Dukascopy
 
 
Wiki JStore Search Login

Attention! Read the forum rules carefully before posting a topic.

    Submit JForex API bug reports in this forum only.
    Submit Converter issues in Converter Issues.
    Off topics are strictly forbidden.

Any topics which do not satisfy these rules will be deleted.

Tick Delayed
 Post subject: Tick Delayed Post rating: 0   New post Posted: Tue 11 Aug, 2015, 14:31 
User avatar

User rating: 0
Joined: Wed 07 Nov, 2012, 16:14
Posts: 28
EURUSD Tick was delayed at the following several time while other instrument tick was always correct, it seemed there was no network resource competition to delay tick:

Strategy is on VPS and 2 ms away from the server.

-Sample 1:
Live Trading Log: 2015.08.10 07:50:34.829 1.09676(Ask) 1.09675
History Tick:
'10.08.2015 07:50:33.919' 1.09676(Ask)
'10.08.2015 07:50:34.451' 1.09661
'10.08.2015 07:50:34.504' 1.09659
'10.08.2015 07:50:34.608' 1.09655
'10.08.2015 07:50:34.661' 1.09652
'10.08.2015 07:50:34.713' 1.09651
'10.08.2015 07:50:34.766' 1.09643
'10.08.2015 07:50:34.818' 1.09642

-Sample 2:
Live Trading Log: 2015.08.10 08:17:01.145 1.09734(Ask) 1.0973
History Tick:
'10.08.2015 08:16:48.016' 1.09734(Ask)
'10.08.2015 08:16:48.068' 1.09734
'10.08.2015 08:17:00.406' 1.09731
'10.08.2015 08:17:00.660' 1.09725
'10.08.2015 08:17:01.087' 1.09717
'10.08.2015 08:17:01.140' 1.09717

-Sample 3:
Live Trading Log: 2015.08.10 09:00:08.082 1.09648(Ask) 1.09646
History Tick:
'10.08.2015 09:00:04.233' 1.09648(Ask)
'10.08.2015 09:00:04.739' 1.09648
'10.08.2015 09:00:07.463' 1.09659
'10.08.2015 09:00:07.515' 1.09661
'10.08.2015 09:00:07.719' 1.09663
'10.08.2015 09:00:07.822' 1.09666
'10.08.2015 09:00:07.873' 1.09665
'10.08.2015 09:00:08.026' 1.09663

-Sample 4:
Live Trading Log: 2015.08.10 09:59:30.750 1.09445(Ask) 1.09442
History Tick:
'10.08.2015 09:59:27.932' 1.09445(Ask)
'10.08.2015 09:59:29.233' 1.09445
'10.08.2015 09:59:30.390' 1.09445
'10.08.2015 09:59:30.441' 1.09432
'10.08.2015 09:59:30.543' 1.09428

and ....


 
 Post subject: Re: Tick Delayed Post rating: 0   New post Posted: Wed 12 Aug, 2015, 08:59 
User avatar

User rating:
Joined: Fri 31 Aug, 2007, 09:17
Posts: 6139
It is not clear which tick is delayed.
And please provide sample code that were used.


 
 Post subject: Re: Tick Delayed Post rating: 0   New post Posted: Wed 12 Aug, 2015, 13:27 
User avatar

User rating: 0
Joined: Wed 07 Nov, 2012, 16:14
Posts: 28
For sample 1, 'Tick '10.08.2015 07:50:33.919' 1.09676(Ask)', was delayed to 2015.08.10 07:50:34.829.

There is no such errors in my back-testing. I think It may be caused by the server side process or dds.


 
 Post subject: Re: Tick Delayed Post rating: 0   New post Posted: Thu 03 Sep, 2015, 08:20 
User avatar

User rating:
Joined: Fri 31 Aug, 2007, 09:17
Posts: 6139
We did not detect any latency. This can be caused by client side process.


 
 Post subject: Re: Tick Delayed Post rating: 0   New post Posted: Sat 07 Nov, 2015, 11:20 
User avatar

User rating: 0
Joined: Wed 07 Nov, 2012, 16:14
Posts: 28
I deploy my strategy in dedicated Server in London(27 ms ping delay) from FXVM. The strategy logged the time delay between server tick time( from ITick) and client system time. Source code as follows:

public void onTick(Instrument instrument, ITick tick) throws JFException { // process all instruments

m_CurrentTick = tick.getTime();
long delayTime = System.currentTimeMillis() - m_CurrentTick;
Date dTime = new Date( tick.getTime());
m_TestRecorder.println( gDateFormatYMDHMS.format( dTime) + "," + Long.toString( delayTime));

The delay data shows there were 1 sec to 6 secs delay from '2015.11.06 12:56:29.563' to '2015.11.06 12:56:33.148'(1106maxdaly.tif), and a x00 ms delay every 20 Ticks(1106usual.tif). The delay data from '2015.11.06 02:52:36.628' to '2015.11.06 21:57:10.646' is stored in 'T151106.txt', there are 3 delay plots in the attachment too. x-axis is tick count, y-axis is delay ms.

The switch cache cannot hold data more than 1 sec, so if there was some data delay 1 sec to 6 secs, the client couldn't receive it. And the dedicated server has the dedicated hardware and networking resouces without recouce competition.

logged data from 'T151106.txt': date was from ITick, number -455 was delayTime.
2015.11.06 13:30:04.490,-455
2015.11.06 13:30:04.299,-263 // delayed behind tick 13:30:04.490
2015.11.06 13:30:04.490,-443
2015.11.06 13:30:05.324,-484
2015.11.06 13:30:05.049,-208 // delayed behind tick 13:30:05.049
2015.11.06 13:30:05.050,-206 // delayed behind tick 13:30:05.049
2015.11.06 13:30:06.411,-466
2015.11.06 13:30:06.357,-407 // delayed behind tick 13:30:06.411
2015.11.06 13:30:06.409,-444 // delayed behind tick 13:30:06.411


attachment:
'T151106.txt': https://yunpan.cn/OcLVeuGhpFzcg7 (extract code:fc30)
1106allday.tif: https://yunpan.cn/OcLVe3B3UKEtVb (extract code:3570)
1106maxdaly.tif: https://yunpan.cn/OcLVet8jtgY2cE (extract code:2de8)
1106usual.tif: https://yunpan.cn/OcLVeGrb6UHhMA (extract code:e8d5)


 

Jump to:  

  © 1998-2025 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