Best brokerages for active algorithmic trading

Discussion in 'Retail Brokers' started by algorithmic_rhythms, Apr 1, 2021.

  1. Hi guys,
    I've gotten heavily into algorithmic trading over the last year and I'm looking for a new broker. I'm not sure if what I do would be considered high frequency trading but I've made up to 20,000 trades in a day and the opportunities I go after gnerally persist from 50-300ms. I'm currently trading about 20 million shares of US Equities and ETFs per month and using Ameritrade and Tradestation.

    I need to be able to trade in lots as small as 100 shares, have a commission of 10 mils or less with no per-trade minimum, competitive fees and rebates on major exchanges, good selection of dark pools, ability to route orders without extra cost and preferably have access to a python-compatible API rather than using FIX. Colocation is a big plus although if the servers are located next to a major cloud provider I am okay with latency up to 30ms.

    I'm currently looking at Lime, Dash Prime, Atreyu, and Sage/Clear Street, but none of these is a perfect fit for me.

    Interactive broker's commission structure doesn't work for me (.35 minimum and 50 mils to route your own orders). Lightspeed is better but their fees/rebates and dark venues are not very competitive.

    I would love to hear what other brokerages people on here are using that would be a good fit for the kind of trading I'm doing.

    Thanks
     
  2. FSU

    FSU

    I can't answer a lot of these questions, but I would suggest you should be looking at different platforms that may meet your needs along with brokers.

    For example I currently use Dash Prime. I have a choice of 15 or so platforms. Some of these may meet your needs and others won't. If you find a platform that you are happy with, you could use it at other brokers as well.

    Here is a partial list. https://dashprime.com/#platforms
     
  3. 20k trade per day, monthly share 20million, does not add up. I also look for the broker of your criteria
     
    TrailerParkTed likes this.
  4. Does platform make difference as of the commission?
     
  5. 10k is about average, 20k is the max I've done
     
  6. Robert Morse

    Robert Morse Sponsor

    I'm happy to discuss your situation and needs directly.
     
    Last edited: Apr 2, 2021

  7. I've looked at a lot of these EMS/OEMS and I definitely see the benefit in going with one of these. RealTick (EZE) EMS seems to be the best suited for writing code in python. I don't like that their API is not completely documented and the python GUI isn't well put together, but I don't really need the GUI. I would love to use Silexx and I can tell that the people who wrote the code did it incredibly thoughtfully. However it seems to have been acquired by CBOE and they provide zero documentation on it. They've been able to answer a few questions but not to my satisfaction. I was able to reverse engineer the .DLL files from the silexx package and import them to python. I managed to create a working trading solution but if anything were to break I don't feel confident I could get support.

    I should probably just write the FIX code myself but I'd get more value out of putting that time into creating strategies. I may have to go down this route but I've been resisting it. I started doing this with Dash and they were helpful about setting up a test environment but I just don't have to time now to write all the code from scratch.
     
  8. FSU

    FSU

    It may, some platforms may add a tack on fee per contract/share. There is also different monthly fees.
    So you may have different rates at the same firm with different platforms.
     
  9. FSU

    FSU

    You may want to check out the WEX platform as well. The have a pretty robust auto trader that may at least partially meet your needs. You can use them with multiple brokers and you have a choice of using their routes as well as your brokers.

    Trading Platform - WEX (tradewex.com)
     
  10. Fain

    Fain

    How big is your account?
     
    #10     Apr 1, 2021