Apologize for opening a new thread, maybe the answer to my question is nested somewhere in the forum but I was not able to find it.
How REALLY important is for a DISCRETIONARY trader the latency of the datafeed (including orderflow traders)?
Is it a decisive factor only for algorithmic trading?
Can you help answer these questions from other members on futures io?
Unless you're trading from the Moon (1.3 seconds latency) or Mars (4 to 21 minutes latency) it won't matter much in your case.
The human reaction time alone is around 250 ms.
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So when I read in various telegram chat a lot of orderflow traders saying that they need their data feed accurate to the millisecond, these guys are basically showing off?
If the information they get from their orderflow become inaccurate with wrong timestamps/aggregated data then why not, but the human response time will be in seconds anyway.
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normally when one goes for Orderflow it is a very short term oriented style of trading based on quick action taken. This is my assumption...
try several software packages in combination with different data feeds.
There is a visible difference
....also depending on your country and location of the market´s datacenter...
I am located in Europe.
When using IQFeed on the DOM it is visibly slower than RIthmic or TT.
And when trading an US market, I am behind.
Especially at busy internet hours and/or there is pretty busy market activity.
When you now leave 1-2 tick, or even more, every time on the table this, of course, adds up...especially with the rising number of contracts you trade
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Hmm, I don't see how it's possible: in the worst case IQFeed will be 30ms or so slower than Rithmic/TT, an human eye/brain can't easily detect it. Unless you're not human?
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Yeah besides that, it's not obvious if it's IQFeed or TT/Rithmic that's "wrong" in this case since neither is a universal reference for "correct data". Both of them could be wrong.
The "cheapest" way you can tell is to use CME Direct, which is actually a pretty amazing options trading platform with awesome data for its low price that I'd recommend for anything 1 trade per hour and slower, but even CME Direct has network delay.
If @asyx really wants to know which one is wrong, he/she will need some pretty sophisticated infrastructure or a clever placement algorithm paired with Firmsoft.
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In first person shooter games I often monitor my latency and I know how many milliseconds is too much to be accurate and competitive. It is probably less pronounced in gaming than it would be for trading due to predictive algorithms they use to attempt to sync the gameplay of people with varying latencies as much as possible.
So for gaming (shooters specifically):
40ms and less - i can't detect lag
70ms - I detect minor lag
>100ms - lag is annoying but I can deal with it
>150ms - big delay, can't play competitively
If you are watching the DOM update in real time to time your trades and your finger is always on the trigger, I would be concerned about latency. If you are trading news, I would be concerned. If a 2 second delay doesn't change anything for your entries, then who cares.
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Please read all my above written sentences closely again because...
I was absolutely not talking about one data feed being "wrong" and another being "right".
Last few years I compared data feeds, DOM`s and combinations ...of course also next to next.
I accumulated 1000´s of hours starring at DOM´s...
I do not know on what you base your opinion but it seems more to be of pure technical (half knowledge) nature.
It is not about theoretical physics where an electron needs a specific time to travel a specific way and the human eye processing data faster or slower compared to that in a theoretical worldor something like you indicate...
See:
In the real world when data travels from Europe to the USA and back there could somewhere be a bottleneck.
When TT is using a dedicated infrastructure but Tradovate using an Amazon server there could be a bottleneck.
If IQfeed is transmitting every tick for bid and ask and trade and all the changes per level of depth there could be a bottleneck...
When your software does a lot of calculation or your actual software setting, be it by the software of its own or the volume of data it receives, there ...yeah you know...
And then, of course, there could be several bottlenecks at the same time.
So again. I do not say that the one data feed is always several seconds behind another feed or wrong.
In slow markets or market periods, there is no issue.
If your edge is anyway that huge -no issue.
If your trading style is not performance orientated - no issue.
If you are not a nickel nurser like me - no issue.
Perhaps there are more reasons but I am more in the mood for coffee now...
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aaaaaahh, let´s wait a little bit more time.
When you realize after 1-2 years that your strategy is only netting on average 3-6 ticks perhaps you start to think different.
Everything else would be unbearable for me as it meant I am wrong.
What´s more important, is to learn the right instrument in regard to your target style of trading.
You mentioned orderflow. So I assumed that this is part of your strategy or you even rely heavily on that.
In the ZN intention is easier to read than in NQ.
...and if one trades 10-year treasury futures it's much more than only orderflow.
I do not understand why this answer was chosen as the "original question" as it is obvious that people have no clue...
Be it people posting or moderators...
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was just replying to >> DISCRETIONARY trader the latency of the datafeed (including orderflow traders)?
its a BIG ZERO, there is 0 difference in data feed latency but thats just mho. retail feeds always have latency.
latency to orderflow traders is also 0. it just depends the type of order flow trader u r
If we are honest, everything, in the end, is order flow.
Nonetheless, most people would define order flow as a very short time period.
If one now trades on a higher time frame and aim for bigger profits than some ticks back and forth and some 100 contracts back and for play no role. And if a trader goes for a several day swing 10th of thousand of contracts play no role but Sentiment. And the longer the time period the more Fundamental are of importance.
What I reject is the arbitrary number you stated as it is no hard truth.
I assume, and I could be wrong on that, that your answer was chosen as the "answer to the original question" only under the premise that the longer/bigger your timeframe is, the less important is latency. Of course, that is true. If you trade the daily chart how who would care about 2 seconds or 10 seconds or even a minute. The targets and stop losses generally are much further away than the price could move in such a short period.
But if we talk about what most people understand about order flow trading or really short-term trading, then 1-2 ticks are of importance.
I am long enough in this business. I know what strategies/systems really yield after commissions etc.
And even if you are a super talent and bang out thousands fo $ every day: If you trade 100 contracts and lose only 1 tick that are 1000 bucks in Crude. Lots of people on earth do not have this for vacation or even for daily live.
Every other company tries to optimize its processes in every way.
That´s why I am of the opinion that a statement like "...don´t care about delay..." is in the wrong place. When you trade for profits, that is hard core business. Inefficiencies are not that huge. It is like competitive sports. In athletics, how do day count? Hours or minutes?!
IS FINE....MOST WHO DO ORDEFLOW WILL THINK OF LATEMCY AND OR TICKS.....HOWEVER ITS JUST TAPE READING....AND THE ART IS TO KNOW....WHEN PEOPLE ARE SROPPED OR WHERE THE bIG LIMITS ARE....HENCE WHY LIVERMOORE WATCHED TAPE THOSE DAYS AND DID NOT HAVE ACCESS TO THE dom OR MANY ORDERFLOW TOOLS AVAILABLE AAS TODAY. WAS HE BOTHERED ABOUT LATENCY....WHEN LOOKING AT TAPE IN NEXT DAYS NEWSPAPER?....IN THAT LIES YR ANSWER
HOWEVER WE TALKINGF TRADING. IN TRADING U SHOULD NOT BELIEVE TILL U SEE O EXPERIENE. MY EXPERIENCE TELLS ME THAT LATENCY IS NOT SO MUCH OF A CONCERN....BUT OFCOURSE IS....FUING FLADH CRASH IF U STUDIED SOME OF THE ASTTES...THEY SHOWED MARKET WENT UP BEFORE RETAIL TAPE....SO LATNCY MATTERS....
I MAINLY SWING....SO IT DOESNTT MATTER TO ME....N I DONT LOOK AT TICKS....I AM LOOKING AT LEVELS AND ORDERFFLOW AROUNF THOSE LEVELS....AT THAT TIME...I AM LOOKING AT NEXT DAYS TRADING AND AT TIMES NOT THE IMMEDIAT FEW MINS OR HOURS....IN PANIC....MY TRADES ARE BASED OF FRIDAY LEVELS....SO AS IN EUPHORIA....SO LATANCY AS U CAN SEE....IF IRRELEVANT.
MY CURRENT LEVELS....N WAT I WIILL WATCH,,,,,I AM LOOKING AT OVERALL MRKT...NYSE...NASDAQ...RUSSELLL,,,,FROM A BREADTH AND ORDEFLOE PERSPECTIVE...LATENCY IS AGAIN IRREELEVANRT.,,,,MY TRADES COME DUE TO SPY CONSTITUENTS..SUCH A S WHAT HAPPENED ON QQQ....SPY...AAAPL....I CARE 2 HOOTS ON JUST WHAT es OR NQ DID....OR IS DOING.....
ON TWTR MY LEVELS R POSTED MUCH BEFORE.,.,,I DOBNT DO THAT HERE?.....R WE WRONG...N HOW MANY TIMES
ES NNQ LVLS ALONGWITH OHLC ON A 360MIN CHART ....WILL BE WATCHED,,,,,ORDERFLOW WITH EXACT VPIN CHARACTERISTICS WILL BE WATCHED;;;;;;I PUT MORE EMPHASIS ON VPIN...THAN CURRENT ORDERFLOW...MOST HAVENT HEARD OF VPIN...OT HAS NO CLUE HOW TO GET OR CALCULATE IT????...
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ORDERFLOW IS ALWAYS WATCHED...NOT WITH 1 TOOL...BUT ALL GOOD TOOLS AVAILAVLE...AN EXAMPLE...FLOW CANNOT ESCAPE US...YES IFI WANTED TICKS.....BUT I DONT....THEN LATENCY MATTERS/
I TOO WANTED 2 TRY AND EXPLAIN TO U MY VIEW...HENCE TOO MANY POSTS....NOT SURE WHY KEYBOARD ONLY DOING CAPS...NEED 3 CHANGE IT....NOT BEING RUDE WITH CAPS...BTW
ALSO OF IS DIRECT ON CHART....BUT T MAIN THING AM WATCHING IS LIMITS IN ORDERFLOW....NOT HOW FAST OF I
S....HOW FAST MAINLY IS FOR TURN POINTS.....WHEN THEY PULL THEIR BIDS OR STACK THEM IN FAST MOVING MRKTS
Thanks for the dialogue. I appreaciate. Honestly. not meant sarcastic.
What should I look for in your charts specificaly?
You seem to want to illustrate something/ make clear.
VWAP - several periods based, OHLC, POC and other stuff a lot of people have on their charts when you look at other journals. Nothing special about that. Actually I take a lot of trades at such levels, but for the very short term.
Nice that you twitter...I have a profitable strategy with C2 and several profitable with Wikifolio. Does that proof I am right and your are wrong? Or you are right and I am wrong?...
Nevertheless, some things you write here and in other posts make a lot of sense.
In more things I have the same opinion like you than a different one.
I am always eager to learn. Please give me more! Again I mean this honestly.
big boyz n gurlz work on volumt time.. so do quants...i just like to be aligned,
pace of taore,,,...etc...all lends its concepts from volume time buckets,,,,,i dont look att just charts with time...i always look at them incontext of volume...hence vpin is my stay
read about vpin,,,,,ther r schools of thoughts who like vpin n some do not...u know mt virews,,,,as time n again vpin has bbeen my stay for large kicazz << excuse french moves
a link to Pat dittmars work...he was one of my mentors...due to him i understood the mrkts
culd u throw in some charts to show how it worked for you...n is this from "Paul.who is the developer????...am chking is this is his code...since not many have cracked pot or vpin
thnx for the code...i loaded it.....but if its someone elses work....hope u had permission to post....i have orig source codes for tons of stuff peeps can sell for a ton..........but dp not share even charts as its unfair to the developer
It only works on a tick or volume chart. I found the indicator in a thread here or in Ninjatrader forum, now I don't remember well. I have to recall where. I set it in a way that suits me me. Now I'm at work, away from home. I'll post a couple of screenshot asap.
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Once I was looking at VPIN also. Already some time ago. So I do not remember probably.
However, this Ernest Chan, or what is name is, he also wrote somewhere, that from his experience and others he talked to it is not clear that VPIN has real advantage when accounting for trading cost. He means, VPIN has some predictive advantage in the very short-term but one could not take the advantage of that very short periode as spread and other trading cost are to big compared to that.
Thats why I ask, why things make more complicated than neccessary?
In one of the most read threads here on the forum, a guy only trading Crude even was only looking for exceptional volume and such stuff on the 1minute chart.
But if you tell me that it really gave you significant better results, and you base your decision on thoroughly analysis and not only on some assumptions, I would research it again.
The issue is not really whether I can react faster than 200ms or not. Can I see something and translate that to an action in under 50ms? No, no one can. I'm not trying to catch the low tick -- markets run, and I'm happy to join a market that's already run. When I watch the ladder, I become in tune with the flow and momentum of the market. Seeing how the orders are executed is very important to me personally. Sierra has a setting for refresh rate. Setting it to 50ms (a max refresh of 20 updates per second) is quite different from 10ms (100 updates per second). So the issue is not order entry, but rather having a more accurate view of the actual order flow.
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yes..spy constituents...aapl is a big part...so i look at etfs....spy....qqq n aapl for sure
sells take 2-3 weeks from selling.....buys r immediate...last ....they had sold mrkt 7/11....futures fell 8/1???...get the correlation n u may be ahead
The following user says Thank You to paps for this post:
aaaaaahh, let´s wait a little bit more time.
