Merging Futures Tick Feeds to Improve Quote Coverage
Summary
The document describes a high-frequency futures data method: connect to multiple futures brokers, subscribe each connection to the same contract, and combine incoming tick events. Its platform design uses a continuously running main loop and an event-waiting mechanism, rather than routing every update through a strategy callback. The example also filters repeated or non-increasing volume readings and resets its comparison after a long delay.
The article reports that one broker typically provides two ticks per second and that combining feeds produced up to six distinct ticks per second for the cited contract. This illustrates how multiple data sources can improve the chance of receiving timely quotes when network conditions or broker systems delay individual feeds. The example is platform-specific, intended for live bots rather than backtests, and gives no controlled latency comparison or independent validation. More frequent updates do not by themselves establish quote accuracy or profitable execution; feed synchronization, duplicate handling, and differences between providers remain practical concerns.
Key ideas
- Combining tick streams from multiple futures brokers can increase the number of distinct market updates received.
- A continuously running main loop with event waits gives the strategy direct control over processing flow.
- The example subscribes all broker connections to one contract and handles incoming tick events as they arrive.
- Volume-based filtering and periodic resets are used to manage repeated updates.
- The reported tick-rate improvement is platform-specific and is not supported by a controlled performance study.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.