API orderbook updates performance

Discussion in 'Automated Trading' started by fastscalper, Nov 30, 2005.

  1. I have trading strategy that is based on orderbook analysis. Trades happen quite rarely so I’d like to trade as much stocks as possible, preferably 1000-1500 sctocks on NASDAQ. Now choosing an API and broker to implement the strategy. Internet channel bandwidth is not a problem because I’ll colocate. Strategy logic is simple and doesn’t require a lot of calculations. Hardware: P4 3.4 + MS Workstation 2003.
    What API can keep up with 1000-1500 real-time orderbooks on this hardware?
    Or, how many orderbooks can be updated real-time with a given API on this hardware?
    If you’ve experienced the same problem write number(or your best estimate of it) of orderbooks your specific API-hardware combination can keep up with.
  2. Any experience? Anyone!?
  3. I'm not sure abuot MS workstation, but my linux box can easily update several thousands books in realtime.

    My API is lowlevel and doesn't maintani its own books.. just a series of callsbacks. I've implemented it in C++ (using stl) and java and both perform very well. Using limebrokerage.com

    You might also want to check out genesis, they do udp broadcasts via gigabit ethernet in their colo.