FORTS long delays in order execution - page 8

New comment
 

Could the delays be due to the nature of packet data transmission over the internet?

It would be a good idea to ask HFT traders working directly through gateways

Who has the initiative - ask in person - robot PRADA. Won the 2013 HFT under the nickname SECRET. http://smart-lab.ru/profile/SECRET/

and the 2011 HFT.

Used a simple internet connection at the beginning of my HFT career, but switched to a leased line andcolocation due to delays.

SECRET: профиль на смартлабе
SECRET: профиль на смартлабе
  • smart-lab.ru
SECRET: записи, комментарии, избранное, контакты, друзья, стейтмент
 
Edic:

Could the delays be due to the nature of packet data transmission over the internet?

It wouldn't hurt to ask.HFT traders working directly through gateways and usingcolocation with dedicated lines...

They have problems with delays, I checked on the exchange forum.
 
Mikalas:
They have no problems with delays, I checked on the exchange forum.
But they have some kind of dedicated lines there, they don't seem to work through the general net. I don't know exactly - I'm a complete idiot about it.
 
I also read that arbitrageurs and other HFTs are so competitive these days that you can't survive without colocation and direct access. On forts, a ping of 10ms and you're no longer competitive.
 
papaklass:

Can be extended by ENUM_DEAL_PROPERTY_INTEGER:

ENUM_DEAL_PROPERTY_INTEGER

Identifier

Description

Type

DEAL_ORDER

Order on the basis of which the trade was executed

long

DEAL_TIME

Deal execution time

datetime

DEAL_TIME_MSC

Deal execution time in milliseconds from 01.01.1970

long

DEAL_TYPE

Deal type

ENUM_DEAL_TYPE

DEAL_ENTRY

Deal direction - market entry, market exit or reversal

ENUM_DEAL_ENTRY

DEAL_MAGIC

Magic number for the deal (see ORDER_MAGIC)

long

DEAL_POSITION_ID

Identifier of the position, in the opening, modification or closing of which this deal was involved. Each position has a unique identifier, which is assigned to all deals made on the instrument during the life time of the position.

Add a registration time to the MT5 server and the exchange.
The difference of registration and execution times will show where the delay occurs. In my opinion, the MCs should be interested in such information in order to deflect suspicion from MT5.
It is not the trade that should be monitored, but the orderENUM_ORDER_PROPERTY_INTEGER
 
Edic:
But they have some kind of dedicated lines there, not through the general net, it seems. I don't know for sure - I'm not very good at it.

No one has direct access to the exchange - everyone works through gateways.

There are different gateway interfaces, as the developers themselves said, they work

through Plaza.

 

I am currently in correspondence with the technical support of the Exchange (regarding delays),

and it turned out that order numbers in MT-5 do not match Exchange orders.

My question is:

Why was it necessary to change the orders assigned by the Exchange?

 
Mikalas:

Why do you need to change the orders that the Exchange assigns?

It's to prove something less in case of something) (just kidding).

In order not to shroud MT5 with unnecessary suspicion, we are waiting with interest for the developers' answer.

 
Edic:

This is so that there is less to prove if anything happens) (just kidding).

In order not to shroud MT5 with unnecessary suspicions, we are waiting with interest for the developers' answer.

In addition to the developers, technical support has promised within an hour

to provide information on the following orders:

С ОРДЕРАМИ БИРЖИ

Номера ордеров с задержками (20.11.2014):

2014.11.20 10:07:06.048 Trades 'none': cancel order 13805664892 sell limit 3.00 SILV-3.15 at 16.70 placed for execution in 228 ms

2014.11.20 10:30:36.508 Trades 'none': cancel order 13806103567 sell limit 3.00 LKOH-3.15 at 22083 placed for execution in 410 ms

2014.11.20 10:40:00.827 Trades 'none': modify order 13806266503 sell limit 2.00 BR-1.15 at 80.38 sl: 0.00 tp: 0.00 -> 79.33, sl: 0.00 tp: 0.00 placed for execution in 385 ms

2014.11.20 10:41:45.032 Trades 'none': cancel order 13806302076 sell limit 3.00 LKOH-3.15 at 22083 placed for execution in 392 ms

2014.11.20 21:21:54.629 Trades 'none': buy limit order 13815788834 5.00 ED-3.15 at 1.2405 placed for execution in 388 ms
 

Here is the exchange's reply ( 5 application forgotten):

The response itself:

Here is the data on the quoted applications.

You can see that from request receipt by exchange, to sending response to the client was not more than 1 ms.

Accordingly, there is no delay on the exchange side.

10:07:07.299;P2Proxy;;Send received; id 0x800002267C0055F0; connKey 0x12302c95031b44f;TID 3224

10:07:07.299;P2Proxy;;Seq 975098, id 0x800002267c0055f0, input process 9 mcs, arrival time 35844594364 mcs, type 36, messageType 0, P2ReplyId -9223369672542366224, outType 36, p2proxyTime 101513683497, p2channel 2387755291093611599, BrokerCode 4100, Isin SILV-3.15, ClientCode UUU, CotirContr 1, OrderType 2, Amount 3, StrPrice 16.70000, Comment#8377637,

10:07:07.299;P2Proxy;;Posting reply id 0x800002267C0055F0 via connKey 0x12302c95031b44f;TID 3216

10:30:36.729;P2Proxy;;Send received; id 0x8000056F7C0055F0;connKey 0x12302c95031b44f;TID 3236

10:30:36.729;P2Proxy;;Seq 2192090, id 0x8000056f7c0055f0, input process 10 mcs, arrival time 37254225131 mcs, type 36, messageType 0, P2ReplyId -9223366060474870288, outType 36, p2proxyTime 105505828315, p2channel 2387755291093611599, BrokerCode 4100, Isin LKOH-3.15, ClientCodeUUU, CotirContr 1, OrderType 2, Amount 3, StrPrice 22083.00000, Comment #8378526, Login , ext_id 8378526,

10:30:36.730;P2Proxy;;Posting reply id 0x8000056F7C0055F0 via connKey 0x12302c95031b44f;TID 3232

10:40:01.993;P2Proxy;;Send received; id 0x800007267C0055F0;connKey 0x12302c95031b44f;TID 3236

10:40:01.993;P2Proxy;;Seq 2635609, id 0x800007267c0055f0, input process 10 mcs, arrival time 37819558127 mcs, type 36, messageType 0, P2ReplyId -9223364174984227344, outType 36, p2proxyTime 107106879623, p2channel 2387755291093611599, BrokerCode 4100, Isin BR-1.15, ClientCodeUUU, CotirContr 1, OrderType 2, Amount 2, StrPrice 80.38000, Comment #8378934, Login , ext_id 8378934,

10:40:01.993;P2Proxy;;Posting reply id 0x800007267C0055F0 via connKey 0x12302c95031b44f;TID 3216

10:41:45.263;P2Proxy;;Send received; id 0x800007797C0055F0;connKey 0x12302c95031b44f;TID 3216

10:41:45.263;P2Proxy;;Seq 2736393, id 0x800007797c0055f0, input process 18 mcs, arrival time 37922843385 mcs, type 36, messageType 0, P2ReplyId -9223363818501941776, outType 36, p2proxyTime 107399388662, p2channel 2387755291093611599, BrokerCode 4100, Isin LKOH-3.15, ClientCodeUUU, CotirContr 1, OrderType 2, Amount 3, StrPrice 22083.00000, Comment #8379013, Login , ext_id 8379013,

10:41:45.263;P2Proxy;;Posting reply id 0x800007797C0055F0 via connKey 0x12302c95031b44f;TID 3232

Respectfully,
Eduard Lamukhin
Moscow Exchange Technical Support

+7 (495) 733-95-07| help@moex.com

12345678910
New comment