I’ve been running back testing algorithms successfully at the five second bar level and have been very happy with the results. When I run paper trading using this however many of the trades do not come through. I’m assuming this is because I’m overloading the system running about 20 symbols at that rate. Does anyone have any advice for successfully running at five second bars so all the trades come through without problems?

It works fine at the one minute level and I can see the trades that were supposed to have been executed when I run streaming on the chart at five seconds. They just don’t make it through from the strategy monitor.

Thanks!

Jon

WL is not a HFT platform (The SM's miminum bar scale is 1 Minute as you've figured out). And 20 streaming charts at Second scale indeed may be overloading the system. At any rate you'd want to disable as many Performance Visualizers as possible and choose a sensible data range.

Thanks Eugene. I wasn't sure what range was considered HFT. I will try those tweaks and work with higher time levels as possible.

Out of curiosity, I am using IQFeed which I know many people here use. I would've thought a major use case was to look at sub-minute timeframes, Fidelity seems good for minute upwards. Am I missing an important IQFeed use case?

I assume that WL doesn't contain specific optimizations for sub-minute trading (Second, Tick scales) which may be more "noise" than "signal" as believed by many. Provided you reduce the load by:

1) unloading as many PVs,
2) minimizing the data range and/or the number of strategy windows opened simultaneously,
3) optimizing your Strategy code speedwise -

you may have success with what you're doing in real time. The IQFeed provider is a good and reliable solution.