Potential for skipping a price?

Questions about integrating Excel and Cymatic, programming, formulae, etc

Potential for skipping a price?

Postby towelfox » Sun May 19, 2019 3:14 pm

Hi,

I continue to make good progress with my automation project and I'm gathering as much data for real-time and post event analysis as possible.

I wondered, is it possible that a price could change multiple times between spreadsheet refreshes despite using streaming mode?

I have a VBA collection Keyed by a string representation of the odds available at Betfair. Each item in the collection is a custom object which can store volume and a timestamp.

I'm currently having to assume that when the sheet updates and the volume increases that all of that volume should be attributed to the LTP. Is that fair?

Many thanks,
Rob
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Re: Potential for skipping a price?

Postby Gavin » Mon May 20, 2019 3:57 pm

Hi Rob,

Yes your only choice is to assume that the volume change was all at the last traded price (LTP). You are correct in realising that it is an assumption that may not be strictly correct for two reasons:

1. A spread of prices might have been matched at the exchange during the last update, however the last traded price won't reflect that (because I don't believe it is delivered as an average of all last traded prices in the that data processing cycle at the exchange).

2. Some data may be conflated. This could occur if your internet connection speed or your PC's processing power is momentarily unable to keep pace with the potentially vast number of data changes trying to be sent from the exchange. Conflation is a common method used by financial exchanges (and also deployed within the Cymatic software itself if needed), to ensure that when you see an update that it is only the most recent update (rather than a delayed stream of updates that you weren't able to process promptly). Most PCs / users won't experience much conflation and even if they do, it is preferable to experience conflation rather than delayed data processing.

Kind regards,

Gavin
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Re: Potential for skipping a price?

Postby towelfox » Thu May 23, 2019 6:22 am

Thanks Gavin,

I have now implemented what I was looking to do and even looking at a very busy horse racing market I don't think I'm missing too much data so things are looking great.

Everything that gets updated gets put into various objects and collections and then they're interlinked for interrogation in real time and for logging after the event.

Nothing has crashed or even slowed down so fingers crossed I can run some strategies from it... We will see!
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Re: Potential for skipping a price?

Postby Gavin » Thu May 23, 2019 11:56 pm

Hi Rob,

Thanks for you r reply. I'm glad to hear that its working nicely.

It sounds like you're brewing up something good there!

Kind regards,

Gavin
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Re: Potential for skipping a price?

Postby towelfox » Tue May 28, 2019 11:35 am

Yes I'm making steady progress. It's a bit weird using Excel given that other than logging I don't use the spreadsheet functionality but it's great for rapid prototyping. Ultimately I'll port it to (probably) python so it can sit on a VPS in London, if I can write any effective triggers 😁

I don't have any plans to make it public, but once I've implemented the betting objects I can send you a copy if you'd like. I'm sure you have much more advanced automation for yourself given the have the full API at your disposal but if you're interested let me know.

Cheers
Rob
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Re: Potential for skipping a price?

Postby Gavin » Thu May 30, 2019 3:40 pm

Hi Rob,

Yes of course, feel free to send me anything. I'm not sure what input I can offer as I tend to be up to my eyes in work, but it would certainly be interesting to take a quick look in case I spot something that helps you or maybe even notice any mutual opportunity.

Keep up the good work,

Gavin
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