What's the point to have low latency feed and execute through a slow broker? When you did your analysis, did you factor in expected latency?
I think you may be going about it the wrong way. Making money inside spreadsheet is not the same as making money in real world. For latency sensitive stuff (arb), you need to find at what latency your strategy breaks and then start looking for providers. You need to account for both market data and execution latency. Unless you figured something no one else could, you will be competing against HFTs and their deep pockets. Why!?
I connect to ib using a VPS with latency about 3ms. The strategy breaks if the latency is larger than 50ms. So, I may have to switch to another broker. Please give some recommendations.
Have you ever traded any latency sensitive strategies before? Because it's not a single number that matters
Actually I haven't. I have been trading on paper account. Slippage on futures is OK, but on stocks is very often bad due to large spread, especially during volatile hours. I am not sure how that behaves in real world. Do you know for NASDAQ stocks, which exchange generally has the best bid-ask spread? Island, Arca?
I think you should run your strategy with IB first and see how it does so you have a better idea of what it could do if latency was reduced. I suspect the slippage and fees will kill your strategy. I think it would be very hard for anyone to implement latency sensitive strategies without joining some firm which has the infrastructure in place. For equities, Lightspeed and Lime used to be good enough, but looks like no longer available for retail. It's not the spread, it's the slippage you care about. Island and Edgex are the top volume exchanges for NASDAQ stocks. With IB, choose SMART route with most volume and it will route where you are most likely to be filled. You got an adventure ahead of you
Are you assuming aggressive execution on all sides? You might an SOR, that's a low tech solution to that problem, but I'd avoid an SOR provided by a discount broker for obvious reasons.