Best Latency?

Discussion in 'Automated Trading' started by Lucky, Mar 30, 2010.

  1. Lucky


    I was wondering if anyone here keeps track of their connection latency to their futures brokers, delay from quote servers, or have some idea of order processing times.

    I'd really like to hear what kind of numbers people are logging. Also, if any of you are willing to PM me order entry and/or data server URLs, I'd love to see what sort of routes and times I actually get.

    Around here, it sounds like Rithmic takes their speed & data quality the most seriously. They claim a <250us delay to create an order... but Vision (and IB Optimus?) say they have an order execution time of <0.5s, which is a 2000x increase. I assume that's from going through "risk management" before the order is forwarded on to the exchange?
    Still, the additional delay seems a bit excessive. Is this really the best retail traders can get? Are all Rithmic brokers going to be the same in processing speed?

    People report TT's API has good data and speed too; anyone have info on fill times with a certain broker and TT?

    ...and while we're at it, I've got to ask about OpenECry, they've offered some great rates :D and I've got a pretty good connection to them, but I'm a little worried about their API and actual execution speed...

    Did anyone read all that?
  2. Rithmic appears good but I have never used them; our servers are hosted at 7 Ticks and GuaveTech's market data centers. They do a very good job of maintaining our speed; you could just rent an office space at the cbot and get a jackson direct line....

    TT is too slow to play but maybe pay the execution game; trust me I have tried before. I really like cqg's new server based spreader though. It is much faster off the shelve than anything I have seen on the market.
  3. Lucky


    Unfortunately I think those market data centers are above my budget; I was thinking more like just doing a standard colo at CBOT or Lakeside... and my volume won't be enough to justify going direct. Hadn't even heard of GuavaTech before, good to hear of more options

    OK, will stay away from TT :p
    Yeah, I've heard about CQG's spreader too, I really want to play with that one. One distraction, er, project, at a time though...
  4. Colo at your broker or at can reduce net latency to 3ms.

    Typical Network Latency
    Continental US: 40 - 60ms
    Europe: 120 - 170ms
    Asia: 220ms - 300ms

    CME group averages 9ms to order match and report trades down from 16ms in 2008. CME FX averages 3ms.

    Rithmic Order release triggers are meaningless. Even Excel can trigger orders via DDE in 100us or less. You need to measure the full order process. is used by CME and other exchanges for latency monitoring.

    25ms is about the best you can achieve for complete order process at Broker colo. ie. trigger order - credit release - execute - clear.
    3rd party clearing may introduce further delays. Remote estimate add your r/t net latency... 65ms - 75ms US.

    Just processing quote feeds would be your net latency + processing time. Last trade prints processed at colo are 9 - 12ms old. Remote 25ms - 50ms.

    OEC/Optionexpress is on Level3 backbone. Check your ISP's peering arrangements or do a tracert. they are a bit of a hybrid as orders are staged and held on their server for near colo type order process cycles. Your quotes are still subject to net latency. RCG does the clearing so there may be a slight delay.

    IB smartrouting introduces additional delays and their feed is throttled at 6 updates per second.

  5. Lucky


    So assuming I'm coloed with or near my broker, it seems like the thing to worry about are my broker's processing speeds.
    So who would you suggest?
    And who's best for clearing?
  6. I prefer being broker agnostic. If you are simply staging and managing limit orders latency becomes moot. TT has the largest broker base albeit with slightly differing implementations. Use who ever provides the best platform and tools to execute your strategy.

    If your trading system is constantly placing series of sub second market orders than you would want to colo and trade through a firm that clears. Bypass all Broker API's and have your application certified to connect and trade directly on Globex. Checkout RCG.

    There are a lot of decent brokers, platforms and API's to choose from.
    Really depends on your $, strategy requirements and development capabilities.
  7. Sorry to be thick, but what do you mean by "staging"?

  8. Are you saying that TT market data slow but execution good. Do you know how slow exactly? I know CQG market data is consolidated for few ms. Do you know what figure is for TT feed? And are you talking XTAPI connected app or TT FIX?
  9. Staging in this context is placing exchange supported order types so they process on the exchange servers independent of your connection. Page 11

    Latency is relatively moot if you are simply staging limit orders, they queue on the exchange order book. Your quotes may be delayed by 1/2 of your network latency ie. 25ms US, 60ms Europe etc. You will have issues if you are constantly canceling and replacing orders or perceived slippage when utilizing market orders. All issues are fairly manageable if you understand the constraints.

    #10     Apr 1, 2010