riskless, after responding to your post I did some homework and figured out who you are. I've got every respect for CRT and didn't realize you were talking about the fixed income side of things. I've got little or no background in fixed income or currency trading and wouldn't attempt to say otherwise. as you must know Timber is best on the electronic trading side of equity derivatives. I also re-read your posts and i definately mis-read things when you said worked on the development the system. FWIW, i started at timber in 85, (17th employee), worked on trading, risk management and clearing systems from the programming and trading sides. I took some time off for grad school, found my way back to Timber and in 95 i was sent to HK where I started/built the asian operations of timber from scratch. we've got a great reputation out here with the regs, exchanges and i believe other brokers and are by far the #1 or 2 market makers in terms of volume, trades etc. Back to the issue: I agree speed is important but not the only concern. In any event, when I return from my hiatus (and/or get the time to make some calls), i'll post some better logs. I guess my main point is that the code is open and any firm willing to program and spend the resources on the fastest links, servers and best programmers should have compatable speed. IB is one of the firms with the cash, desire and need (think timber hill prop) for speed. Your firm seems dedicated as well. Thus I'd be very surprised if our speeds were significantly different.
riskless, the concept of having a very fast server which hosts the trading plattform would be ideal as basis for an ATS. In this case the latency of the Citrix connection would not do any harm as all trading decisions are directly made on the server. Do you offer such a feature? Best regards, Markus
OK post the complete logs. Be sure you all are comparing apples to apples. As I understand it, there are two types of fills the CME issues. One is called a fast fill. It is simply a quick notice that your order is no longer working (and has probably been filled). That step is signified in the IB's TWS platform by an immediate change in the order's status cell. The second type of fill is a completely validated order execution confirmation statement which seems to take a few seconds to arrive.
We do not allow access to our Data Center for ATS at the moment and the reason is: I am very reluctant to allow my servers to overloaded by constant inputs of orders and pulls. It can be done, but we have designed our network for speed and I believe that an ATS should be sgregated form trader that trade for the fastest fill. I really like this topic though and I would welcome a discussion at any time. Thanks and have a great weekend.
I have submitted the entire audit log for two trades. The exchange and the CFTC require that we have this log implemented. I get these reports every day. They are confusing in how they state From CME and To CME but the gist of the entire report is the total time from Submit to the last line where it indicates Execution and is tagged to Client. This mean that my Client is turning a trade around in under .50 seconds. Pulling an order tend to take longer because the exchange has an extra step on their part. Remember that I am not a developer, so I am trying to keep this in laymans terms. I am interested in your input and any information about this subject.