Ticks per second

Discussion in 'Automated Trading' started by ethos, Jul 3, 2007.

  1. ethos


    What kind of performance would you expect from an automatic trading platform in terms of ticks per second it can handle?

    I'm doing performance testing of my trading platform and I'm getting between 40,000 and 50,000 ticks per second. The code is written in .net and is running on a 2Ghz dual core system.

    Here is what the system does in my tests scenario: it generates simulated ticks for a universe of 100 symbols, merges them into minute bars, maintains bar series for the last 100 minutes and routes bars to the strategy code (the strategy does nothing yet but it will be executed on minute bars so it won't much affect the performance).

    The goal is to be able to handle up to 1000 symbols in real time during peak hours.
  2. maxpi


    Tradestation has a grid application that handles 1000 issues at a time, 2000 if your indicators do not access history.
  3. If done properly, you should be able to handle as many ticks as your program can write from stream per unit time. The trick is filtering the data in a time efficient manner and then storing it in such a way as not to kill all of your resources.