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As some have noted, today was a day which really tested the ability of the
various data feeds to deliver under stress. Performance of one was
amazingly good, while performance of another was amazingly poor.
If anyone missed the explanatory preamble which I posted a few days ago and
would like another copy, please e-mail me privately and I'll send it.
Regards,
Carroll
Feed analysis for 08/10/1999
Lag is difference between CME T&S time & collected time stamp.
Gap length is in seconds.
ESignal - TS2000
End Lag Tick Counts Gaps
Time Seconds CME Feed Ratio Lnth Ticks
10:00 1 340 334 0.982 25 1
10:30 0 357 350 0.980 28 1
11:00 1 288 282 0.979 28 1
11:30 1 358 352 0.983 22 1
12:00 0 313 312 0.997 10 1
12:30 0 329 327 0.994 37 1
13:00 0 399 396 0.992 18 1
13:30 0 275 273 0.993 25 1
14:00 1 305 300 0.984 24 1
14:30 1 314 309 0.984 25 1
15:00 0 313 305 0.974 19 1
15:30 1 329 327 0.994 22 1
16:00 -14 277 196 0.708 202 26
ESignal - MetaStock
End Lag Tick Counts Gaps
Time Seconds CME Feed Ratio Lnth Ticks
10:00 -10 342 333 0.974 25 1
10:30 -9 357 350 0.980 28 1
11:00 -10 287 279 0.972 28 1
11:30 -10 360 354 0.983 22 1
12:00 -10 311 310 0.997 10 1
12:30 -10 330 328 0.994 37 1
13:00 -10 397 393 0.990 18 1
13:30 -10 275 273 0.993 25 1
14:00 -10 306 300 0.980 24 1
14:30 -10 313 307 0.981 25 1
15:00 -11 315 304 0.965 36 3
15:30 -9 329 296 0.900 110 22
16:00 -10 277 269 0.971 32 1
Signal/cable
End Lag Tick Counts Gaps
Time Seconds CME Feed Ratio Lnth Ticks
07:00 31 347 63 0.182 190 30
07:32 11 350 78 0.223 189 46
08:00 4 288 204 0.708 195 17
08:30 3 356 313 0.879 34 2
09:00 1 315 301 0.956 35 2
09:30 0 329 326 0.991 37 1
10:00 1 399 395 0.990 18 1
10:30 0 275 269 0.978 25 1
11:00 1 305 298 0.977 27 1
11:30 3 313 292 0.933 29 1
12:00 4 314 232 0.739 41 2
12:30 3 329 260 0.790 51 2
13:00 3 276 184 0.667 68 7
BMI/cable - TS4
End Lag Tick Counts Gaps
Time Seconds CME Feed Ratio Lnth Ticks
10:00 4 338 338 1.000 0 0
10:30 4 356 356 1.000 0 0
11:00 4 290 290 1.000 0 0
11:30 4 356 356 1.000 0 0
12:00 4 316 316 1.000 0 0
12:30 4 329 329 1.000 0 0
13:00 4 399 399 1.000 0 0
13:30 4 275 275 1.000 0 0
14:00 4 303 303 1.000 0 0
14:30 4 315 315 1.000 0 0
15:00 4 314 314 1.000 0 0
15:30 4 329 329 1.000 0 0
16:00 3 277 277 1.000 0 0
16:21 4 145 143 0.986 16 1
Signal - all feeds:
One puzzling occurrence is that there almost always is exactly one
bad tick in each day's Signal data and it appears identically in
all three of the above feeds. Very, very few days occur during
which this single bad tick fails to appear. The error is not
usually large - today's is the largest I've seen: at 12:18:41 NY
time, 1286.70 was reported by Signal as 1287.70. This error is so
reliable that it's almost as if it's being injected deliberately!
Today is the first time I've seen a corresponding bad tick in the
BMI/cable feed.
Signal/cable:
Performance was completely worthless during the first hour; 80% of
the ticks were missed! And the few which WERE received were 31
seconds late. It finally struggled up to 99% (1% loss) by midday
but then declined again going into the afternoon. In the last
half hour it was missing 1/3 of all ticks.
ESignal:
ESig was considerably better - until the afternoon. One
significant observation is that except for some large missing
blocks of ticks late in the day, almost ALL of the scattered
individual missing ticks appeared identically in both of the two
data collections. This shows that ESig failed to send them; they
were not lost within the local, collecting system.
Although they did not occur at the same time for the two
subscribers, both suffered losses of large blocks of ticks in the
late afternoon. The TS2000 user's data is missing ticks from
14:35:10 (NY time) to 14:36:22, from 14:41:03 to 14:43:41, and
from 14:54:40 to 14:56:49. The MetaStock user's data has a gap
from 14:09:02 to 14:11:04.
One example of the effect of missing even a few ticks is that
three ticks missed at 13:49:21 missed the local (5-minute) high of
1282.00.
BMI/cable:
What can I say?! I don't think I've ever before seen a perfect
score - NOT A SINGLE TICK MISSED and the delay is a constant and
reasonable 4 seconds!
Today (8/10) was clearly a day which greatly stressed the feeds -
for example, I've never before seen the Signal/cable feed so badly
overloaded as it was today. So, for the BMI/cable feed to have
performed as it did is nothing short of remarkable! (The one
"tick" missing at the end is, I think, a program glitch, because
the files match perfectly except for two bad ticks, one at
10:19:11 (NY time) and one at 12:18:41.
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