Market Data Gap Checking

Since a continuous data feed of market data is essential for most trading strategies, AlgoTrader contains a feature that automatically warns if no market data has been received for a prolonged period of time. For this purpose the classSecurityFamily has a property maxGap, that defines the maximum number of minutes allowed without any market data updates. This is enforced by the CHECK_SECURITY_TICK_GAPS statement which can be turned on by changing the following property inside conf-core.properties. Alternatively the properties can be changed via VM arguments

# enables security tick gap check
statement.securityTickGap = true

Crypto currency exchanges are typically using web sockets to deliver market data. Web socket connections are typically not very stable and it can happen that a web socket connection disconnects or suddenly stops receiving data. For this purpose AlgoTrader has a feature that automatically reconnects the corresponding adapter if no market data has been received for a prolonged period of time. This is enforced by the CHECK_ADAPTER_TICK_GAP statement which can be turned on by changing the following property inside conf-core.properties. Alternatively the properties can be changed via VM arguments.

# enables adapter tick gap check
statement.adapterTickGap = true