High Pings & Latencies in Day Trading?

Discussion in 'Hardware' started by Scientist, Jan 25, 2004.

  1. nitro, you seriously manage to make me raise my brows once over again.

    It's rather disturbing talking about latency in my situation. I have had literally hundreds of discussions on the issue of latency in day trading. Starting with a satellite solution because where I used to live until a few months ago, I only had a 28K connection. Clearly, satellite, with 650-1,200ms latency wasn't a choice. My 28K at the time offered a net latency of 450ms to the IB server...

    So, I left the beach house and moved into the city. Now I've got a 1.5mbps dedicated always-on line, and a net ping of ~300ms to the IB server for Eurex, an improvement of >150ms. The total execution latency with IB now is ~600ms or so? The total ping with X_Trader from this place is ~330ms.

    I'm not too sure why IB's execution takes so long, perhaps it's the lame TWS, perhaps their servers have to slaughter the cow first before they can serve meat, perhaps both, I don't know. But it's certainly a long way from a direct exchange connection.

    That said, even the finest execution platform can't push the ping from here (Australia) anywhere below 300ms. The info has to travel i.e. through the trans-pacific southern cross cable, LA router, NY router just for ping. Even at the speed of light, there's way too much distance and too many hops to get a ping anything like what nitro talks about.

    Is this enough of a reason for me to move to Europe to trade Eurex, with a ping of 30ms or so? I have a European passport and I lived in Frankfurt about 4 years ago, that's pretty close. If there's a local broker/server, that is.

    I think the answer, for me, is no. People have never quite believed me or understood how I can scalp with my massive latencies, not to mention previously on a 28K line. Or with IB even? How then? Well, about 95% of my trades are limit-orders, anyway. I hardly ever consider getting in "at market", unless I'm mad or sth like that or a seriously good opportunity arises. So, with most trades being lmt's, most trades have at least several seconds to transmit... Way more than any latency could alter! Latency at its worst delivers datafeed a split-second later... Otherwise no problems.

    Plus, as a DAX trader, there's more things "in my favor" which only apply for Eurex, such as:

    - Native Stops (No transmission required, zero latency in getting out of fast moves)
    - 2 second feed delay (Reportedly to level the field between fibre line insti's and dialup traders)

    Therefore my questions of topic are:

    Is latency even an issue?
    If so, who for specifically? And why?
    What is considered "fast", "very fast", "slow", or "impossible"?
    What are the personal experiences with latencies?
    And what have people done about their latencies?
    And how do other non-US/EU traders feel about their latencies?

    Best Regards,
  2. 31ms
  3. Holy shyt... Nice ping. You would find that the full execution with IB takes quite a little longer, though.
    If total execution with IB would also happen somewhere in that timeframe, nobody would be using X_Trader.
  4. mark1

    mark1 Guest

    66 ms terrible? rofl
    When you play an expander with a keyboard via MIDI, that's about the typical latency (the gap from the time you press the key, till the time you actually hear the sound)

    To cut short, human perception doesn't even realize there's a gap.
  5. H2O


    From Europe to Swiss server : 39, 39, 40, 38 (Avg. 39 ms)
    From Europe to US server : 123, 121, 122, 122 (Avg. 122 ms)

    I've never had any problems since I started working with this DSL (Upstream 1024 / Downstream 8192 - Garanteed minimum downstream 2048)
  6. Well... LOL! That's why I said nitro seriously manages to make me raise me brow over again! :)

    I've been trying to conceptualize all afternoon the difference between having a 1/3 of a second ping and a 66ms ping.

    Admitted, I can personally (!) tell the difference between 250ms and 500ms. I think anybody can. But I don't think anybody can still tell between 150ms, 110ms, 66ms or 31ms for that matter. We're talking about a thirtieth (1/30) of a second here, which is just about a decent exposure time for a camera shutter... Are we still being serious here?

    I think the answer is: Yes, MAYBE for a fully mechanized system relying on absolutely crucial FIFO execution queuing. No, for a discretionary scalper. I don't think any scalper can even think, not to mention transmit an order in any timeframe near that. I estimate 200-300ms for the mouse-over (if you're near) and another 100ms for the mouse-click. I doubt any trader, no matter how fast, can execute an order in less than 300-400ms total.

    For those who want to challenge this; I've been in martial arts for quite some time, and we've done some digital video recordings and slow-motion capture just a few months ago. Result: The time it takes for me to do a full mawashi-geri (roundhouse-kick at your head) is about 400-600ms. Mind you, this is faster than you can conceptualize and block/duck your head, unless you're really trained at Karate. If I decide to roundhouse somebody at a bar, chances are you won't even see it coming, bro.

    So, what are the chances for all this to make a difference in reacting / executing trades faster? This is the big question here.

    I think what it's really about in fast trading is the folowing formula:

    (Reaction time of each individual trader + trigger and program processing time + ping & transmission time + final execution delay) = Total execution time.

    If we look at the total execution time, clearly the trader with the lowest latencies on the technical side is going to be ahead of the traders with higher latencies - given that they're making up their minds just as fast, that is!!! If Gordon Gekko with his 31ms takes only 300ms longer to make a decision, I will get my order in ahead of him, and sweep away his chance. And 300ms isn't a lot!

    The bottom line could be that it depends more on the trader than anything else. To assume you have a major edge with a super-low latency is silly. Remember : You can't know what the market will do. And the times you get in faster, you might also get in way too fast. The other times, you won't get filled, and maybe it was good that way. It really is an interesting topic.
  7. I sure know one thing for latency: This week, had I only realized 2 minutes (oh yes, a whopping 120,000 ms) earlier that my handbrake wasn't gonna hold my C LE on a steep uphill, I would have put it into 1st gear before leaving it to roll back down a slope into a tree in the closest neighbour's garden. Now I've got a few K's worth of panelbeating coming up. All this thanks to latency caused by the late effects of prior over-consumption of alcoholic toxins and tetrahydrocannabinolic memory-depreciators on endless adolescent parties. Just from a scientific point of view.

    Moral of the story: Don't be stupid. If you're worried about pings to your broker, first avoid the mental latencies associated with various intoxicating agents. They're the main thing to worry about.

    It was nice to have a week off and parties with the best friends, though... This is the essence of life. :D
  8. FYI,
    living in Japan my ping is about 180-220 for sites in USA

    but 350 for sites in Australia
  9. H2O


    For those who want to challenge this; I've been in martial arts for quite some time, and we've done some digital video recordings and slow-motion capture just a few months ago. Result: The time it takes for me to do a full mawashi-geri (roundhouse-kick at your head) is about 400-600ms. Mind you, this is faster than you can conceptualize and block/duck your head, unless you're really trained at Karate. If I decide to roundhouse somebody at a bar, chances are you won't even see it coming, bro.

    I can assure you a trained fighter can see it coming, even before you make it....

    To make a mawashi (any mawashi) you have to change you balance point in order to accelerate (jump / turn)
    Any good fighter sees these small things and anticipates on them (in this case rapidly decreasing the distance to your opponent)

    To come back to trading, I fully agree with you that ANTICIPATION is the word. If you start to THINK about the trade once a price is touched chances are you're to late (scalping). If you are expecting something, you can train yourself to act as if it were a second nature.
  10. As said... "Unless you're really trained at this..." If youre a Karateka, Boxer or any kind of fighter - no worries. Mawashi is the slowest (!) form of attack there is, as is any leg attack which is why I chose it for an example. If you focus on arm/fist movements, things become A LOT faster. If I'm straight facing you, and do a jodan/chudan, i.e. go for your solar plexus / chin in a direct strike, chances are you just won't see it coming. It takes ~200ms and that's why you normally keep a good distance when in combat... I still believe I could get somebody untrained (or drunk) with a mawashi, because it's such a weighty move. Even if blocked, it can just whack you out of balance! As for the safety and balance factor, I'd prefer a mae-geri (front-kick, anywhere from face to groin), leg sweep or straight punch to a roundhouse any day. Nice to hear some words from a martial artist, though. :)

    AMEN to this. You need to anticipate well in advance what's most probable to happen.

    I had a great discussion on this with marketsurfer. I see trading like a game of chess, thinking through as many likely future moves as possible within a limited timeframe. Then, estimate the most likely / most beneficial moves and defend / attack accordingly. This is very rebellious, because it's so contrary to the way most traders look at it; Namely to trade the present based on what happened in the past, so a "before and now attitude". I consider this attitude as obsolete. I look at the "now and soon" instead, and don't even worry about the past, except for certain S/R levels etc which are clearly there for obvious reasons. I want to think through the future moves my opponents are going to make, and hedge and act myself accordingly.

    While this thinking approach is perfectly logical in Chess, Go, or martial arts, I wonder why it's so uncommon in trading?

    I don't know why, but I know there's a great quote reflecting just this exact point, said by no other than George Soros himself:

    Trading is like playing Chess with God.
    #10     Jan 25, 2004