Daylight Saving Time kicks in today in United States. If your trading computer is not set to automatically adjust for daylight saving changes, or if you have an earlier version of Microsoft Windows (2000, NT, etc.), then you need to adjust your computer clock manually and reboot the computer.
During the past 2 weeks of extreme market actions across virtually all markets (stocks, commodities, forex, bonds, etc.), we’ve notice that time lag is experienced on all real-time data services. During the extreme market actions, the time a tick arrives at NeoTicker comparing to the time of the computer clock lags from 5 seconds to 15 seconds.
Based on our observation, when such delay happens, it does not matter you are tracking 100 symbols or less, or that you are tracking 1000 symbols. It just happens. Thus the root of the issue could be one or more of the following reasons,
1. Capacity max out at the data vendor’s servers
2. Overall internet traffic is flooded
3. The specific path way your internet connection to your data services is choked with too much data
In a situation like that, we’ve found brokerages that sends only timer based updates on current quotes can keep you informed of the latest prices. That can help you better gauge the current price level on the markets you trade.
At our end, we will try to add some new features in NeoTicker to inform the users when such condition happens, so that they are better prepared.
To create your own TICK16 breadth data you can simply enable the predefined NeoBreadth definition, or, use the following setup if you are interested in generating historical data in sub-minute (e.g. 1-second resolution) level.
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To create the 3-day advance issues breadth data in NeoTicker, all you need to do is setup the definition in NeoBreadth once. Then the data collection process will be done by NeoTicker automatically.
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Based on the market actions on September 18, 2007 during the Fed meeting announcement period, which has huge amount of market activities, I am pleased to say that the new Tick Buffer Size option introduced lately works as expected.
Here is a guideline to using this new option for optimal performance,
1. If you track only a few symbols, the default setting at 20,000 works fine even in fast market environment.
2. If you track a hundred or so symbols, raise the setting to 200,000 will do.
3. If you track a thousand symbols (like me), raise the setting to 1,000,000.
From our testing, this keeps NeoTicker working with lowest possible CPU load during those hectic moments.
In normal market condition, the tick buffer is empty almost all the time. Thus, changing the setting from default to a higher value is just for the occasional situations where the market has 10 times its normal activities.
Here is an example showing the proper setting for importing trade records from XTrader.
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The Trade Simulator has the ability to import trade records from various sources. One way in utilizing this tool is to import your own trading records from your brokerage into Trade Simulator. That way you can use the System Performance Viewer to review and analyze your trading performance.
(Lawrence – NeoTicker 4.20 Build 13 or higher is required)
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After the turbulent period of June to mid-August 2007, as mentioned in the previous article, the explosive growth in real-time data has retreated some what. Here is an update about the current situation.
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The PDF version of the NeoTicker Help file is updated.
To download the file, visit our support page.
The Black Swan: The Impact of the Highly Improbable written by Nassim Nicholas Taleb is an interesting book. One of the claims in the book talks about the return of the Dow Jones Industrial Average will be cut by half if a limited number of days (the ones with biggest gain) are removed from the data series. I have created an interesting chart with variations of the idea for your enjoyment.
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