[ts-gen] Fair merge [Was: Do I really need to tail -f ShimText?]
mail at ngebhardt.de
Tue Sep 15 15:59:59 EDT 2009
On Mon, 2009-09-14 at 18:35 -0400, Bill Pippin wrote:
> > Currently I also separate between data stream and order data stream
> > on FIFO pipes. ...
> Why? Are you using two shim sessions, or have you split the original
> log stream earlier? If the former, why not one shim; and if the second,
> why not dup the original?
I have two shim sessions .
> There are currently no advantages that I can recall to using data mode
I have to admit, there is not a convincing reason. There is one small
reason, rather psychological than anything else: a small order reference
log file without the tick noise makes it easier to control the order
flow / status situation by inspection.
People who care - me definitely not - for ultra low order latency
probably tend to separate tick and order streams in general.
Concerning the data stream, I am missing a few more ticks than I would
expect. For example, I get quote size updates, - and I do not expect to
get every update - but the corresponding quote bid/ask price update is
missing from times to times, so the size updates are refering to
outdated bid/ask prices and are effectively not tradeable. I thought -
since these quote should arrive at least to my computer to the gui - in
vague speculation it might have to do with buffering problems and stream
separation might ease the situation, but this seems to be useless
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