Eric
Posts:2
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| 11/06/2008 4:34 PM |
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We have noticed that sometimes when the market experiences heavy volume our OpenBook updates are delayed, which causes the feed data to cross with some of our other feeds.
I'm trying to determine when this happens so that our internal clients know to ignore the OpenBook feed. Is there a generally accepted way to do this in real time? Maybe something that involves the difference between the packet header's SendTime field and the message's SourceTime...
If I understand correctly, SourceTime is the actual book update time and SendTime is the time that the packet is sent from NYSE. What is the "normal" time difference here? Is that a realistic way to tell when a book is lagging?
Thanks!
PS, I'm also trying to solve this problem in the ARCA book feed. |
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Ariel
Posts:163
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| 11/06/2008 4:47 PM |
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thats a bit of a concern but we havent heard of any reported or observed delays on heavy volume days. I wouldnt only go by the difference between the send timestamp and source timestamp. The sendtime is in millisecond granularity verus the sourcetime which is in microseconds. On average the internal latency is <200us. The Arca delays we are aware of because of throttling issues that will be fixed in december.
Can you provide a symbol, date and time? |
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Eric
Posts:2
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| 11/06/2008 5:38 PM |
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We last noticed the problem right after the rate cut on September 16. By 1:30 and had to tell our strategies to ignore that book for the rest of the trading day. I'm afraid I don't have a specific symbol for you.
Will the throttle be completely removed next month or will the upper limit be increased? |
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pas (guest)
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| 11/19/2008 3:55 PM |
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maybe u can use the montly fees to get a spell checker
Access Fee $5000
This montly access fee applies to both direct and indirect customers.
Display Fee $60 per device
This fee applies to any display of NYSE OpenBook Real-Time received directly from NYSE or via an approved NYSE OpenBook vendor. Additional fees may be charged by the vendor.
[b] [/b] |
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