The time I see missing is the time it takes NxCore to compress the data before it gets to you. And they might add some 'conflation'. Not sure what that time would be but wouldn't be surprised if on the order of 10ms and maybe higher. Really no idea though. I do believe that IB's Fix interface was slightly faster. But that was 5+ years ago. Would be something you should test.
not sure how far back you were using lime, but they're now owned/clear through wedbush, so pretty decent list now. if you don't mind me asking wrt to direct, who are you an "associated person" with? or did you setup your own b/d and become an actual holder?
I ended up setting up a B/D. Pretty silly since I do very little stock trading. Needed it for another reason mostly. Major pain. When I used LIME they went through Goldman
I roughly remember that I read some time ago an advertisement .pdf from iB saying something about ~ 30 ms execution time. However, don't remember for which specific setups. Maybe they have a dedicated execution platform for institutions and/or fixed line connections (or prioritize them). The best execution time I had so far was ~60 ms (my one-way latency to iB is ~1ms) on IDEALPRO far off-hour. But my measurements could be screwed up since I'm only using SMART FOK/IOC orders, i.e. iB might look around quite a bit (or wait for the optimal time point for TH to internalize) before they send confirm/cancel.
I invested 1h40m in the help chat today to get these two pieces of highly unreliable information: -One LMT order submitted today that was not marketable was 10ms credit check to exchange..."already in round trip". I tried to clarify to make sure this was IB receipt time to hitting the exchange's order book, but am pretty sure I was told "Yes" just because it would prevent further questions. -One LMT order submitted today that was marketable had an execution time of 167ms..."also round trip". Same difficulty getting a clear picture of what this truly measured. It's pretty tough to move forward with the decision making process without having this number nailed down. I'm 7ms ping to gw1.ibllc.com currently, so I'm going to fire off some marketable IOC orders tomorrow and see what kind of roundtrip time I get measured locally...may have to make an educated guess off those. Will post back anything interesting.
Anyone have any experience with / knowledge of NYSE Superfeed (performance and cost)? I'm sure it's not cheap, but after reading about it, I'm surprised it isn't discussed more.
I'm really cluttering up this thread...my last question... Is it correct that the available short list depends on the clearing broker? If so, that may open up the possibility of co-locating with an executing broker that has fast order processing (and perhaps even data), but still clearing through IB to get their short list. 70% of my pnl is from the short side, so I'm wary of parting ways with IB entirely for that reason alone.
yes, the short list depends on the clearing firm. you're right that it opens up that possibility, but i think you'll find that IB isn't really the ideal place to execute away from for hf equity trading.