Market data via TT FIX?

Discussion in 'Data Sets and Feeds' started by polr_trader, Jul 29, 2007.

  1. Is anybody receiving market data via TT FIX (or any other FIX provider, for that matter)? What has been your experience? For how many instruments are you pulling down data? Any nightmares to share? Are we better off waiting for TT to offer FAST (and use the API in the meantime)? Thanks in advance for any info you can share.
  2. Before TT, try finding a FIX Engine that supports FAST or 5.0.
  3. Has anybody done any sort of load test to compare TT FIX versus X_Trader for market data? Do you believe it could handle the market data load for 60 futures? Thanks!
  4. Generally speaking...

    FIX messages are relatively longer than API messages.

    In this case, you will be using 35 = X (MarketData-IncrementalRefresh). Size is usually 200 or so. A usual TT-API Quote message is about 1/2 - 3/4 of a typical FIX msg.

    That said, FIX is not the answer to faster quotes or order execution. What FIX offers is fully custom control (At least, to a level where the broker allows it) over how you want your messages sent to your corresponding business. It also gives you an easy change of implementation when dealing with multiple brokers.

    In this time of age, latency is mostly due to the user side's ISP setup and workload depends on how the initiating side's programmed the FIX Engine and it's surroundings.

    FIX is a msg. exchange specification which banks and brokers agree to communicate under. It's a bit of an hastle learning an API semantics and rebuilding your program everytime you change brokers. By using FIX, you can connect to other (multiple) brokers with just a few configurations and setup. Disregarding the "Test-to-Production" Tests you go through the brokers/ banks, most with FIX experience can get their application connected to a new broker in just a few hours or minutes.
  5. TSgann,

    do you use FIX or do you use a brokers API?
  6. nidarian


    TTs Fix API is the fastest market feed available for futures. An average of 2 seconds faster than all competitors. This is documented using studies.

    However every single third party tool that i have tested like ninjatrader, tradestation or smartquat etc, adds a layer of lag which is not TTs fault. Its crap programming by the provider. I know only one that keeps this additional processing lag to zero. Its a very difficult task and you need a high end fix adaptor to get there.

    I have pulled over 70 real-time symbols from TT in realtime with L2 data as well, without any problems. You have to make sure you TT server hosted by the broker is also dedicated to you only and is a fast server. Also server location is important too but not critical.

    This is a very expensive game when you chase after milliseconds. We are talking about 10,000s $ monthly costs for operation. I think its a lot simpler for low budget traders to just focus on longer term swing strategies that are not dependent on every tick and every milliseconds.
  7. i have a program that interfaces tt data directly into ts2000i. mb