The importance of 'ping' - latency/connection speed in trading.

Discussion in 'Order Execution' started by gotmessner, Sep 8, 2005.

  1. Tested this on a bank stock that rarely trades.

    Put a bid on INET.

    The bastard jumping program (prob a market maker) shows up before I can even see my price on the inside.

    I have a fast connection (IB) and all this is very sub second.

    Scalping the inside price is almost impossible. You have to trade levels.
    #21     Sep 15, 2005
  2. white17


    I agree with GNOME; Maybe it's the wrong game. In my situation I have never had ping times under 1600 ms. It takes 250ms to ping my ISP who is less than a mile away. Consequently, I had to tailor style and trading product to what the system will allow.
    #22     Sep 15, 2005
  3. alanm


    There's something very wrong with your computer, router, and/or modem, or (less likely) ISP. Even with dialup, ping times to your local ISP should be less than 150 ms or so.

    My cable connection runs 10-12 ms for the first couple of hops.

    My DSL connection is about 15ms.
    #23     Sep 15, 2005
  4. white17


    The phone system is 1950's vintage and once the signal makes it to the server it still has to transit the satellite to get out of here onto the grid in the real world.
    #24     Sep 15, 2005
  5. alanm


    Quote from gnome:
    ... After all, it takes an average .70 seconds (700 ms for you math impared) to execute a voluntary motor response.

    Thinking that this number seemed kind of high, I threw together a simple program that prints a timestamp at random intervals, and then prints another one and shows you the difference after you hit a button.

    My response time was consistently 300-400ms. Some might say I'm old and slow, too :)
    #25     Sep 15, 2005
  6. Me too I guess, the way these guys are equpped and/or located. But I scalp anyway or quite short duration a lot down 900+ feet of rotten phone line through woods, then off island coast of Maine to Osaka and Sydney Exchanges and back. Feels like a second to fill? 1 1/2 seconds? 44kbps. When one way sat is working, which it isn't again tonight, I can't see that it's any faster for the actual trade part nor any faster than the cable set up in my daytime office. Osaka nikkei is not a small tick/low volume undertaking either yet I have never had a sense of unreasonable slippage on market orders. One of the things I do think about some on limit orders is where I might be in queue, whether price may wander away from me and the merits or not of giving up my place in that queue. Trouble for me is rarely technical, it's that I'm wrong on the trade in the first instance or have otherwise put myself in an unrewarding price area.

    This summer I read a book written at the time of the Barings blowup that said nikkei orders had to be typed and transmitted from within the city of Osaka at that time. So big traders worldwide were using squawk boxes to typists. I have no idea if this account is truthful.

    #26     Sep 15, 2005
  7. Without going into details: If latency affects your trading then your focus is wrong in this game.

    You cannot beat the automated boxes that are sitting on the floor of the exchange and can trade 50 times / second.

    We did extensive testing on a strategy that created its signals of 2 minute ES bars. And you know what? We could introduce 3 ~ 4 minutes delay before transmitting the signal and over 3000 trades it did not affect the results.

    #27     Sep 15, 2005
  8. nitro


    I have nothing to add, except maybe to change it to "excessive latency."

    #28     Sep 15, 2005
  9. jem


    well in the old days I owned an office full of very trigger happy and profitable scalpers. They (and me) all rightly sensed problems long before the clearing firm, the exchange, or the t-1 providers ever admitted to anything.

    Then when we got wise and told them what was going on they would say b.s humans cant react that fast.

    maybe. But good humans and trained humans do fire their synapses at much higher rates than non trained ones. Ivan Lendl and navratilove spent a lot of time training. Hockey goalies do the same. But even if you are average:

    We can sense that if we pullled the trigger and the quote showed up whether we should have that quote. In fact that type of feedback tells you a lot about the market and the participants.

    Once or twice you figured someone else pulled the tigger at the exact same time. but when it happened for more than a day. Office mutiny.

    As the owner I can tell you good scalpers can go ape shit over 100ms or less changes. (I know I could, but I could have been kidding myself) but the angry screaming traders in my office screaming at the computers were right even when I sometimes doubted them. One especially loud guy who was prone to belief in conspiracy was still correct every time we investigated his challenge.

    That fiber thing should concern the heck out of you if scalp size.
    #29     Sep 15, 2005
  10. tomcole


    Cant beat fiber or high end equipment - if you call Cisco and tell them what you're doing, they steer you to $2000 routers and up to grab the few ms you can.

    Ask them why big traders tech support always buys the latest and greatest, regardless of cost - cause they have to stay competitive!

    This game has changed from cowboy traders to cowboy techs and if you dont "get tech", they'll smoke you every day.
    #30     Sep 16, 2005