Dukascopy
 
 
Wiki JStore Search Login

Average Time to fill an order on "Remote Run"
 Post subject: Average Time to fill an order on "Remote Run" Post rating: 0   New post Posted: Fri 04 Jul, 2014, 15:48 
User avatar

User rating: 2
Joined: Tue 16 Aug, 2011, 19:01
Posts: 70
Location: ItalyItaly
Hi Support,
I'd like to know what is the Average Time to fill an order if a Jforex Strategy runs in "Remote Run" mode (that is on Dukascopy server).

Thanks for reply.

Best regards,
Frank


 
 Post subject: Re: Average Time to fill an order on "Remote Run" Post rating: 0   New post Posted: Fri 04 Jul, 2014, 16:44 
User avatar

User rating: 98
Joined: Mon 23 Jul, 2012, 02:02
Posts: 656
Location: United States, Durham, NC
You need to be a bit more precise. Do you mean, say, the time
between submission of a new Market order, and its Execution, or
its onMessage notification?

Remote Server is a very "special" environment in which your code
does not run in its own dedicated process. In the past there have
been "overload" issues associated with Remote Server, and one
major improvement that was made is that Strategies no longer
automatically subscribe to all/many instruments, but are required
to explicitly subscribe to their instruments.

This removed the old "default" situation in which a huge number of
onTick or onBar messages were dispatched to code which had
no real interest in them.

You should measure your own latencies from Submission to the
receipt of an onMessage indicating a fill, and that will give you
an idea what is going on.

In the past, I measured the Timestamps on onTick messages against
the System Clock of Remote Server. These issues have been resolved,
but I found huge delays in message processing in the Minutes or even
near 10 minutes.

This situation was immediately dealt with by Dukascopy, but keep
in mind that Remote Server is an "uncontrolled" environment in which
the loadings depend upon both how many Strategies are running,
and just how much processing each Strategy module requires.

Live Remote is likely to be better / more stable than Demo Remote
would be, for obvious reasons. But you should do your own
Performance Monitoring, if you feel there may be an issue and then
you can report it to improve the environment.

For myself, I no longer use Remote Server for "latency sensitive"
processing. You may get your own VPS or Dedicated server if
performance is critical for you. One highly recommended provider
of servers is HostEurope.ch but you'll have to sharpen up your
Linux skills !!! There are other benefits, which are not relevant
here, including socket access and other processing which is
not permitted on Remote Server.

Just a few things to think about...

HyperScalper


 
 Post subject: Re: Average Time to fill an order on "Remote Run" Post rating: 0   New post Posted: Fri 04 Jul, 2014, 18:33 
User avatar

User rating: 2
Joined: Tue 16 Aug, 2011, 19:01
Posts: 70
Location: ItalyItaly
Hi hyperscalper,
I meant the time between Create State and Filled State of an order.

Thank for your reply.

Regards,
Frank


 
 Post subject: Re: Average Time to fill an order on "Remote Run" Post rating: 0   New post Posted: Fri 04 Jul, 2014, 20:45 
User avatar

User rating: 98
Joined: Mon 23 Jul, 2012, 02:02
Posts: 656
Location: United States, Durham, NC
Again, you'll have to measure it yourself but it's pretty fast
and depends on the order type.

Of course, you are assuming the Order is at a "marketable"
price so the filling should be immediate.

Off the top of my head...
A limit order (PLACE_BID or PLACE_OFFER) goes from state
CREATED, to OPENED, and eventually perhaps to FILLED
(if it's marketable)

If it's immediately marketable, then I'd guess times are
typically <500 msecs or so... but that is entirely load-dependent
as far as when you receive the messages, etc. Also it depends
upon whether you are using Demo or Live. Again, this is not
an environment which offers you a dedicated process.

From our high performance dedicated server, those times
measure <20 msecs or so.... order processing is very
quick considering this is only retail trading.

Are you concerned that this is taking too long for you?

HyperScalper


 
 Post subject: Re: Average Time to fill an order on "Remote Run" Post rating: 0   New post Posted: Sat 05 Jul, 2014, 11:29 
User avatar

User rating: 2
Joined: Tue 16 Aug, 2011, 19:01
Posts: 70
Location: ItalyItaly
Quote:
Are you concerned that this is taking too long for you?


I'm investigating some Renko bar strategies, and on fast market and on small Renko brick some bars are made in about 3 to 5 millisec.

Regards,
Frank


 
 Post subject: Re: Average Time to fill an order on "Remote Run" Post rating: 0   New post Posted: Tue 19 Aug, 2014, 05:14 
User avatar

User rating: 98
Joined: Mon 23 Jul, 2012, 02:02
Posts: 656
Location: United States, Durham, NC
Frank_ wrote:
Quote:
Are you concerned that this is taking too long for you?


I'm investigating some Renko bar strategies, and on fast market and on small Renko brick some bars are made in about 3 to 5 millisec.

Regards,
Frank


OK, well you ain't gonna get near that performance consistently on Remote Server.
Plus high performance coding techniques would be necessary, so what is it that
you are trying to do ... ?

Spend $60+/ month and get a real dedicated server, hire a programmer to
give you a "strategy driver" standalone framework, plus code up the strategy
for you for high performance, and then you might get that kind of performance.

HyperScalper


 

Jump to:  

cron
  © 1998-2024 Dukascopy® Bank SA
On-line Currency forex trading with Swiss Forex Broker - ECN Forex Brokerage,
Managed Forex Accounts, introducing forex brokers, Currency Forex Data Feed and News
Currency Forex Trading Platform provided on-line by Dukascopy.com