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»Forums Index »IQFeed Developer »IQFeed Developer Support »Fast market probelm
Author Topic: Fast market probelm (4 messages, Page 1 of 1)

mac
-Interested User-
Posts: 17
Joined: Apr 6, 2017


Posted: Jun 28, 2017 09:44 AM          Msg. 1 of 4
I am relatively new to IQFeed and to socket programming in general. I’m coding in .Net. I’m basically doing the same socket reads as the example code, Level1Socket. I was naive to think I could keep up with the socket, I think.

I haven’t been monitoring the Admin socket so I don’t know how often I have queued data. I happened to be trading in a fast market at 08:17 - 08:18 ET June 28 when there was significant futures movement. I only watch 5 symbols; Globex currencies Euro, Japanese Yen, Australian Dollar, E-mini Nasdaq and AAPL. Euro currency had a very fast move at this time. I log level 1 update (bid/ask) latency during a trade. I was seeing 25-35 SECOND latencies.

After seeing this, I opened the Diagnostic program for market open at 9:30 ET to see if it reported any queued data. It showed none.

My machine clock is managed by a windows port of ntp.org software, so it is quite accurate (always within a few milliseconds of ntp time).

Is it possible for IQFeed to see if there were an abnormal amount of prints in this period relative to market open. I recorded around 6000 prints in the 08:18:00-08:18:59 minute for Euro Currency Sept 2017 (100 per second).

Unfortunately, having never seen this before, I didn’t spend too much effort optimizing my software. Every print, regardless of the product, fires an event with 5 subscribing class instances, one subscription per product. In the even handler, I check to see if the event args match the product I’m interest in. Maybe a better approach would be to open 5 different sockets, one per product. This could expand to 15 or 20 products in the future but not 100’s. This way I could read from the back of the socket? If a print is old, just throw it out. I just want the most recent info. If I had one socket per product, I could just grab the last update and throw the rest away. Also, this would enable me to fire an event with only one subscriber.

Also unfortunate, I don’t know where the bottleneck is.

Any thoughts?

MAC

mac
-Interested User-
Posts: 17
Joined: Apr 6, 2017


Posted: Jun 28, 2017 10:43 AM          Msg. 2 of 4
I should note, the numbers quoted above (100 prints per second) were filtered prints. These were only logged if Bid or Ask price changed. I was not logging changes in size at the same price. It is likely much higher than 100 per second.

That said, I'm running a test right now that shows no latency issues with similar filtering. I'm getting fewer price changes since there isn't a fast market but only on the order of 30%-50%. I'm sampling every 10 seconds and see around 30-50 bid/ask price changes per second for ECU7. I am however subscribed to all 5 products. Average latencies are normal at around 75 milliseconds.

It's starting to look like my app can handle the throughput.

Any reported problems at IQFeed this morning?

MAC

mac
-Interested User-
Posts: 17
Joined: Apr 6, 2017


Posted: Jun 28, 2017 11:25 AM          Msg. 3 of 4
OK, my bad. I see 61,000 prints in the 8:17 minute.

That said, should a C# program be able to handle 1000+ prints per second? Is it possible?

MAC

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Jun 28, 2017 11:35 AM          Msg. 4 of 4
Many people watch 1800 symbols without issue, so it is certainly doable. So don't worry, we can get this.

Are you printing messages to a console somewhere? If so, that is the first thing that will have to go. Other things include inserting or writing on each update, build a 1000 or so messages before doing a batch insert. Basically, anything that happens between read of the socket 1 and read of the socket 2 needs to be looked at and considered. If there is any heavy processing happening between those, you would want to move that to a separate thread.

If you have more specific questions you can also reach me at the email listed at the bottom of this page, https://www.iqfeed.net/dev/main.cfm

Tim
 

 

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