Comparison of local timestamp when you send the message vs the timestamp reported by the exchange when the message is accepted and executed against (or placed in to) the orderbook. Alternatively, comparison of local timestamp when message is sent vs timestamp returned by exchange/broker of "success".
Enlighten me, and I am sure many others as well, how you plan to do that? And are you talking the full size or micro contract?
Howdy partner! As somebody who has his origins in crypto, you'll probably have a very hard time to replicate what you're doing right now in the traditional markets. TradFi is pay to play everywhere with priority datafeeds, tiered orderbooks, pro and non-pro subscription plans. That's why crypto is so good for retail, as everything you could possibly need is free of charge. I'm not saying that you should not do that. Just be prepared to either spend a shitload of cash (and I mean 4 digits/month) for basic stuff that is required for short time frame algo trading or significantly lenghten your timeframe. You know...CT is memeing about whale orders...If you ever saw such a whale order in the treasuries, petro complex or index futures, the "whale" would be shred to pieces by even basic algos. If we'd do a motorsport comparison, TradFi would be Formula 1 and Crypto would be a couple of kids racing shopping carts in the parking lot.
@MrMuppet, great reply! Thanks for contributing and confirming some of my thoughts - notably, that TraditionalFinance will have some price barriers to overcome. You mention it may be in the thousands $ per month... Say I were willing to pay a few thousand per month for the highest speed Level-2/3 data I can get, or highest speed execution... where do I go? I'm at a complete loss as to what options even exist.
If you have an arb edge but that requires low latency then realizing gains using that arb is almost non existent for retail traders assuming typical retail trader doesn't have deep pockets. Don't fall for claims of less than 1 milli seconds. There are extremely sophisticated hardware that can outperform you. Find some strategy that doesn't care about latency.
The best thing you can do - always - is to contact the exchange you want to trade on directly. Just like in Crypto, each exchange has his own quirks and you have to figure them out first. https://www.cmegroup.com/market-data/distributor/market-data-platform.html Here is the CME. As you can see, you already learn that they offer three different market data formats, have multiple channels, etc. This is important to know, because if you're only trading Globex Emission Futures, you pick a vendor that can deliver exactly that and only that. From there you go ahead and have a look at the licensed market data vendors. You probably won't go and purchase a membership or get your own infrastructure colocated, so you purchase a product. https://www.cmegroup.com/market-data/licensed-distributors.html Here you can find everyone, from FCMs to data providers to software builders, banks, you get the idea. Either you click on each website and do your own research OR - and this is what I would do - just send an email to the CME and ask which vendor supplies the connectivity you need. Remember, 1st thing you do is check the exchanges themselves. From my experience you can throw away everything retail. AMP, Rithmic, especially Ninjatrader...if you want to trade low latency with a working strategy just ignore them. Second - and this is even more important: Do not use any datafeed from brokers and learn how your order is routed. Here's why: Different to crypto, each order you put in has to pass the brokers/clearing members risk check first, which means, your order always goes to your broker. Imagine you trade EUREX products through AMP. The exchange is in Frankfurt, but your order goes to the US first to pass the risk check...for every cancel/amend, execution message, etc. You can have the fastest feed on earth, you will always be behind if you don't account for this. As a broker, you always want the FCM that is closest to the exchange. Edit: Really do yourself a favour and read the rulebook of the exchange you want to trade on. I bet 99.9% of the monkeys here on ET don't even know the difference between a ZN and a GE orderbook. But especially if you trade with a machine, be aware of how many cancels you can have per execution, what the rate limits are, which kind of orders you can use (remember that these market have an open and a close) and which kind of behaviour is not allowed. If you fk up in crypto, you get an email from the exchange. If you do that in TradFi, you'll get a visit from authorities and hand cuffs.
@MrMuppet, Thanks a ton. I'm slowly executing on your list of suggestions. Ha! That was my initial thought as well. I guess a InteractiveBrokers account won't cut it. :/ Thanks for the heads-up. The cancels per execution is a new metric that I will have to account for (I am currently not optimizing for this). The hand cuffs thing... yea, I'll have to be careful.