Sub-20-millisecond CME data

Discussion in 'Data Sets and Feeds' started by groovychicken, Aug 15, 2021.

How quickly are your orders routed and placed live in the orderbook?

This poll will close on Aug 15, 2022 at 4:55 PM.
  1. I don't know.

  2. 1000ms - 2000ms

  3. 500ms - 1000ms

  4. 200ms - 500ms

  5. 100ms - 200ms

  6. 50ms - 100ms

  7. <50ms

Multiple votes are allowed.
Results are only viewable after voting.
  1. I've been trading a bit over the last few years with custom software I've built for the cryptocurrency space.. mainly on Coinbase.

    With Coinbase I can get a level-3 data feed with sub-10ms latency (as long as my algo is running in AWS), and I can get execution times on the order or 20ms or so. Is there any way I can get similar results in the traditional finance world, or will I always be doomed to have my orders front-run by faster, better (physically co-located) algos?

    I'm thinking about dipping my toe in the traditional finance system with CME futures for Bitcoin (makes sense, right?). Is there a full orderbook data feed that has under say, 20ms of latency that can be purchased? Any brokers that can guarantee order placements under 50ms, or 100ms at most?
     
  2. ZBZB

    ZBZB

    Last edited: Aug 15, 2021
    cobco and groovychicken like this.
  3. SunTrader

    SunTrader

    When it comes to Bitcoin futures (full or micro-size) what you should be concerned about, waaaay before speed, is the bid-ask spread.
     
    Amatrue, groovychicken and goslow like this.
  4. Overnight

    Overnight

    You should be hearing from NinjaMobile Trader VPS in 3...2...1...
     
  5. For brokers, a popular low margin broker for CME bitcoin futures and bitcoin micro futures is NinjaTrader. Here their direct link: https://ninjatrader.com/Micro-Bitcoin-Futures

    Other brokers like Interactive Brokers also support CME bitcoin futures, but the margin requirement is substantially larger: https://ibkr.info/article/3049

    Our VPS has 1ms latency to CQG and Rithmic. For example, here is ping to CQG:

    upload_2021-8-15_17-45-32.png
     
  6. >> When it comes to Bitcoin futures (full or micro-size) what you should be concerned about, waaaay before speed, is the bid-ask spread.

    Thanks, I agree, but let's assume I have that figured in already, and let's assume portfolio management is also already baked in: Now the remaining questions are around market data speed and execution speed.

    Thanks @ZBZB, @Overnight...

    Unfortunately, Of the options mentioned so far:
    tradingtechnologies.com
    cqg.com
    rithmic.com
    ninjatrader.com

    I have not been able to find API documentation anywhere. I'd like to know that real-time Level-2 or Level-3 data is available before jumping down a rabbit-hole. Looking for something akin to: https://docs.pro.coinbase.com/

    Any suggestions are appreciated.
     
  7. SunTrader

    SunTrader

    "Cart before the horse".
     
  8. @SunTrader, Thanks for your opinion, but I know what I'm doing. Maybe in your experience you consider the difficulties of negotiating wide bid/ask spreads and portfolio management to be tall hurdles; but for me, those issues are decided, and not the topic of this thread.

    At this point, if I am going to commit significant development resources toward platform integration, I need to know exactly what I'm going to be getting. If you can help me answer the questions surrounding finding low-latency-from-the-market Level-2 or Level-3 data, please advise.

    Thanks!
     
    jtrader33 likes this.
  9. ZBZB

    ZBZB

    Contact them for api info.
     
  10. virtusa

    virtusa

    I even have no clue how to measure the EXACT execution time.
     
    #10     Aug 16, 2021