Delayed data reception with LMAX

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StratMan
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Delayed data reception with LMAX

Postby StratMan » 19 May 2014

The following video reveals the delay in receiving LMAX data by MultiCharts.
You can see that the price displayed on the chart is not equal to the price of the LMAX desktop.

http://youtu.be/0M0mCCQYYKc

Accordingly, a short position can show a profit when the price displayed on the graph is greater than the entry price!

In fact, MC receives real time PnL but receives the market price delayed with a delay of several minutes! ...

Question: Does this problem is due to LMAX or MultiCharts?

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Henry MultiСharts
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Re: Delayed data reception with LMAX

Postby Henry MultiСharts » 19 May 2014

Hello StratMan,

Do you use "business3" login in LMAX data configuration in QuoteManager->Tools->DataSources?
Does the chart status line clock correspond to the system clock (is there a lag in Time values of the status line)?

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Re: Delayed data reception with LMAX

Postby StratMan » 19 May 2014

Hello Henry,
Do you use "business3" login in LMAX data configuration in QuoteManager->Tools->DataSources?
No, the datasource use login on an LMAX real account when the orders are placed on the demo account "business3".
Does the chart status line clock correspond to the system clock (is there a lag in Time values of the status line)?
Yes, the status line clock displays exactly the same time than the system clock, there is absolutely no lag in time values of the status line.

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Henry MultiСharts
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Re: Delayed data reception with LMAX

Postby Henry MultiСharts » 20 May 2014

Hello StratMan,

That is not relevant to compare demo and live account as there is 99% likelihood that the data will be different. Please configure the data provider to use the same demo account as your broker platform, or login with the real account in the broker platform and compare the data in MultiCharts with it.

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Re: Delayed data reception with LMAX

Postby JoshM » 20 May 2014

That is not relevant to compare demo and live account as there is 99% likelihood that the data will be different. Please configure the data provider to use the same demo account as your broker platform, or login with the real account in the broker platform and compare the data in MultiCharts with it.
That's true. This is what LMAX themselves say about their demo environment compared to the real accounts:
Our demo environment tries to follow the live environment as close as possible. The majority of the time it is in tandem with the live environment, but sometimes it may be out of sync with the current market movements based upon the trading patterns of our clients in this demo bot.

For example if a few clients have a demo balance of a few million and place limit orders for a few thousand contracts, this may soak up a large part of the demo environment's liquidity; something that would not occur in the live environment. So the pricing may not be exact at times, but the majority of the time it is accurate.
A truthful comparison will therefore need to to use the same data feed in MultiCharts alongside the LMAX webtrader page (i.e., demo data feed with testapi.lmaxtrader or real-time data feed with trade.lmaxtrader).

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Re: Delayed data reception with LMAX

Postby StratMan » 20 May 2014

Hello StratMan,

That is not relevant to compare demo and broker account as there is 99% likelihood that the data will be different. Please configure the data provider to use the same account as your broker platform, or login with the real account in the broker platform and compare the data in MultiCharts with it.
Does that justify the PnL is inconsistent?
(a short position shows a profit when the price displayed on the graph is greater than the entry price)

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Re: Delayed data reception with LMAX

Postby JoshM » 20 May 2014

No, the datasource use login on an LMAX real account when the orders are placed on the demo account "business3".
Does that justify the PnL is inconsistent?
(a short position shows a profit when the price displayed on the graph is greater than the entry price)
Yes, because the chart is based on a different data feed (the real data feed) than the PnL account (the demo account).

You can see this happen in your video, around the 1:05 mark. The real data feed drops below the entry price, but since the webtrader bid/ask prices (the demo data) don't update, the PnL also does not change.

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Re: Delayed data reception with LMAX

Postby StratMan » 20 May 2014

It is therefore impossible to test a strategy on a demo account LMAX?

(associated with the fact that two data feeds from the same live account, receive different data ...)

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Henry MultiСharts
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Re: Delayed data reception with LMAX

Postby Henry MultiСharts » 20 May 2014

I believe we have already replied to this question in posts #4 and #5 above.
Just use the same login for data and broker connection in MultiCharts, login to webtrader using this login and you will see the same data/PnL.

Please also keep in mind that:
Open position Profit/Loss is calculated by LMAX broker and displayed in MultiCharts.
Unrealized Profit/Loss for the account is calculated by LMAX broker and displayed in MultiCharts once in 10 seconds.

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Re: Delayed data reception with LMAX

Postby StratMan » 20 May 2014

I believe we have already replied to this question in posts #4 and #5 above.
When I write that two data feeds from the same live account, receive different data, I'm talking about the issue confirmed by LMAX and mentioned in the previous thread http://www.multicharts.com/discussion/v ... 72#p104250

2) I use 2 different computers, with 2 MultiCharts licenses on the same LMAX real time data feed account. There were huge differences between the ticks data received real time on these two different PCs, but with the same live account data feed (making it impossible the development of automated trading strategy ...).
The funny thing is that the technical teams LMAX tell me that this is normal :-) !
"... the data between two computers can also differ. It is impossible for any software to receive every single tick that we send, therefore some of the ticks get missed. It will vary from computer to computer, and it can also depend on the internet connection. It is a very natural process. If the client refreshes the charts and downloads historical data, the charts should be identical if the process has been correctly completed." I guess that's a joke, probably the famous British humor!
(Of course, the download of historical data is identical on the 2 computers...)


So posts #4 and #5 above absolutely do not respond to this problem which is observed with using purely QuoteManager / Edit Data.

To summarize:

- The demo data feed has nothing to do with the real data feed
- From the same real account, the data feed is different on 2 computers
- The real account data feed received live is different from what is then downloaded as historical data.
- A signal applied to a demo configuration (feed + trades on the same demo account) and the same signal applied to real configuration (feed + trades on the same real account) so give completely different results.

With such constraints, how to use MultiCharts to test a strategy?

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Re: Delayed data reception with LMAX

Postby Smoky » 20 May 2014

With such constraints, how to use MultiCharts to test a strategy?
To me, the only way, is to use the real account and use only 1 share in buy/sell signals ... ;)

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Re: Delayed data reception with LMAX

Postby Gargoyle » 20 May 2014

To summarize:

- The demo data feed has nothing to do with the real data feed
- From the same real account, the data feed is different on 2 computers
- The real account data feed received live is different from what is then downloaded as historical data.
- A signal applied to a demo configuration (feed + trades on the same demo account) and the same signal applied to real configuration (feed + trades on the same real account) so give completely different results.
In my vision, what you have observed and found in LMAX services is such a serious anomality, that should be claimed to LMAX's regulators!

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Henry MultiСharts
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Re: Delayed data reception with LMAX

Postby Henry MultiСharts » 21 May 2014

I believe we have already replied to this question in posts #4 and #5 above.
When I write that two data feeds from the same live account, receive different data, I'm talking about the issue confirmed by LMAX and mentioned in the previous thread http://www.multicharts.com/discussion/v ... 72#p104250

2) I use 2 different computers, with 2 MultiCharts licenses on the same LMAX real time data feed account. There were huge differences between the ticks data received real time on these two different PCs, but with the same live account data feed (making it impossible the development of automated trading strategy ...).
The funny thing is that the technical teams LMAX tell me that this is normal :-) !
"... the data between two computers can also differ. It is impossible for any software to receive every single tick that we send, therefore some of the ticks get missed. It will vary from computer to computer, and it can also depend on the internet connection. It is a very natural process. If the client refreshes the charts and downloads historical data, the charts should be identical if the process has been correctly completed." I guess that's a joke, probably the famous British humor!
(Of course, the download of historical data is identical on the 2 computers...)


So posts #4 and #5 above absolutely do not respond to this problem which is observed with using purely QuoteManager / Edit Data.

To summarize:

- The demo data feed has nothing to do with the real data feed
- From the same real account, the data feed is different on 2 computers
- The real account data feed received live is different from what is then downloaded as historical data.
- A signal applied to a demo configuration (feed + trades on the same demo account) and the same signal applied to real configuration (feed + trades on the same real account) so give completely different results.

With such constraints, how to use MultiCharts to test a strategy?
StratMan, all of the points in your summary are coming from the data provider side and according to your post have been confirmed by the data provider. There is nothing incorrect from MultiCharts end. That is recommended to continue the discussion with the data provider directly.

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Smoky
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Re: Delayed data reception with LMAX

Postby Smoky » 21 May 2014

Hello Henry,


Sorry, I do not quite agree with you, I can't develop professional tools with MC who sometimes take a few minutes to reconnect to the broker.
You realy did a great job for datas (with 9189) but not yet for the broker link;)
Did you know that LMAX has a new FIX/API that solves all the line breaks problems ? (with automatic fill lost datas )

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Henry MultiСharts
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Re: Delayed data reception with LMAX

Postby Henry MultiСharts » 21 May 2014

Did you know that LMAX has a new FIX/API that solves all the line breaks problems ? (with automatic fill lost datas )
We are not aware of any API updates. Please specify the source of the information.


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