----- Original Message -----

From: quickmail1

To: LinnSoft@yahoogroups.com

Sent: Wednesday, July 15, 2009 3:12 PM

Subject: [LinnSoft] Re: Data vendor

Maxime,

If you think it will be helpful, I can try it for you to see exactly what might be possible. I have plenty of room to add the symbols, and have Irt in a ramdisk with an e8600 processor running at 4.2ghz. I'd need do it incrementally over time tho, starting with only a portion of the symbols during a not-so-busy time of the day, and if all goes well add more symbols the next day etc. and increase the load and update-frequency gradually to try to make sure I don't get caught with the system overloaded when its needed.

Lmk,

John

--- In LinnSoft@yahoogroups.com, "quickmail1" <quickmail1@...> wrote:
>
> Maxime,
>
> Irt process ticks extremely efficiently, but its the calculations that draw the cpu resources and its limitations will affect what Irt can do. I haven't tried it but imo, from a technical perspective, realtime for this wouldn't be possible without a proprietary clustered platform.
>
> When stocks are very busy, as you sound pretty familiar with, they can process as much as 50-100 ticks a second or more (given the exchange speed as well as all the ecn's executing trades.)
>
> If you're calculating all highly-arbitraged (ie very busy) 500 s&p stocks, particularly on a realtime basis (and with a 4-digit multiplier for each as well iirc...meaning twice as processor intensive as a 2-digit multiplier etc.), you'd be trying to recalculate the cash ever few milliseconds when its very busy.
>
> CPU's are not that fast yet (and btw Irt is single-threaded), and while the cpu is the most important hardware component, other hardware can affect performance too.
>
> When its the most busy is when you need the calculations to be the most efficient as well, since that's when the disparity between the cash and futures can be at their greatest. This is where Irt and your cpu load will be the most extreme, most likely in the least being counterproductive to the initial processing of the ticks as they come in.
>
> Aside from that, you'll also have internet and your datafeed subscription latency to put you behind the curve, not to mention any manual-intervention latency as well as order submission latency. (This is compared to the program trading firms that are executing while co-located etc., but that's are another story)
>
> John
>
>
> --- In LinnSoft@yahoogroups.com, Maxime Chartrand <maxime_chartrand@> wrote:
> >
> >
> > Hello William
> >
> >
> >
> > To answer your question. Actualy,no. Can IRT update the custom symbol each time ONE of the constituent update? meaning, could be multiple time PER seconds. Does the S&P 500 custom symbol I saw in one of your video actualy working or was it a test? Like you mention, does the ten times per minutes updates is set manualy? Can it be set to 1 seconds? Sub-seconds update? Or even as new tick comes in?
> >
> >
> >
> > Regards
> >
> >
> >
> > Maxime Chartrand
> >
> >
> >
> > To: LinnSoft@yahoogroups.com
> > From: wlinn@
> > Date: Wed, 15 Jul 2009 11:27:53 -0400
> > Subject: RE: [LinnSoft] Re: Data vendor
> >
> >
> >
> >
> >
> >
> >
> >
> > A 100 symbol custom instrument will update ten times per minute. Is this fast enough?
> >
> > Regards,
> >
> > Bill
> >
> >
> >
> > From: LinnSoft@yahoogroups.com [mailto:LinnSoft@yahoogroups.com] On Behalf Of Maxime Chartrand
> > Sent: Wednesday, July 15, 2009 11:15 AM
> > To: linnsoft@yahoogroups.com
> > Subject: RE: [LinnSoft] Re: Data vendor
> >
> >
> >
> >
> >
> > Hello Eduardo
> >
> > Thanks for the quick answer. I know about the S&P 500 is float weighted, meaning, some info need to be changed daily. And those info aren t free. What I wanna do is "try" to play the spread between emini and cash (like the big guys). But for this I need the cash in realtime. So my question is, does IRT can manage/update a custom symbol fast enough to keep it in realtime even with 500 or more constituent? Even on high volume push? The reason I'm asking is that in some of the videos, under custom symbol, I saw a S&P 500 custom symbol and was wondering if it s any good. Btw, I did try IQFEED with XLQ pluged into excel 2007, useful but not quiet there under heavy volume and movement. (news time apart).
> >
> > Regards
> >
> > Maxime Chartrand
> >
> >
> > To: LinnSoft@yahoogroups.com
> > From: ejmbr_61@
> > Date: Tue, 14 Jul 2009 16:30:47 -0700
> > Subject: Re: [LinnSoft] Re: Data vendor
> >
> >
> >
> >
> >
> >
> >
> >
> > at one point I will do a tryout in each of those 2 to see if the performance is bettern than DDE, which as you know is an old protocol that looses to many tick on a fast market,
> >
> > Tks for th einfo Jay..
> >
> >
> >
> >
> >
> > From: DTN IQFeed Datafeed Services <iqfeed@>
> > To: LinnSoft@yahoogroups.com
> > Sent: Tuesday, July 14, 2009 6:08:40 PM
> > Subject: [LinnSoft] Re: Data vendor
> >
> >
> >
> > Just an FYI: While we support DDE natively in IQFeed, there are 2 3rd party apps that work with IQFeed to provide RTD feeds into Excel. You can easily run either of these side by side with InvestorRT on the same IQFeed account. Take a look at QuoteIN (http://www.quotelink.net/dk/configuring_iqfeed) or XQL (http://www.qmatix. com/XLQ.htm) for options that will give you more tools and efficiency when feeding Excel.
> >
> > Thanks for your business!
> >
> > Jay Froscheiser
> > DTN
> >
> > --- In LinnSoft@yahoogroup s.com, Eduardo Motta <ejmbr_61@ .> wrote:
> > >
> > > Maxime, why do you want to follow the SP500 ?
> > >
> > > Suggestion. Follow OEX or SP100, which is 96% plus correlated with sp500 and it is just 100 stocks
> > >
> > > by the way, in order to mimic the indexes you need to know the multiplier/divisor for the index, and that info in not free anymore, you need to pay for it in order to get it. Not even with bloomberg terminal one can get it for free (I was able to retrieve the last one last june)
> > >
> > > I created a spreadsheet in excel via dde link of iqfeed in order to track the dolar volume of those 100 stocks, works great, BUT you need a good processor and fast HD, otherwise your cpu will be loaded (in my case at least, since the excel charts are also updated via dde link)
> > >
> > > my guess is that RTD would be faster, but neither IRT nor IQfeed support it.
> > >
> > > regards,
> > >
> > > mptrading
> > >
> > >
> > >
> > >
> > > ____________ _________ _________ __
> > > From: maxime_chartrand <maxime_chartrand@ ...>
> > > To: LinnSoft@yahoogroup s.com
> > > Sent: Monday, July 13, 2009 5:59:25 PM
> > > Subject: [LinnSoft] Data vendor
> > >
> > >
> > >
> > >
> > >
> > > Hello
> > >
> > > I was wondering if someone have any experience trying to calculates the index S&P500 in realtime (sometime sub-seconds upd! ates) wi th any of the "retail" data vendor like esignal or DTN with a custom symbol? Does it bring the computer to a crawl? I know some of the S&P 500 constituents volumes need to be adjusts daily for their float. Is it still do-able and still using the computer to charts others things at same time?
> > >
> > > Regards
> > >
> > > Maxime Chartrand
> > >
> >
>