Does any one here have stats on the average time it takes to fill a market order on IB's IDEAL PRO forex ECN? To be more specific: If you send a market order (or marketable limit order), what is the average execution time in milliseconds it takes from a NewOrderSingle hits their server to an ExecutionReport is sent back (assuming FIX is used)? (there might be better ways to define a measure of execution time but I do not know their specific setup).
are you worried that Goldman Sachs is front running you Now a days that's not such a crazy statement is it :eek:
Just a reminder that when you are looking a milliseconds, your network speed, quality of network and physical location are are going to play. I'm on the west coast of Canada and even though our signals are travelling at the speed of light, the servers for IB might be closer to you than me.
Yes, total latency is dependent on the specific setup. What I am interested in knowing is the approximate time (within some range) it takes from a market order arrives at IB's order matching server to the order is filled - which is independent of ping time.
~100ms < x < 1000ms depending on market conditions. trying to arb fx brokers gets you most probably banned after the 5th trade or so unless you trade off an "ECN like" broker such as IB. Arbing two ECNs (nowadays) is virtually impossible in fx space. Its very easy to detect. Or any other reason you may be interested in the time it takes to match trades on IB's side?
Thank you for your reply. It is generally useful as input to the simulation environment. Execution time estimates are important in any HF strategy, no matter what the strategy is otherwise based on.
My brother and I have been comparing the Bid Ask on the futures most today the NQ and consistently for the past hour IB is lagging almost a full point with the BID ASK on Ameritrade. I am going to be watching my trades and following my brother very closely next wk and compare that with the other futures. We call the BID ASK SECOND BY SECOND WHEN NQ STARTED TO MOVE AND THIS HAPPENED TIME AND TIME AGAIN. IB WHAT IS GOING ON, IS AMERITRADE ABLE TO GET THE QUOTES AND SEND IT TO THEIR CLIENTS EARLIER. This means we are always late, not sure if it could be related to flash trading and smart routing executions not being smart for a trader.