if your strategy needs to trade in and out a portfolio of assets in high speed, (essentially it's a generalized pairs trading...) how do you make sure all those legs have good and simultaneous execution? anybody cares to shed some lights? thanks!
Try some broker and vendor systems to see if they satisfy your latency needs. Ask them if you are using a turnkey solution? co-lo? server side trigger of orders? etc. i.e. TT, IB, Athena (although I think no many retail offer Athena), ORC, Pats, etc. These guys all have server side solution. It all depends your broker on if they co-lo the solution, if they have a ton of users on each deployed solution or not, etc.