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Quantopian live trading synchronization?
Grant Kiehne
posted Nov 20, 2014

I came across this:

http://www.finra.org/industry/compliance/markettransparency/oats/faq/p085544

It is an FAQ on a the application of rules regarding the synchronization of transaction time stamps.

Is the Nanex Nxcore --> Quantopian <--> Interactive Brokers system subject to these rules? Sounds kinda tricky, as the first FAQ states:

All computer system clocks and mechanical time-stamping devices must be synchronized to any source within one second of the National Institute of Standards and Technology (NIST) standard. All of your clocks and time-stamping devices must remain accurate within a one-second tolerance of the NIST clock, including
--the difference between the NIST standard and a time provider's clock;
--transmission delay from the source; and
--the amount of drift of your clock. (Last updated 5/7/12)

Is the clock used to generate minutely time stamps accurate to within one second of the NIST clock?

4 responses
Dan Dunn
Nov 20, 2014

We don't apply our own timestamps to trade data. The NxCore feed has the timestamps on each trade, and we use that.

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

Grant Kiehne
Nov 21, 2014

Thanks Dan,

Any idea if NxCore and Interactive Brokers conform to the one-second tolerance NIST-traceable timing I mention above?

As a specific example, say that NxCore applies a timestamp t = 0 to a minutely closing price for SPY. And if I assume that there was an SPY trade captured by NxCore right at t = 0, then what are the lower and upper bounds for the time (t_call) when handle_data would be called relative to the actual trade of SPY (using the same clock as NxCore, of course)? In other words, min(t_call) = ? and max(t_call) = ?

Also, when you return an order status from IB to the algorithm, does it include an IB timestamp? Or are you just applying the timestamp from the NxCore feed (based on when the order status becomes available to the algorithm)?

Grant

Grant Kiehne
Nov 21, 2014

Thanks MM,

Interesting info. regarding the SIP. If Nanex is using a standard clock and the consolidated tape uses that same clock, then the whole thing should hang together (to within a few seconds, I guess). Does the SIP tape come with timestamps on the individual trades? Or is it just a stream of prices & volumes?

Also interesting that IB does not send timestamps with market data. Not exactly putting retail traders in a competitive position is my gut reaction. Why would they not provide timestamps? And ironically, there is a requirement to timestamp to within 1 second, but no requirement to provide the timestamps along with the data? Hmm?

Regarding the IB --> Quantopian <--> IB timing, if the order fulfillment timestamps are available on the IB side, then one could sort out the delays, at least with respect to calls to handle_data. Quantopian must have statistics by now.

Grant

Grant Kiehne
Nov 23, 2014

@ Dan,

Any chance you could open-source the code you are using to construct the daily and minutely bars? Also, you mentioned awhile back (https://www.quantopian.com/posts/live-data-feed) that at some point, you'll be providing more than just summary bar data. Is that still in the works?

Thanks,

Grant

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.