Eurex Matching Engine/GW Latency - can anyone corroborate?

Discussion in 'Order Execution' started by oversea, Sep 25, 2017.

  1. oversea

    oversea

    For well over a month, we've been seeing some rather shocking latency on our orders at Eurex. For the last few weeks, between a quarter and half of all of our fills have been taking several milliseconds (sometimes 40ms+!) for the exchange to match and send back an execution report (based just on their timestamps), instead of the typical ~250us.

    Our broker's TKAM at DB just sent this:
    We are very aware of the seriousness of this problem and solving it is currently one of our highest priorities with higher management heavily involved. Many customers are affected and there is unfortunately no fixed pattern which and how many Gateway/Matching Engine combinations are affected when the problem occurs. All T7 HF, LF GWs for both Xetra and Eurex seem to be affected.

    Can anyone corroborate that they are also experiencing this same thing at Eurex (or Xetra)? Or, can anyone say that they are trading on Eurex and have not been encountering this over the last few months?
     
  2. waitwhat?

    waitwhat?

    Yeah it seems to be a broker problem. Havent had any problems like that
     
  3. oversea

    oversea

    Thanks for your message.
    Just to be clear...
    Our broker's TKAM at DB
    DB meaning Deutsche Boerse.

    So...that is someone that works for Eurex telling us that it's an issue on Eurex's end rather than our broker's.
    We don't doubt that...what we're suspicious of is this: is it really something effecting large portions of Eurex (like they are telling us), or just a select few gateways?
     
  4. waitwhat?

    waitwhat?

    If this is so then it would be specific getaways. Which products you trading? Cause the main futures like Bund, stoxx etc work like a charm no lag of short there
     
  5. oversea

    oversea

    In one part of the email they've basically indicated just as you're saying. But in the next sentence they say all gateways are being affected (albeit, intermittently).

    So...for marketable orders, roughly 99% of your orders are being filled in <500μs?
    We're trading mostly in different product groups than Bund and stoxx, so that could be the difference. However, we've also seen similar lags (5-40ms+) on the EMDI feed. They've previously told us that is due to the same problem, and on the md side, we've seen it on some stoxx products that we were streaming.
     
  6. oversea

    oversea

    Where?