SmartQuant Discussion

TT FIX data feed
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Author:  RedRat [ Mon Oct 15, 2007 4:01 pm ]
Post subject:  TT FIX data feed


I wonder can I receive every tick from TT FIX provider? As I read EliteTrader, some data feed providers (ESignal) can have delays up to 1 min - at fast market. Will there be delays?

These delays can be due TCP IP nature, if we lost one packet we will wait for it for the next couple of seconts. Does TT FIX deliver data through UDP? What about merging ticks, will they come one by one or will I miss some?

If I setup OpenQuant to receive every market tick, will it be fast enough? Even 100 ticks per second should not be a problem for powerfull PC. I want to construct time bars by myself. Or do you receive data in bars, say 5 second bars?


Author:  Dr. Anton Fokin [ Tue Oct 16, 2007 5:10 pm ]
Post subject: 


QuickFIX engine (that we use in OpenQuant) allows to receive ~10000 messages per second, so receiving 100 messages per second should not be a problem. You should receive tick by tick data and no ticks should be lost. You can also receive full market depth via TT FIX Adapter.


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