Stage 6, day 25:
I did fix more things in the client yesterday. I did notice that the timestamps included in the exchange are now in the future. I did wrote some code to get logs proving this suspicion and it did turn out to be correct. The timestamps are about 250 ms in the future.
Considering the connection RTT and that the local clock is perfectly synchronized with NTP, this is obviously wrong.
I wrote to the exchange support about my discovery and I have an answer in my mailbox.
but beside that, I got a small moment of despair. Something did change in the market conditions that has significantly diminish the developed strategy potential.
To summarize, the first time that my system did start to trade was early March. That must correspond to BASE stage 3. Since then, I never stopped to discover glitches and improve the trade execution. That was super motivating because many trades were triggered daily. With capping trade size to about $100, there was enough trading to put my last 30 days trade volume up to $10,000 USD or more.
I did let the server operation go for about 3 weeks in June to focus on developing new client features and now that I have resumed server operation, trades have become very rare. I got 2-3 last week-end (and one of them has been triggered by fake data sent out during the exchange maintenance window) and I had 1 yesterday.
The potential has dried up during June... Once I have made this realization, it kinda remove the motivation to make the system work and improve if what it has been designed to do has stopped working. This morning, I did lower the trade trigger bar to see if it change something. Or else, I'll need to steer in a different direction fast.
That is where I am this morning.
Update: It has been confirmed by the exchange support staff that they had an issue with their book updates timestamps. They are off by about 200-300 ms.
I did fix more things in the client yesterday. I did notice that the timestamps included in the exchange are now in the future. I did wrote some code to get logs proving this suspicion and it did turn out to be correct. The timestamps are about 250 ms in the future.
Considering the connection RTT and that the local clock is perfectly synchronized with NTP, this is obviously wrong.
I wrote to the exchange support about my discovery and I have an answer in my mailbox.
but beside that, I got a small moment of despair. Something did change in the market conditions that has significantly diminish the developed strategy potential.
To summarize, the first time that my system did start to trade was early March. That must correspond to BASE stage 3. Since then, I never stopped to discover glitches and improve the trade execution. That was super motivating because many trades were triggered daily. With capping trade size to about $100, there was enough trading to put my last 30 days trade volume up to $10,000 USD or more.
I did let the server operation go for about 3 weeks in June to focus on developing new client features and now that I have resumed server operation, trades have become very rare. I got 2-3 last week-end (and one of them has been triggered by fake data sent out during the exchange maintenance window) and I had 1 yesterday.
The potential has dried up during June... Once I have made this realization, it kinda remove the motivation to make the system work and improve if what it has been designed to do has stopped working. This morning, I did lower the trade trigger bar to see if it change something. Or else, I'll need to steer in a different direction fast.
That is where I am this morning.
Update: It has been confirmed by the exchange support staff that they had an issue with their book updates timestamps. They are off by about 200-300 ms.
