low latency execution platforms

Discussion in 'Automated Trading' started by bobok, Dec 29, 2011.

  1. bobok



    I need some recommendations for a low latency execution platform to trade futures via api using my own code. I have been recommended rithmic, but I want to see what other options are available. I like that they are broker neutral and have many direct market access partners. They also seem fairly inexpensive.

    I will be running from a colocated server, but can dont mind collocating with the software provider.

    I need flexibility as to exchanges and contracts.

    Thank you
  2. rmorse

    rmorse Sponsor

    We offer two solutions though Penson Futures. You can be co-located at 350 Cermak (CME L-NET) and use CQG or any other futures platform Penson is certified with.


    Or, you can write to the Penson API or CME API directly which is faster. If you're only going to trade CME products, you would choose the CME API. If you also want to trade on other futures exchanges, you would choose the Penson API so you only have to write your software once.

    The CME API is called "CME ClearPort API" and the information attached. To view the Penson API, I need to first qualify you as a potential client, then have you sign an NDA with Penson Futures prior to sending it to you.


  3. bobok


    thank you for your reply. please check the email I sent you.
  4. bobok



    More concretely...

    Comments on the lowest latency vs cost (execution cost/fees and capital allocation) for different platforms say


    I would consider either implementing on my own server collocated at the exchange or would use a server managed by the execution platform if that improves latency.

    That being said, I would also consider working with a broker giving me good direct market access as per the previous reply on the thread.

    Thanks again.
  5. A lot might depend on how you want to integrate it to work with your own code, so you might need an API that is compatible. On the other hand if you are using something like a NinjaTrader interface, it might be easier. So the question is how good of an API do you need? Meaning, what kind of information does it require: feed only or integration with your broker, etc.
  6. rmorse

    rmorse Sponsor

    One advantage of the co-location at the exchange, is the direct connection to the CME and the direct connection to the data feeds. I find the clean fast data is more important.
  7. bobok


    As I want to reduce the latency it would be preferable if the platform also did risk calculations. This would mean integration with the broker. It seems that some packages manage to do this while being somewhat broker neutral, eg rithmic. Ideally data analysis and risk would be done on the same box so there would be no lag talking having the broker authorize the trades.

    I would rather have the flexibility to work with a software package/api library that worked with several brokers so as not to limit my expandability in the future.

    some manner of collocation goes without saying.

    does anyone have any comments on some of the platforms I listed ?
  8. nitro


    There are so many moving parts to your question that it is nearly impossible to give an accurate answer.

    For example, are you trading options or just the underlying. Are you mostly market taking or are you posting bids/offers. How complicated is the computation that you need to do to execute your trade/quote? Etc.

    Many people think that all they need to do is colocate and have fast machines and they are ready to go. The truth of the matter is that the way the software is written is equally important to having colocations near an exchange. If you have to handle 100,000 of messages a second, if you wrote bad software, all your colocation and fast machines will only give you the illusion of safety. You will beat all the retail traders, but then, will you [technologically] beat the people that are trying to make dog meat out of you? Who is your real predator? Who are you praying on? Does "low latency" solve any of these problems, or are you only solving half the problem? If your strategy requires low latency and colocation, why would you ever do anything but write directly to a matching engine and have true sponsored access? Do you have at least a half a million dollars to fund an account to be able to get true sponsored access?

    If I were doing this, I would test each and every one myself. I have found that things change fast in this business, and "opinions" can be stale.
  9. I understand what you are saying nitro. and partially agree with you. However the guy asked not if he is going to succeed and to advise on what to do and what colour underwear to wear tomorrow.

    He asked what is the lowest latency platform on the list.

    Although again I agree is not the question to ask here.
  10. Lornz


    You can add Orc, Stellar, CQG and TickIt (owned by TT) to the list.

    RTS is excellent, both with regard to quality and cost.

    However, you need to find the solution that is right for you. Do your own research; don't take advice from idiots on the internet...

    If you have deep pockets, you might want to go with something like QuantHouse or Deltix. The latter seems especially interesting.
    #10     Jan 1, 2012