the nearest opposite order appears to pair off with. The market makers
that would provide a buffer to price jumping are out , gone, absent. Price jumps all
over the place triggering more new stops that amplify the choppy moves.
It is likely worthwhile to study patterns leading up this fast market condition and get
out early or place exit orders to take advantage of the range expansion. When you get
your order in early you are 1st in que. When getting into a blowoff or washout regime
you can change up from trailing stop to target exit maybe OCO bracket on the
order router at the brokerage if using Sierra Charts. With outer Bollinger Bands
or Keltner Channels or a simple moving average and an arithmetic addon amount
you can get a figure for an exit price for the limit order very quickly. I keep and hourly
chart with a stretch indicator which helps get a figure fast. Lines can work better
and be a more correct formulation but I can have my new orders in place in the
time it takes to draw the line.
No amount of clever order placement will replace a nice one tick to the next price
progression , 3 minutes at each new price level and what you see is what you get
order execution. In 1987 Marty Zweig waited 3 weeks for the market to settle before
cashing in his deep in the money put options. I'm standing aside some and using a
lot of limit orders and changing trailing stops to target exits late in moves and
sometimes holding my breath for retests. Also MES has some real liquidity
problems from time to time usually confined to about 4 or 5 tick jumps but not
always. Slippage can be huge on market or stop orders that become market
orders when triggered. Obviously no market making at each tick or point sometimes.
A few years ago using unirenko charts and NT8 there would be some lags when
a half page of chart would print at once , just in the time it takes to snap your
finger. Also some 3rd party software was involved which increased the speed
of memory leaks such that I ran through 28Gig (of the 32 total) and had only
the swap memory on the harddrive that Microsoft insists on using and the
system would freeze or bluescreen. I routinely restarted the system at 1pm CT
in preparation for the last hour. The unirenko charts bar color changes work
off an algorithm like point and figure charts so that price has actually moved
several ticks beyond the turn point before the 1st new trend bar is painted.
This is quite different from time based or volume based candles and has to
introduce some lag. In the MES , the lack of depth on the DOM can then
support a lot of price jump if at that time an arb program to ES proper
triggers in size. 100 lot ES is going to be 1000 lot MES.
In the precursor computer to the NT8 above, using NT7 the tick data stream
essentially burned out a Samsung SSD due to large numbers of overwrites
and produced a big lag problem. I used the Magician software to change
the write size to 1K from 1 byte and that rejuvinated the drive and the
awful lag went away as well. The Microsoft forced use of a swapfile in
all Windows versions is a potential liability.
Ultimately I gave up on NT8 as did my NT7 programmer and reworked my
systems for more rugged and less in need of user maintenance and repair
time based charts. Pre 2000 , I used Tradestation until they became more
interested in brokerage than software. (hint hint...) I suspect vendors who
have taken that path are working frantically on their next iphone app which
doesn't leave any resources for pc software improvement or even just
regaining lost functionality.
Many thanks to the Sierra Charts users who posted. That looks like a better
tool with which to confront the devolution of US markets.
The higher the volatility the lag in NT8 charts will be larger. I use both TradeStation 10 for charts and NT8 for dome and charts. There is hardly any lag with TS 10 platform. When price in NT8 charts are aligned with the TS 10 charts then I will place trades otherwise I won?t place any trades.
The more I read ,the more I see what I don't know about NT8.
You would think when you pay for a premium product that all the optimization should already be done for you.
I appreciate Chipwitch , the Lady From Tennessee. She seems to have a lot of knowledge about NT8.
Ha! Let me dispel THAT notion! I had never even seen the program until about 2 months ago. I know very little about it. But since I work with it for 10 hours or more a day, I've picked up on some of it. Necessity is the mother of invention... and learning new stuff.
