Order execution timing...

Discussion in 'Order Execution' started by cohvi, May 29, 2006.

  1. cohvi



    The following questions regards future contracts traded on CME from the Middle East using RCG servers with Strategy Runner:

    1. Can you say how long it will take for an order to get into the stock exchange book from the second I click it in my house? and from a big investment house (M.E.-> RCG server -> CME)?
    2. What is the time delay until I see the updated data coming from the exchange (CME -> RCG server -> M.E.)?

    I'm asking this because I'm developing a fast trading system for trading futures and the timing is crucial.


  2. sounds interesting keep us updated... and hopefully some one can answer your question, cause i also would like to know
  3. I will try to answer. I am a CME member (along with other memberships) and trade some of the CME products professionally. First of all, it all depends on how direct the server's connection to CME is, and whether any internal check is done (such as risk limits, etc).

    1. If you are in the middle east, you are incurring a network latency of at least 300 ms to the US server (try to ping the server sometime to see your average). So you are looking at 300 ms + <server internal processing> + <RCG to CME> + <CME response time>

    Let's say <server internal processing> to be 1 ms (should be smaller than that), <RCG to CME> let's say 3 ms (should on a CME DirectLink anyways). <CME response time>, of course, is dependent on how many other orders CME is processing in the processing queue, etc. Let's say it averages < 60 ms.

    So add it up, 300 + 1 + 3 + 60 = 364 ms ... roughly. So your main latency is your latency to the servers.

    Compare this to somebody who is sitting next to the server, who is only getting (say), 1 + 1 + 3 + 60 = 65 ms.

    Now, there are people who is statistically studying the CME response time, to improve their order acceptance latency. But that's waay in the vaults of professional trading firms.

    2. The market data backwards, your latency will be: <CME internal book update> + <CME to RCG network latency> + <RCG server internal processing> + <network latency to you>

    This is left as an exercise to the reader. Keep in mind that the <server internal processing> is diferent form the order side, but in the same order of magnitude (1 ms is too much).
  4. i wish you the best of luck. i find s/r with rcg extremely slow trading from the us. there's a slight delaly in order entry cancels and fills. for a holder of even 10 minutes they're fine but a true ina nd out quick scalper i'd look elsewere
  5. cohvi


    Thanx a lot
  6. How can you program or develop a trading system if you have to rely on information that you get off strangers in forums? I don't think your trading system would be a very profitable one. You should ask your broker these questions. Or the exchange directly.
    Javier likes this.

  7. My strategy runner fills take 30 seconds sometimes.
    Why are they so slow? Am I with the wrong platform? Or is it the wrong something else? I'm new to trading emini, so my questions are dumb, I know. They clear with RCG. What is the fastest way to get filled? Buy a seat on the CME floor? How much are electronic seats? Is there even such a thing as buying an electronic seat? Or is it called something else?
  8. Glamman0


    firstchoice first I suggest you get faster camels to run your Internet line

    just kidding .... I am using SR for over 2 month now (via Man-Financial) and have nothing but good words to say about execution speed and service (not that I needed much).

    I trade ES and NQ and sometime Dax and and speed is fine (less then a sec execution (i cant measure exactly). the good thing about SR is all of my orders (synthetic orders that is) are working in their servers in Man Financial's data center so I am sure that speed is better then most platforms that are client based..

    I am sure your problems are due to local Internet problems.
  9. saico


    I clear my trades thru RCG too using J-trader as order platform. I'm in Europe and have a slow DSL connection. My CME market orders get filled within 2 seconds, very often within 1 second.
    #10     Jun 25, 2006