Stock market. Stocks. Speed of trade order execution. - page 10

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prostotrader #:

Looked at the Stock Market documentation, and there are no these parameters!

2.3.1.8 SECURITIES table: Financial instruments

Document in the basement.

Added

Even dividends are broadcast, cool!

DIVIDENDVALUE d16.2 Amount of dividends, RUR

and record date

DIVIDENDDATE t Register closing date

It's a pity that developers do not develop the terminal in Exchange direction.

Yes, all sorts of interesting fields.

How have they decided to play around with the lack of boundary information?

 
Replikant_mih #:

Yes, all sorts of interesting fields.

How do you play around with the lack of boundary information?

There is no way. We will have to set an order at maximum (min.) price in the Depth of Market and see what happened.


if(MarketBookGet(spot_name, book_data) == true)
        {
          a_size = ArraySize(book_data);
          if(a_size > 0)
          {
            for(int i = 0; i < a_size; i++)
            {
              if(i == 0) b_data.spot_sell_price = book_data[i].price;  //max price
              if((book_data[i].type == BOOK_TYPE_BUY) || (book_data[i].type == BOOK_TYPE_BUY_MARKET))
              {
                if(i >= 1)
                {
                  b_data.spot_buy_price = book_data[a_size - 1].price; //min price
                  b_data.spot_money_price = book_data[i-1].price;      //for calc margin
                  return(true); 
                }  
              }
            }
          }
        }

There is no other way.

If there are no limits in the documentation, they don't exist in the Stock.

 
prostotrader #:

There's no way to beat it. You have to place an order at the maximum (min.) price in the cup and see what happens.


I don't see any other way.

If there are no limits in the documentation, it means there aren't any on the Stock.

Right, that's inconvenient, of course. I didn't plan to use stack in each strategy), and so the logic of controlling for hitting the range is universal for any strategy.

 

Finished testing...

Now, we have to wait for the CS to come down...


 

Eh, pity there are no funds available now....

But have to wait until expiry (dividend 27.05.2022 109.81p/share)

And that's with a horse GO of 46578.58 !

Added

You might as well take out a loan... :)


 

Here is an arbitrage situation for scalping


19.02 - 16.89 = 2.13% APR in 1-2 hours...

Added

In fact, not 2.13% p.a., but much more, because

all the calculations are made with the condition that you "freeze" the funds until expiration (as of today 77 days),

and here it's 1-2 hours, i.e. in cash, the profit is much higher.

 

The speed of execution on the Stock Demo Server

leaves a lot to be desired...

2022.03.31 13:12:24.164 Trades  '1115097': sell limit 10 AFLT at 36.62
2022.03.31 13:12:24.169 Trades  '1115097': accepted sell limit 10 AFLT at 36.62
2022.03.31 13:12:24.169 Trades  '1115097': order #426172818 sell limit 10 / 10 AFLT at 36.62 done in 5.285 ms
2022.03.31 13:12:24.831 Trades  '1115097': deal #16528568 sell 10 AFLT at 36.62 done (based on order #426172818)

667 ms. :( I'm sure there are no more than 10 people on this server...

Whereas on the live, Urgent Market

2022.03.31 13:19:28.573 Trades  'xxxxx': buy limit 2 AFLT-6.22 at 3495
2022.03.31 13:19:28.578 Trades  'xxxxx': accepted buy limit 2 AFLT-6.22 at 3495
2022.03.31 13:19:28.578 Trades  'xxxxx': buy limit 2 AFLT-6.22 at 3495 placed for execution
2022.03.31 13:19:28.585 Trades  'xxxxx': order #199147973 buy limit 2 / 2 AFLT-6.22 at 3495 done in 11.175 ms
2022.03.31 13:19:28.585 Trades  'xxxxx': buy limit 2 AFLT-6.22 at 3495
2022.03.31 13:19:28.585 Trades  'xxxxx': deal #110798618 buy 2 AFLT-6.22 at 3495 done (based on order #199147973)

12 ms.

 
prostotrader The speed of execution on the Stock Demo Server

leaves a lot to be desired...

667 ms. :( I'm sure there are no more than 10 people on this server...

Whereas on the live, Urgent Market

12 ms.

Eh. And I'm at about 100 ms on the urgent one. With a ping of 10-12 ms.

However, in another, less loaded virtual machine - in the range of 25 ms.

 
JRandomTrader #:

Eh. I'm in the 100 msec range on an urgent one. With a ping of 10-12 ms.

However, in another, less loaded virtual machine - in the range of 25 ms.

From my house... I must be close to the broker's equipment.

 
prostotrader #:

From my house... Apparently I'm close to the broker's equipment.

At Otkritie it was ~40ms performance with a ping of 10ms.

Finam is now ~140ms with a ping of 10ms.

Everything is from home PC, I have not found out what is the reason... Just for statistics

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