Infrastructure
polygon.io vs alpha vantage - which data feed for algo trading
·1165 words
data feeds = foundation of algo trading.
garbage data = garbage trades.
i’ve used both polygon.io and alpha vantage extensively.
spent months researching data feeds when i started trading. NexusFi community helped narrow down options to these two.
upgrading chicago colocation to 10gbe - latency improvements
·798 words
chicago colocation server needed upgrade.
1gbe connection = bottleneck.
current setup # location: chicago datacenter (equinix CH1)
migrating market data to timescaledb - 10x query speedup
·598 words
been storing market data in regular postgres.
works but slow for time-series queries.
migrated to timescaledb this week.
10x speedup on historical queries.
got the idea from NexusFi algo infrastructure discussions about optimizing market data storage. someone mentioned timescaledb and i researched it.
refactored data pipeline to async - 3x faster market data processing
·907 words
been running synchronous data fetching since january.
works but slow during market open.
refactored to async this week.
3x speed improvement.
the problem with sync code # # Old synchronous approach def fetch_market_data(symbols): results = [] for symbol in symbols: data = fetch_from_api(symbol) # Blocks here results.append(data) return results # With 10 symbols, takes 10 * 180ms = 1,800ms total each API call blocks until complete.
added redis caching - cut market data latency by 60%
·910 words
been noticing market data latency creeping up.
average fetch time: 180ms from polygon API.
slowing down entry execution.
the problem # every time algo needs current price:
IB increased my margin - didn't ask for it
·510 words
woke up to email from interactive brokers.
“Your account has been approved for portfolio margin”
didn’t apply for it. they just gave it to me.
what is portfolio margin # reg-t margin (what i have now):
interactive brokers vs tastyworks APIs - which is better for algo trading
·803 words
been using both IB and tastyworks for 4 months now. the thing is matters for algo trading.
background # started with interactive brokers in january when i went live. added tastyworks in march specifically for options premium selling.
polygon.io data feed review after 1 month
·624 words
been using polygon.io for options data since april. here’s my review after 1 month.
background # was using alpha vantage (free tier) until march. data quality was shit:
thinking about server upgrades
·322 words
current setup is working but thinking about upgrades. also might be procrastinating dealing with trading losses.
current setup # home server: