Could anybody suggest a way to measure execution speed from sending a marketable order until getting confirmation. I estimate my speed to be 30-80ms. Too hard to measure with stopwatch. Besides, I was hoping to find more "scientific" measurement.
Why worry about it if you believe it to be 30-80ms? If you want more "scientific" measurement and don't see how to go about it, hire yourself a programming consultant.
If you *really* want or need to do this, one way would be to sniff the network traffic into and out of the PC. Ethereal is the (free) software of choice - http://www.ethereal.com You would need to set up the appropriate filters to exclude all the traffic you aren't interested in from the log. Messages are time stamped, so determining the time for order fill would be straight forward. Setting up the packet filters and identifying the right messages may not be. If it's encrypted using SSL or something else, then good luck.
thanks for your suggestion. You reminded me that my broker (IB) has a log file with ms resolution, so I can get the info from there.
I measured today multiple executions of limit orders for ES using IB log file. The time from recognizing the order is marketable until confirmation of execution is anywhere between 110-190ms.
It obviously includes TWS to IB communication time. If you ping our server and take off the result, it will be clear cut time that IB spends on the execution and confirmation.
Yes. This is based on the log file on my machine, so obviously includes communication time to IB servers and back.
yes - ppl often get this confused - the ping time is the transit time from your comp to your broker - the order latency is how long the broker then takes to process your order, risk assess it against your account, send it off to the exchange, confirm fill and send it it back on its way to your pc. Ping time is generally an ISP connection, distance & no. of hops dependant thing. Broker latency can vary significantly between brokers depending on their infrastructure and how efficient their order routing & risk management system setup is.
Really? For IB? I guess I am a little surprised that your total roundtrip times (from order sent to order confirmation received) are under 200ms. I would have guessed much higher than that (say, on average, north of 300ms). Anyone else have times like this using IB as their broker?
I am surprised that you are surprised. It is a fact that we have one of the best execution engines in the World. For example, about a quarter of all American options orders come trough us. As a retail customer, you share the same venue with big institution customers and our own market maker arm.