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There is a substantial risk of loss in futures trading. Past performance is not indicative of future results.
Trading futures and options involves substantial risk of loss and is not suitable for all investors. Past performance is not necessarily indicative of future results. You may lose more than your initial investment. All posts are opinions and do not claim to be facts. Please conduct your own due diligence. Use only Risk capital when trading Futures.
1 800 771 6748 local 561 367 8686 email [email protected]
Can you help answer these questions from other members on NexusFi?
You can easily do something at no cost which will give you some clues (I wrote a Ninja strategy which should be in this very forum somewhere):
- send a limit order far from the current price
- cancel it and see how long did it takes
If you do this during different days/hours and then do some statistics, you'll get an idea of the expected execution latency.
Of course you'll have to write this "fake strategy" with the provider's API, preferably in C++ to limit your own CPU time overhead.
I do have statistics (CQG vs Rithmic) from my own machines in 350E Cermak rd. (I still think colo in Aurora doesn't make sense unless being a big guy with FPGA/InfiniBand/GPU/..., way too expensive for the latency/execution gains) but it was done 3 or 4 years ago and it may not be valid anymore.
Also keep in mind that while the instrument and the volatility is involved the order type also have to do with how prioritized will be your order and how long it will take for it to be in the order book.
So you'll be able to compare CQG to Rithmic to Interactive Brokers for example but getting a "maximum execution delay" without executing real orders and getting filled (so you can do your own statistics) is basically impossible.
Providers advertise on their amazing execution latency (which is sometimes true, sometimes less true ) but I don't think any of them will guarantee a max. execution latency (unless it's < 1 second or something ).
sam, thanks for the post. i have done similar measurements for other markets. the problem i had with OTC Forex, is that the closer your limit order is to the BBO the more time it takes for the market to confirm your order. and secondly, the size of your order affects routing to liquidity providers. but forex is a dirty place and im a noob to futures so I may be (pleasantly) wrong!
Hmm, why are you talking about CME/Aurora if you're interested in OTC Fx? I though you were talking about CME FX Futures, not spot Fx.
AFAIK, while there is something planned in this area, the CME is offering futures and futures options on Fx but that's all.
A very simple strategy, which is not supposed to make money, but to measure the delay in this process :
- order send
- order received by the exchange
- order cancelled
- cancel receive and acknoledge by NinjaTrader
An short limit order is sent …
Rejoice in the Thunderstorms of Life . . .
Knowing it's not about Clouds or Wind. . .
But Learning to Dance in the Rain ! ! !
Can I please get clarity on what purpose is Rithmic? Specifically in relation to:
Data Feed: From my understanding the CME sends out the data feed to distributors, and people connect to the distributors. So do I use Rithmic for data feed? Or do I need someone like Kinetic for this? Or can I get a feed from CME? Is that a cost issue?
Order placement: From my understanding, Rithmic allows me to place orders on the exchange with authority of an FCM. Can I place orders direct to the exchange (with authority of an FCM)? Is there a cost reason to us Rithmic and not go direct? Does an order go through a Rithmic server, or is it just a software tool, and if so can I just use my own FIX connection to the Exchange?
Regarding FCMs, Do they interact with the order in any way or is it just for billing after the fact (via account id at end of day for example)?
Rithmic is a Direct Market Access feed. But, it must hit the RISK side at the FCM which takes milliseconds.
Your billing is done at the end of the month.
You need a data distributor as far as I know to get your data.
Thanks.
Matt Z
Optimus Futures
There is a substantial risk of loss in futures trading. Past performance is not indicative of future results.
Trading futures and options involves substantial risk of loss and is not suitable for all investors. Past performance is not necessarily indicative of future results. You may lose more than your initial investment. All posts are opinions and do not claim to be facts. Please conduct your own due diligence. Use only Risk capital when trading Futures.
1 800 771 6748 local 561 367 8686 email [email protected]
so now from my understanding there is a Risk Server in front of the exchange, and that is owned by the FCM.
my main aim is to get lowest latency for reasonable cost. If I spent thousands on a server in the CME Datacentre to get microseconds from the exchange (Proximity Hosting has 1U server racks for $1150USD/month, which they say can use Rithmics network), yet it takes milliseconds to go via the risk server first, that wouldnt make much sense.
So I guess I am asking now is there a way to decrease the risk check delay? are there low latency FCMs? or does cost blow out?
I understand that you want to decrease latency, but let's be practical too.There isn't another server risk, it is done via the same API you use. As Sam suggested, use a server in Chi, and if that does not work for you, get the Aurora one.
You are moving from FX to Futures, so slow and steady. You first need to see if you will even trade at the same frequency you anticipate.
Thanks,
Matt Z
Optimus Futures
There is a substantial risk of loss in futures trading. Past performance is not indicative of future results.
Trading futures and options involves substantial risk of loss and is not suitable for all investors. Past performance is not necessarily indicative of future results. You may lose more than your initial investment. All posts are opinions and do not claim to be facts. Please conduct your own due diligence. Use only Risk capital when trading Futures.
1 800 771 6748 local 561 367 8686 email [email protected]
) but I don't think any of them will guarantee a max. execution latency (unless it's < 1 second or something 
).
