IB FIX CTCI interface experience

Discussion in 'Automated Trading' started by luo8, Jul 27, 2019.

  1. luo8



    I would like setup HFT trading throught Interactive brokers.
    I don't know if its sufiesent broker for HFT trading.
    I'm considering throught FIX CTCI connection.
    Do you anybody experience with IB FIX CTCI connection?

    I would like to have some questions:
    1. What is the possible (best) latency with this protocol ?
    2. Is it hard to implemented FIX CTCI interagration?
    3. What is the aprox. cost for implementaion and fess for orders?


  2. Which instrument do you trade and how long is your holding time ?
  3. luo8


    instruments are from CME . Holding is a few seconds or few minutes.
    The API solution is slow,the latency approx. 250ms for order execution is really painful for my strategy.

  4. I guess you trade from aisa likely China? In that case fix ctci does not help you. You can use amazon cloud server to access IB. Typical latency to IB is 30ms from states
    nooby_mcnoob likes this.
  5. luo8


    I'm from Europe.
    I will change the server location near Aurora,IL (near CME), this will decrease latency maybe around 10times, but relocation will be still not sufisient for HFT.
    Therefore I would like to go to FIX CTCi.

    I found servers below as possible relocation. Do you have experiences with these servers somebody?
    beeksfinancialcloud (co-location solution, little more expensive, but the best one)
    Last edited: Jul 27, 2019
  6. rb7


    Response times can be affected by many variables:
    a) Your hardware (computer, router, etc.)
    b) Your Internet connection/setup/type
    c) Your physical location
    d) Your OMS application
    e) Exchange time to process your orders (CME in your case)
    f) Your broker time to process your orders (receiving your orders and route them to the right destination)
    g) Your broker setup vs the exchange (telco links)

    By switching from the IB API to their FIX interface you are basically just focusing on point d) above, and maybe a bit of point f).
    blueraincap likes this.
  7. How could the Latency from Europe to USA is as high as 250ms? I ping Europe from states within 10-20ms
  8. rb7


    I don't think this is possible. Europe is what, 5500km from the US (London to NYC)?
    That comes out to 180ms, minimum, without calculating the latency from the different hops.
    d08 and GRULSTMRNN like this.
  9. luo8


    Hi RB7,
    thanks, some of open questions will be solve by relocation near CME with better pc and 10GB connection.
    I don't know to response to thes points e,f,g ...I think that are related to connection solution, threfore I found out that the most apropiate solution for decreasing latency is to use FIX protocol.

    a. I looking for server with 2 Xeon cores, 16 GB of RAM, 150 GB SSD
    b. 10Gb optical fiber
    c. VPN Server near Aurora or colocation throught CME G-link
    d. Yea, could improved, after others topics will be solved.
    e. Is this know value? Anyway, it does not matter, it can not be changed
    f. FIX CTCI integration should be helpfull
    g. FIX CTCI integration should be helpfull
  10. luo8


    Related the conenction for using FIX protocol, IB have more possible solutions:
    1.Equinix Cross-Connect. Interactive Brokers has a point of presence in Equinix datacenters in the US (CH4).
    2.Extranet Providers....Radianz and/or TNS.
    3.Dedicated Leased Line. Telco providers...AT&T, Verizon, and Lightpath

    The server selection is definatly matter of discussion as well.
    For me is mainly important whether change from API to FIX CTCI in IB usable solution for HFT trading for retail trader? If not and nobody not using it, is probably not neccesary to discuss about servers.

    From my research the current latency in high-tech solution is below 10┬Ás .
    #10     Jul 27, 2019