30. Search Process for Fastest Data Source

Published at 1661143531.537925

Higher Speed, Higher Efficiency

Algorithmic traders all want access to the fastest data source to improve performance while reducing transaction randomness.

For some algorithms like market-making, scalping, and arbitrage trading, the fastest data source means a lot of real profits. A slower data source only leads to paper profits.

In other algorithms, the fastest data source plays a role of reducing noise. Reducing noise will ensure algorithm performance isn’t the result of randomness, even though noise is not inherently an adversary for trading.

Finding the fastest data source is therefore in high demand for all algorithmic traders, especially for the Vietnamese stock market.

Available Sources in Vietnam 

There are four main data provider groups, each consisting of multiple data sources.

  • Live board of security company: this is data from live boards of brokerage companies like SSI and VND. There are at least 50 data sources in this group. Some require registration while others offer it for free.

  • News website: data from financial news websites like Cafef, Vietstock, and Stockbiz. These websites provide free data, but do not aim to serve traders, so the latency is very high.

  • Data service provider: data from data providers such as Fialda and Fireant. AmiBroker is popular among Vietnamese algorithmic traders. It is one of the most popular data sources.

  • API: the application programming interface provides free data. However, to access data from the API, the algorithmic trader needs programming skills.

The Speed of Data Group in Vietnam

The ranking of each data group is as follows:

  • API is the fastest group. It’s built exclusively for algorithmic trading from brokerage firms. It’s always the fastest data pool in the market.

  • Data service provider is ranked as good. Data needs standardization and moves through multiple intermediary stations before reaching the end user. This can cause some latency.

  • Live board of security companies is ranked as average only. It only focuses on user experience rather than speed. It definitely does not have the top speed.

  • News websites are the slowest. It aims to provide financial news, and speed isn’t among their priorities.

Verify the Fastest Data Source in Vietnam

We first collect all the FIX APIs and RPC APIs available in the Vietnamese stock market. We use a simple algorithm to count the number of times each API is fastest. The API with the highest points is the fastest data source in the market. The figure below tests API speed on Feb 14, 2023.

At ALGOTRADE, the daily score is used to determine the current fastest data source. It will automatically be used as the main data for the next trading day.