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Broker-side feed disconnection

Occasionally, your connection to your broker’s price feed is disconnected, either because of your own terminal/router/modem issues, or issues arising from your internet provider/VPS service. This happens often enough that most programmers will consider how their EA’s will pick up and manage open positions when the connection returns.

However, as with what I experienced today, Alpari’s feed froze for 45 minutes while I had an open position. This becomes an issue because price data is missing from the disconnection to the reconnection time, affecting how indicators are plotted and hence filter/entry/exit logics are calculated. (The lack of price feed from the broker was confirmed on 2 PC’s connected via different local internet providers, AND 2 different VPSes.)

The time of the disconnection coincided with the S&P announcement of its downgrade of Spain. Pure speculation, circuit breakers may have been deployed. I note also the rather accurate 45 minute (almost to the second) pause. Whatever the reason, the disconnection really shouldn’t have happened, or at least not for 45 minutes.

It is difficult to have any meaningful maintenance of trade logic with the lack of prices, hence it is virtually impossible to code in such a contingency, unless the trade logic is exceedingly simple. At the most, an alert to be sent via sms/email when the Market Watch time is too far behind the adjusted system time by a threshold, followed by manual oversight.

All this is why I find it is important to have more than one broker for comparison.


Edit: 2012-04-27 0130 GMT

Missing price data, total of 9 M5 bars:

Price data available:

With this in mind, note that demo servers tend to have more instances of disconnections so a forward test on a demo account is not necessarily the best indicator of performance. Unless you are exhibiting the robustness of your system even in a nonsensical price feed scenario.

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