I've been experimenting with API for a while, I've been trading actively for a few years now so I feel i know just about enough to get me into trouble. I've been reading a lot of the posts here and am trying to factor in slippage and execution speed into my strategies. As I have been thinking about speed of data and execution I contacted my prop firm (they offer API) and tried to get my server hosted at their data vendor's cage at NASDAQ/INET with a direct feed. I figured I'd be receiving data/executing with a zero ms delay. They haven't yet told me whether its possible or what it would cost if it is, I was wondering if anyone here has done something similar or has an idea of what i should expect to pay (High and Low) for that kind of connection,. This will be my first âblackboxâ experience, any info is appreciated, Thank you.
I have inquired in this regard in the past. I know that several firms offer hosting for black boxes, including Genesis, Assent, VTrader, and probably Bright. I cannot disclose specifics, but some firms charge nothing for this service, while others have a monthly fee ranging from $150-$1500+. There are also more expensive solutions if you are not providing your own hardware. On a slightly unrelated note, I caution you to carefully scrutinize the assumptions of your model for dependency on latency. If you think that a delta of +5ms-+500ms in sampling will have a significant affect on the outcome of your strategy, I suggest that you approach such a strategy with an abnormally high degree of skepticism when you take it live. In other words, beware of sampling error.
Thank you for the concern, My strategy is not dependant on execution speed but I'll take any advantage I can get. I try to always remain skeptical when dealing with equity markets
There are very few primary data vendors that are directly connected to NASDAQ, SAVVIS, Radianz, MCI, Sector (the old SAIC network). I think that's it. Of all of them, only SAVVIS and MCI offers hosting services. It depends on how much you are willing to spend for colo, I think the order of $4k - 7k / month would be in the neighborhood for 1-2 server setup. I use SAVVIS for colo, but I don't subscribe to the NASDAQ data streams. Also the latency is not 0 ms, it is very low (1-2 ms), since the Savvis data center is right next door to the Nasdaq POPs. One step down would be to colo at a broker that has a connection to one of these primary data vendors. I think Lime Group, Redsky, the type of firms that specialize in catering to automated trading systems, will be a good place to colo your servers.