I've heard there are (2) ways you can decrease the latency --> from the exchange sending the data to your computer, receiving it, and sending back your order to the exchange 1) Co-Locate your Trading System at a location right near the exchange with a super fast connection 2) Switch to an ultra low latency data feed. Someone said in order to find out how long it takes to receive data and send it back you should do a ping test. If I knew how to do one I'd do one but I don't. Anyway using a regular data feed with a cable modem trading NYSE stocks and trading from the SouthWest part of the US takes in the neighboorhood of 250 milliseconds (so I hear). If you colocate right near the exchange and use a ultra low latency feed it'll take about 5-10 miliseconds to process. My question: I've already decided I'm going to Co-Locate, but how important is #2 Switching to an ultra low latency data feed. The data feeds I have are the brokers data feed, IQ feed, and OpenTick data feed. Switching to a good one like www.activfinancial.com would require a lot of work for me to make it compatible to my trading system. If I can go from 250ms to say 10 ms, a gain of 240 ms, what % would you say is allocated due to reason #1 and what % is allocated due to reason #2... like is 90% of the improvement comes just from Co-Locating I'm not going to bother switching data feeds, however if Co-Locatiing only amounts to say 30% of the improvement, then I have to impliment the new data feed into my trading system
Have you considered using DMA (Direct Market Access) and or sponsored access model through a a top tier broker like Lehman or Goldman? Their systems are hosted at an exchange and they can gurantee you sub millisecond execution speeds. This model is much cheaper than trying to build your own infrastructure and supporting it. Most top tier brokers today have some sort of prime brokerage group who can help you work out these details. From the sounds of it, it seems like you need much help If your bottom line is making money trading leave the technology to the professionals. I would recommend Lehman Brothers Hedge Fund Consulting services.
Haven't used them, but were I to switch these guys would be near the top of my list: http://www.limebrokerage.com/index.php?title=Professional_Traders