Combining Futures Feeds to Receive More Frequent Tick Updates

Summary

This article explains a method for increasing the frequency of observed commodity-futures market updates by subscribing to the same contract through multiple futures-company connections. Its premise is that each feed can deliver updates at different times because of network conditions and front-end server load. A strategy can wait for an event from any connection, read the corresponding updated ticker, and combine the streams to reduce gaps in its observed data. The article illustrates the idea with a Chinese futures contract and reports that a merged feed can show more updates per second than a single connection.

The example is intended for live trading and cannot be backtested in the described platform. It filters updates using cumulative volume and resets its reference after a time gap. The claimed improvement depends on having multiple usable accounts and connections, and the article provides no independent latency measurements, execution results, or evidence that faster updates improve profitability. Its platform-specific code and market-data assumptions may not transfer to other systems or exchanges.

Key ideas

• A single futures feed may miss updates when multiple trades occur between delivered ticks or when the connection is delayed.
• Subscribing to the same contract through multiple firms can provide staggered updates that are combined into one stream.
• The example waits for any feed event and reads the ticker from the connection that produced it.
• The demonstration is live-only, platform-specific, and does not establish that more frequent data leads to profitable trading.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.