IB order processing/routing latency

Discussion in 'Automated Trading' started by cruisecontrol, Mar 11, 2019.

  1. Does anyone have any statistics regarding how quickly IB processes and routes orders?

    For example suppose my ping to IB is 2ms and I send a nonmarketable limit order. "Do not route to dark pools" is checked. How long will it take for my quote to appear on the exchange? That's the sort of info I'm interested in.
  2. ZBZB


    Find a wide market in OTM options and go best bid/ask. It shows up instantly for me
  3. Appreciate the reply but what is instantly? I'm hoping to get some real measured statistics.

    I can do wide market experiments myself but it's not that trivial.. takes some work to set up the measurements. Thought I'd ask first.
  4. 8000 SPY typically completely fills within 250ms as a marketable limit order
    8ms ping from virginia aws
    aladdinaire and cruisecontrol like this.
  5. That's interesting, thanks. I am curious, where are you measuring the end of the 250ms, is that when the execution happens on the exchange, or is it when you get the execution acknowledgement back through the API?

    Also, you said "fills completely", does that mean it fills partially much faster than 250ms? Main thing I want to know about is how long it takes to get from IB to the exchanges, so I want to factor out acknowledgement delay and any time spent scanning darkpools.
  6. it takes on average of around 30ms to 40ms from submitting an order via API to API updating it as "presubmitted"
  7. looking at an order today: to get first 200 lot fill took 57ms after submission
    cruisecontrol likes this.
  8. 57ms, not too bad. Do you know if that is with or without scanning darkpools?

    Sounds a bit slower than it should be in theory, assuming that isn't scanning, but fast enough for what I'm looking to do.
  9. Craig66


    I don't have logs in front of me, but I'm getting about 30ms to cancel an order.
    Typically 50-70ms for placed order acknowledgment and marketable orders will typically start getting executions about 10ms later. The server is in NJ and the dark pools option is off. Take this all with a grain of salt, I have no idea if my code is optimal and the numbers seem to vary wildly through the day. Opens are slower etc.
    cruisecontrol likes this.
  10. why no dark pools?
    #10     Mar 12, 2019