Combining Futures Feeds to Increase Tick Update Frequency
Summary
The document discusses tick delivery for domestic commodity futures, describing a nominal feed granularity of one update per 500 milliseconds while noting that multiple transactions can occur within that interval. It argues that callback-based trading frameworks may miss updates when strategy logic takes too long to execute, a concern for high-frequency strategies that depend on prompt market data.
Its proposed approach is to connect to multiple futures companies and merge their feeds, so the earliest available update from one source can supplement another. The author claims an example instrument can reach up to six updates per second without duplication and suggests that using more than five feeds makes missed ticks unlikely. These are platform-specific claims without independent measurements or details on synchronization, latency, or conflict handling. The demo is stated to work only in live trading, not in backtests, and the platform’s code is not included in the document.
Key ideas
- Domestic futures feeds may publish updates at 500-millisecond intervals even when several transactions occur between updates.
- Callback-based frameworks can miss market updates if strategy processing blocks timely handling.
- The proposed method merges concurrent feeds from multiple futures companies to obtain earlier updates.
- Feed aggregation introduces platform and network dependencies that the document does not quantify.
- The example is described as live-only and cannot be backtested as presented.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.