Feed latency, filling and RT time

Discussion in 'Order Execution' started by marauder, Jan 13, 2011.

  1. marauder


    Hello all,

    I'm trading eurex via IB's european server. My ATS happens to be located at Germany, thus my global RT time ( ATS <-> IB Server <-> Eurex) is pretty good.

    Problem is... the feed. If I use IB's quotes, they are of course as fast as my fills are (they being echoed from the same european IB's server, too) but as we know, they use aggregation.

    I'm not a big fan of aggregation. For me, it poses two problems:

    1) it's my understanding that IB sends, at most, 6 updates per second. That's giving me a granularity of 150ms... at best.

    Ironically, my ATS is not being held back by line latency or hardware/application overload, but by a limitation from my broker. My ATS can only "decide" every 150ms, at best.

    2) Aggregation can make you to miss some interesting parts of the movie. 500 lots bought is one thing; 900 lots bought - 400 lots sold whithin the same 150ms time window is another very different thing. Unfortunately, both will appear as "500 lots" with aggregation.

    I have been searching for those so-called "true tick" feeds. IQFeed seems a great product, and it has a good API (perfect for integrating into my ATS), but... their servers are in Denver, CO.

    Ping RT from Germany to IQFeed's quote servers in Denver averages 140msec. Of course EUREX data will have to travel to their servers first.
    Let's simplify by making the RT symmetrical, i.e., :

    eurex -> iqfeed = 140msec
    iqfeed -> back to my ATS = 140 msec

    Here you go, +280msec as a "gift", from europe to america and back again to europe. Pretty ridiculous, considering that the thing itself, the euref feed, is only a few kilometers away from my ATS.

    What I'd need is some feed with good integration capabilities (iqfeed excels here: great API) and, for God's sake, it should have an european-based server... could you please help me in finding such a feed provider?

  2. rosy2


  3. moarla


    what i have noted is that feed from EUREX via IB is not hat much aggregated. it seems to me that this feed is better then from CME.
    and normaly IB sends at least a tick when there is a price change.

    ZENFIRE should have a true tick but not shure
    esignal ?
    dtn ?

    Advantage futures via TT X-Trader has thrue tick on live feed
  4. marauder


    thanks for your answers,

    DTN/Telvent is, indeed, IQFeed. They have an excellent feed (true tick) and a good API; a very developer-focused product, I really like them.

    Their only problem is that they have USA-based servers only, which, according to my measurements, add some 140(forth)+140(back) msec in the loop while working with Eurex exchange. 280msec is a whole world...

    eSignal seems a robust product too... the problem I see with them is that they are more of a "trading suite" than a simple feed service. They have a GUI, some nice charts and software... etc. etc. when you are looking forward to integrate a data feed with your ATS, you usually aren't looking for any charts, propietary software, or fancies like those. I feel that my needs are not near eSignal's target customer ones.

    Finally, yes, I already know about "The Thing Itself", i.e., Eurex's own colocation facilities.
    Their global average RT is 4-5 msec. What you get is what there is, absolutely; That is state-of-the-art HFT, the final goal. The Thing Itslef is as fast as it gets.

    Eventually, I'll be moving there. But I feel that I'm not yet ready for that level.
    First, once you're there, more often than not you'll be on your own, which means that you won't be going thru any retail broker (be it IB or whichever). Hence you need to speak FIX. I'm still developing a customized FIX engine for my ATS (not my higher priority as of now, mind you), so I'm not there yet.

    Secondly, The Thing Itself is expensive. I mean "Expensive", capital "E". Again, I like going "step by step" with my bussiness, so it will be some time before I decide to move into the exchange.

    Perhaps, like you guys said, IB's feed is not that bad after all when it comes to Eurex...

    thanks for your good advice again,