Let's say someone came up with a very powerful trading system that requires the fastest connection possible to all major exchanges. This would include places like Philadelphia, Chicago and New York. First, I am wondering what a direct connection to CME would cost? Also, would it be advantageous for one to move to a location that was at some midpoint between the three most major areas (including Chicago and New York). How much would a leased line into New York and Chicago run, and how many milliseconds would it shave off a standard internet connection?
You can establish a direct access line to Globex on the CME. More info please read & surf here: http://www.cme.com/electronic_trading/trading_access/etrading_solutions_providedsolutions.cfm I kind of doubt that this will give you any good cost/benefit advantage over the execution speed you get with a brokerage firm such as Interactive Brokers. You'd have to be a professional size scalper to make proper use of that service.
For fees info here the link: http://www.cme.com/electronic_trading/globex2accessfees.cfm $200 min for the software, $1000 min for the bandwith You'd need to be a size player for an infrastructure of that capacity. I'd rather pay $1600 + for the Bloomberg Professional Service than extra fast access to the exchange. That's valuable information worth paying for right there.
When you interview with a firm, find out if their lines run direct to the exchanges or if they route their orders through another server somewhere else. For you to get a line directly into the exchange would probably require you to lease a seat on the exchange and be a broker dealer. And the costs run into the 100's of thousands. That is the case for the NYSE, and I can't see why it would be different for the other exchanges.