Transact Market Data network modes

Discussion in 'Data Sets and Feeds' started by FutureScalper, May 20, 2011.

  1. Hi,

    We're always interested in having a market data feed which is as complete as possible, whether or not we can actually SEE the difference :)

    In my software, Time and Sales, aka Tape Analysis is automated, and so I need to have every single trade that takes place on the futures exchange for a given symbol. I don't try to analyze it visually.

    I interface to Transact, but did not realize that I had been using their UDP transmission mode. My users were experiencing different calculations based upon Time and Sales. Naturally I blamed my software first... :(

    On investigation, it appeared the problem was that I was using a default UDP mode, which is expected to discard a small proportion of data, in favor of speed of updates.

    By using their API call to switch to TCP transmission mode, away from UDP I was able to get perfectly consistent results.

    So, those of you using Charting packages, who are comparing Time and Sales, etc. one product against another...

    Be aware that some systems use UDP transmission modes, which can randomly discard data, depending upon network congestion and load.

    So now, I find the Transact feed to be absolutely perfect for my Time and Sales "automated tape reading" requirements.

    In my case, I do a tick by tick analysis, so there is no room for error but often technical analysis results may differ, and the reason may be that due to the high volumes of data, some systems may discard data or data may be discarded due to the network mode of transmission used.

    I learned my lesson, and am just passing along this info for others who interface to market data sources and who are doing critical calculations.