FIX is the protocol used to send and receive order messages to Brokers, ECNs and Exchanges. This protocol is pretty much the standard in the industry. We use FIX to connect our automated trading systems to the the market. When I mentioned the times in my earlier post I was measuring the time between when I send out an immediate or Cancel Order and when I receive a Fill or Cancel back from the ECN over our FIX connection.
Complexity , Well put. ARCA is quite slow for FIX traders. Most of our FIX traders do most of the order flow on REDI & ISLD. Most traders would not notice the difference between REDI & ISLD . It really depends on your strategies your are using. 100 ms can make a difference. We get REDI executions in 250 ms < , most of the time. Gene Weissman Lieber & Weissman Sec., LLC gweissman@stocktrade.net
Complexity: Thank you for the great information on ECN speeds. I am also involved with automated trading, but have not yet implemented systems to continuously track ECN speed. Your data is a huge help, and very timely for me. I've noticed lately that when trying to get rid of odd lots, that ARCA can be extremely slow. As I currently use the ARCA order routing for marketable orders, it is good to know that they suffer speed problems when compared to REDI. I'll try switching back to REDI for marketable orders (odd lot and otherwise). We ought to open up an automated trading thread, or better yet chat on the phone sometime. FYI, I've sent you a PM with my contact information. Best of luck, -Eric Patterson
Using REDI for odd lots is an even worse idea than ARCA since if the odd lot ends up on REDI's book due to lack of other odd-lot accepting liquidity pools within your price limit REDI will only match it with other incoming odd lot orders regardless of price. As far as using ISLD for non-marketable limit orders is concerned, this has become increasingly problematic over the past year due to the increasing practice of non-displayed fractional cent frontrunning. Ever since I've started directing all non-marketable orders to INCA I've noticed markedly improved fill rates.