Latency of these data feeds

How would I do this...

Basically I want to see the latency in these data feeds, or how long it takes the feeds to receive the data from the exchange and process the data.

1) Genesis
2) InteractiveBrokers
3) OpenTick
4) IQFeed
5) eSignal
6) Any other data feed you can use with quotetracker

Also, if you know which one of these feeds has the lowest latency or the highest for the matter that'd be great to know too

Thanks

 

when my trading platforms' data stream lags (very rarely) esignal is what i look at and it has never failed me yet, in those situations where my screen shows the stock a point away from its market, i have used esignals data to trade and it was spot on.

 

I remember querying Genesis about their ticker plant and they said they were using direct feed from NYSE through leased line. Also, I compared their feed tick-by-tick with ACTIV and didn't find any single missing quote. Other feeds in your list are either snapshot based or not truly streamed non-compressed tick-by-tick feeds.

 

Last time I looked at OpenTick it was quite laggy - well behind IB.

The question is quite probably a bit more complicated - which feed and which market ?

For example I have read somewhere that Eurex has a different feed for exchange members and quote vendors and that through IB you have access to the members feed, but through eSignal, for example, you access the quote providers feed. If this is so, then it is another factor to consider.

IB do publish details on their web site of their connectivity to each exchange they provide access to.

 

Latency between their server and the exchange is not the main problem although the member vs data feed issue could add a little. All will be MUCH less than the latency from them to you.

The problem is that some will lag in fast markets.

IB won't because they only send a packet every 200ms.

Esignal do and are the classic example of lag in fast markets. The problem is that in a fast market either their servers, their routers, or their internet connections can't keep up with a tick by tick data feed. They have bad periods, they fix it up a bit, then it gets bad again. And it can be good for one part of the world and bad for another.

I've heard complaints about open before as well.

 

I have collected a monsterous amount of tick / open book data on OpenTick well into the terabytes and have created realistic simulations and AFAIK I have an edge.

I've coded the algo and ran this on IB for 1 day, (not Genesis yet but will try perhaps their feed is better). I should have made what I projected, but instead a made a TON due to the IB only sending packets every 200ms. The market started falling like no tomorrow and what I thought were buy limit orders being placed < NBBO ask ended up resulting in me taking out TONS of offers. At that point I was out of the room and when I came back Ifound myself extremely Long in the market, I shut everything down, closed out of all positions and found that the market rallied hard after I got filled.

~don't they say you'd rather be lucky than good

but anyway I really have to figure out how to deal with this lag

 

Spec,

so would you say that genesis is almost as good to use as activfinancial?

 

Kiwi which data feed do you use?

also if they send a packet every 200 ms, how long would you say it takes to get to a computer on the west coast and then to send an order back. say another 150ms?

So you're lag could range from 150ms to 350ms. the market can do a lot in 350 ms.

 

I trade asia and have only ever bothered with IB for day trading. My round trip delay is 100s of milliseconds.

The round trip on orders is both an interestingly invalid measure and not necessarily important. Its invalid because if there is human decision making involved it will dwarf those times (250ms+ for simple reactions). Its not necessarily important because you can avoid it.

The key to latency is to have your orders on the broker's server next to the exchange. So you use stop limits on their server so that if a price is exceeded (say) then your limit order is "instantly" placed. If you choose orders native to the exchange then they will be on the exchanges server so "even more" instantaneous. Similarly your broker can then automatically surround the filled order with OCO limit and stop orders as a bracket for exits.

 

I had that impression (at least data-quality wise), although I didn't do full analysis like latency and lagging during huge market activity (I've heard some complains). I got Genesis API and tried to plug-in into my ATS, but stopped coding later - market data API was not well designed, was based on Windows MFC, and not available on Unix, which is must for me.