Futures platform execution, i.e ES contract

Discussion in 'Order Execution' started by informtrader, Sep 25, 2009.

  1. Which platforms give the best fills for limit orders or are they all the same? Do you simply go to the back of the queue when you place a limit order and move up as buyers/sellers hit the bid/offer? Do institutional traders/firms get preferential fills (even though this must be illegal!)? I am going to use one of the following brokerages:
    Tradestation/IB/Inifinity (AT platform). Would be interested to hear your thoughts on the fills of limit orders.
  2. Take a look at openecry.

    Orders are processed server side. Decent platform... FREE

    May also want to visit cmegroup.com and read up on their order process.
  3. I have had accounts at about 8 different brokers and for limit orders they all seem to be about the same, and you always get put at the back of the line,
    I have never heard of any exceptions to this.

    I have been having a lot of problems with open E cry for the last month with order execution and their charts going down every other day or just having the wrong data. So I would wait until they get some of their problems worked out before I tried them.
  4. PrimeX

    PrimeX Guest

    They will all be the same since they all use the same API to access Globex. The only difference is the latency from you to the broker and the broker to CME's Globex. That difference will determine when your order will arrive and be placed in the FIFO order cue on Globex.

    But we're talking about milliseconds.

    Globex order matching algorithm handles to executions. So there is no advantage to be had broker-wise for limit orders.

    Market orders would matter because of latency. But if one is that serious about latency, then one would trade as close as possible to the exchange.
  5. THe question opens a deep misunderstanding of what you actually DO when you trade. Seroiusly.

    If you trade on an exchange, the order will NOT be filled by the broker. The broker does risk control (is the order ok for your account), then forwards it to the .... exchange. Any Rithmic/Zen Fire based broker will do so in less than a millisecond, which makes no difference if you decide manually or from your computer, as the order takes a LOT longer to reach them (it only makes a difference if you have an automated strategy IN THEIR DATA CENTER).

    If you talk about Rithmic/Zen-Fire and use the RITHMIC api (not the zen-fire one which is in THIS are "dumped down"), you get events on every step with timestamp - up to the "release to exchange gateway" event.

    Exchange regulations are public, so you are better of reading them up than askin a quesiton. It is FIFO, frst order in is first executed. How you get even the rotten idea that an exchange (not their members) would violate their own regulations? This would blow up pretty soon given that they are very watched over.
  6. NetTecture, would you explain in more detail please:
    " (not the zen-fire one which is in THIS are "dumped down") "
  7. THere is not a lot to explain. The Rithmic API has more features in some areas.


    * Possibilityto subscribe total exchanges (ALL symbols).
    * TImestamps in microsecond (1/1000000 second)
    * Historical information retrieval. Limited trade info (same day), but also historical executions can be retrieved - which is good to resync after a downtime (what DID execute at what price exactly?).
    * Better exception handling. The zen-fire api is really dumped down there it seems, throwing System.Exception everywhere - one has to parse the text message to find out what the error was. RIthmic has more detailed mechanism - even though not always I pretty often manage to throw meaningfull exceptions in my own implementation.

    I personally find the Zen-Fire api a little too oversimplified ;)

    Plus, it is object based (rithmic is message based), which does not go well with a message passing architecture. Easier to use for simple scenarios, though, in which holding pointers to the objects is actually possible.
  8. +1 for Infinity AT platform. Very fast and simple/easy to use. :cool:
  9. thanks NetTecture for replying, unfortunately i'm not technically educated enough
    to understand / appreciate what you've written
    it's your use of 'dumped down' that's causing me a problem, my understanding of
    the term means, by design, to control, limit something, so i'm thinking 'why would
    Zen-Fire dump down - limit - their program's performance ?'

    bottom line, does the NinjaTrader + Zen-Fire system reliably, execute orders/trades
    as fast, faster, slower than other order entry programs ?

    also, this combination of Rithmic and Zen-Fire, i don't understand what that is, and
    are you suggesting there's some incompatibility between them ? and if so
    to what extent is that detrimental to the order entry / fill process ?
  10. My comments were about the programming interface (and thus the usable part of the zen-fire system).

    Whether you consider NinjaTrader stable or not is up to you. We have problems with it crashing left and right, as do quite some more. Zen-Fire / Rithmi is marvelous as a system. The Zen-Fire API to this system is less powerfull than the Rithmic API, so using the zen-fire API limits you more IF YOU PROGRAM.

    If you use Ninja, you are limited to what Ninja offers. And all the "quality" ninja has. Including lockups, crashes, abysmal performance. Many hope for Nt7 ;) I gave up - working on my own order management platform now.
    #10     Oct 5, 2009