How Fast is your execution?

Discussion in 'Order Execution' started by Crude Man, Dec 16, 2010.

  1. I timed my execution today from the moment I click the mouse to when the order gets filled, its 0.5 seconds, half a second.

    Is that normal, shouldn't the fill be a little faster say 0.3 secs? I'm trading futures on Think or Swim getting a 34 mb/s upload and a 4.85 mb/s download.

    Have you guys ever timed how long it takes to get a fill?

  2. What tools are you using to measure the time lag?

    You need to start with your ping time to the TOS order server.

    You would also need to know where the TOS order server is in relation to the exchange's order matching server to account for that lag time. You also need to know how the TOS order server and risk management server interact with one another.
  3. There is no way I could get that kind of information. I just wanted to compare my fills to the others here, so, your fills are instanteneous?

  4. rosy2


    if you're manually trading why do you care about execution time? maybe the delay is your finger clicking the mouse.

  5. because of the price difference i get sometimes.

    say, i'll click my mouse to sell CL at 88.86 because of the 0.5 secs lag between the click and the fill, sometimes the limit order is not filled because its moved 0.02 cents. i know CL is a fast moving market but the 0.05 sec lag is also killing me in ZB, which is a lot slower market.

    and no, my fingers ain't slow.

  6. LeeD


    "Instantaneous" is a subjective thing. Periods like 100 millisecoinds are fully perseptible to people with a bit of training (such as editing videos or playing first person shooters).

    My fills are in the range of 250ms-450ms depending on the time of the day. Occasionally up to a second. In October after the details of the next portion of quantitative easing were announced I had the slowest fill so far - nearly 3 seconds.

    Having below 200ms fills is quite exceptional as retail. 60-80ms is probably the fastest achivable without proper "high-frequency" infrastructure.
  7. MGB


    Another thing to keep in mind, ThinkorSwim does not show you every quote. The quotes are updated every 0.5 secs (?)

    So, while you may see 88.86, and expect to get 88.86, the price has already changed and moved away from 88.86.
  8. emg


    its not a question how fast is your execution. the question is how fast is your IP server. Some people have DSL, cable, etc.
  9. are you subtracting the hop from the broker back to you?

    your fill is obviously done before you get the confirm
  10. i talked with TOS today and they said my fill would be complete when there is someone on the other side to take my trade. How cheeky!

    Thanks for letting me know about TOS's 0.5 second lag though, TOS is the only trading software I've ever used, been trading for under a year but maybe I should change brokers.

    #10     Dec 16, 2010