150 messages/sec is a cap at IB Very few data vendors support data dissemination over FIX. FastFIX may be an option though it's not supported by IB.
I am confused here. We know FIX is good for write-once-and-reuse later... but you said FIX is not supported by data vendors... I am lost here. So what's the best solution to obtain real time market depth order book info for 500+ stocks at 1 second frequency?
Do not mix execution platforms and market data vendors. Very often a black-box setup is FIX connection to a broker and data feed via custom API from a third-party vendor. Not many brokers give you reliable tick-by-tick data feed, and some of them may not give it via FIX. From this prospective, it's very easy to change the broker, since all you have to do is FIX certification. If you write your system so your engine would abstract from a particular market data API, you won't have a problem plugging in a new data feed if necessary.
I've been meaning to get back to you on this. One of these days I'l get around this, however I KNOW that this is not an error. I believe that I got this error before, that is when I tried to put a stop order on ARCA. I found out that ARCA doesn't support STOP orders. Because of STOP/LIMIT resides on the exchange, there are some exchanges you can't do this to hence that's what your error msg says I like yourself had a hell of a time placing orders. Do this... go to GTOrder32.h and model your orders exactly how they're doing it and read everything they write. If I were to Guess don't use this... myStock.Ask(newOrder, 1, 43.00, GTSession.MakeMMID("AUTO")); I could be wrong, but this may only be for just a regular Ask. Use the model example that they provide. That is what I did then then added on. m_ShortOrder = m_defOrder; m_ShortOrder.dwTimeInForce = TIF_DAY; m_ShortOrderPrice = m_Bid - 0.12; PlaceOrder(m_ShortOrder, 'S', m_ShortAmount,m_ShortOrderPrice, METHOD_BELZ, TIF_DAY); m_ShortOrder.place = MMID_NYSE; m_ShortOrder.chPriceIndicator = '2';
poor customer support... they're the cheapest place in the industry, you're saying TONS of money. Stop bitching you sound like my girlfriend poor stop order execution? I could be wrong but stop orders reside ON the exchange, they have nothing to do with residing on the Genesis platform.
I think that there are two uses to distinguish here: 1. FIX for your own execution management. This is widely offered, although a lot of brokers won't give it to you without paying extra and/or doing a lot of volume. 2. The FAST protocol, "FIX Adapted for Streaming", a standard which seems motivated largely by the needs of high-volume data feeds. The only commercial vendor I know of that supports this is Spryware, but there may be others. (I don't know how much Spryware costs; would be interested in hearing...)
good stuff....makes sense i.e. "@unsupported" means order not supported by the exchange. Thanks again. Maybe I'll re-visit these guys once again. What's the latest version for their C++ API ?
Yes, i agree with you that they are the cheapest place in the industry, but it doesnt change the fact that there is room for improvement on the above points. Thats why i said "i would still recommend it, especially if cost, reliability and speed are more important for you than stop orders and customer support. " As for stop orders, for NASDAQ stocks, stop orders do not reside on the exchange. Genesis routes them to the "AUTO" route, where they reside until they are triggered. Quality of fills on these stops is not that great. If you look around the forum, you'll see im not the only one who thinks Genesis needs to improve their server-side stops and customer support. In spite of that, i would still highly recommend them.
A $2000 test is useless. If you plan to trade live with $50k, then you should simulate with $50k. That way, you will be buying/selling the same number and size of positions in simulation as you will when you are live. An account with $2000 is in no way going to even come close to emulating the results of a $50,000 account. Try the free CoolTrade system. It has a live forward-test simulator that you can set up to test your strategy. Because of the way the CoolTrade system runs iwth real-time data, live and simulator is exactly the same, only the order-fills in the simulator do not go to the broker. You'll know pretty quickly if your strategy holds water or not. Good Luck! Ed