Execution Speed

Discussion in 'Automated Trading' started by polee2000, Jun 23, 2006.

  1. I worked at this ETF MM, and had to call CME to confirm trades since our connection was down. I am no longer with the company now. I would like to know where to place my server that has the same speed as my ex-employer.
    also. is there a server room within CME that you can place your server and directly connects to their server ?
    what is the common setup for all the major speedshop ?
    thanks
    Currently I am using TWS API and some hosting service(25MS ping to IB). but 40% of my MKT orders are like 1tick off, and 15% are like 2~3 ticks off. I can't really put more money into this strategy since the executed price is butt ugly.
    thanks
     
  2. Velocity Futures has a data center in Chicago where you can place a server based automated strategy with XTrader. The connection there is exceptional and they have some good rates.

    I am sure you could find several other Chicago based brokers with data centers there if you need the speed. :)
     
  3. Basically, you are looking at one of three possible setups. One is to co-locate at a broker / clearing firm that has a direct link to CME, you need to ensure that the firm has at least a 10 mb/s network link (should be the 20 mb/s ideally) to Globex. Naturally, most firms would want you to guarantee a minimum commission generated per month, or will change you for the hosting, around a min of 3-5k contracts / month is seen. Two is to co-locate at a colo data center providers (like Savvis, or 7Ticks), the colo data center will charge you monthly per server, Last time I checked it was around 1500 - 2k per server per month. Three is to setup your own data center (or rent space in a data center "hotel"), then drop you own CME network to it (again, at least 10 mb/s), based on CME pricing, you are looking at 5k - 10k / month for the network connectivity alone.

    As you can see, most of these setups are out of reach for "retail" type of customers. Of course, if your system is critical to you, ideally you should have a pair of network connectivity for redundancy (which the broker firms / colo centers would have).

    On top of network connectivity, it is also a function of how your application is setup. To get the "professional" speed level, ideally, your application should write directly to Globex APIs, rather than going through some broker API (for *both* market data and order routing), which, of course, is both time consuming and developer resource intensive, and also implies that you will need to at least a leased CME seat (to gain access to the direct exchange APIs). The usual time frame for a few good developers to write to Globex MDP (market data) and iLink (order routing) is a minimum of 5-6 months, not to mention the testing and certification time period necessary.
     
  4. RuFus,
    Can quickfix be integrated with GLOBEX ilink ? also.
    I believe there are vendors that focus on trading tech consulting maybe they do sell something like standard market data package. for like 20~30k. I do about 3000 lots a month (MKT orders) . as you can see if every lot is off by 1 tick on average adds up.
    thanks
     
  5. Yes, quite a few people use QuickFix here, I use a blend of QuickFix and my own Fix package (eventually replacing QuickFix) to connect to Globex. I have not heard of tech consulting firms selling the standard market data feed handlers for MDP for a low price, I believe CMC would charge about 50-75k, and then that need some custom integration work, which would be extra. Money is not the issue here, time is. I know people who used off-shore developers to write to CME cheaply (20k or so), but because they are not experienced in the process, it took them almost a year.
     
  6. Okay, assuming I am planning to do the FIX with only 2 people. and I am only interested in doing E-minis currently. what do you think of trying out the quickFIX with InteractiveBrokers first, get it to work first. then eventually hire a consultant to get it all setup with GLOBEX properly (possibly getting a new broker). Or I should take a different route of setting up FIX(MD and Execution)
    currently I playing with 150K, but in the near future more capital will come in. I dont think TWS API is going to cut it NO WAY
     
  7. there are two elements to consider - first is how fast the broker gets the data to you - if the data is a few hundred milliseconds slow, or lags during fast market, then the decision your system makes to execute is going to be slow too.

    Then there is the issue of order latency. Remember, order latency and ping time are two different things altogether. You might ping your brokers server in 25ms, but I can bet your ass that IB do not return a filled market order confirmation in 25ms from sending it.

    At the end of the day, IB are a retail broker with retail service capabilities. 99% of retail clients will not care about a few hundred milliseconds data lag/order latency.

    If such small delays make a difference to your performance, you need to be looking for pro speed with platforms like TT and/or a localised exchange gateway.
     
  8. def

    def Interactive Brokers

    IB is a professional broker with professional capabilities - including a number of T3 lines direct into Globex. I don't have our exact speeds handy for Globex but I am certain our speeds are competitive.
     
  9. If you worry too much about speed, nothing beats getting a sneaky bidirectional peephole into the trading engine computer at the exchange itself.

    If you can't get this fixed up for you, you'll have to work much, Much, MUCH harder on your "Automated Trading" solution. (I shouldn't really have told you this - I just gave away a big secret!) Don't blame execution speed if you're a loser. Nobody uses 15mins execution speeds anymore these days. :)
     
  10. I seem to recall FuturesTrader71 doing a fairly extensive comparison of submit-to-confirm-receipt latency with IB vs TT and discussing it in another thread
     
    #10     Jul 4, 2006