+1k. ES Minis contracts per day

DevBru said:
This is true, only if you want to open a position right away, aka buying with a limit above current market price.

If you have a limit order resting on the exchange there will be no slippage.
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Correct.
I was referring to day trading using short time frame.
And that's what this thread is about if I'm not mistaken.
 
Your RTT should be 0-30ms. Normal volume should be around 0ms and max 30ms during surge volume (fed events, etc.) Platform, internet connection, hardware (router/switch) or something else?
 
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If it's only minimizing cost you're after, folks on my team have had pretty good past experiences with (in alphabetical order):
- ABN Amro
- FC Stone
- Wedbush Futures

around the order of 10~100k ES contracts per day. They're all ISV-independent, so you can pick your choice of colocation, extranet provider, data feed vendor, execution gateway vendor that best achieve your latency goals.
 
rb7 said:
The order type is irrelevant for the time it takes for the order to reach the exchange.
In fast moving market, you want your order to reach the exchange as fast as possible in order to reduce slippage.
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Hello rb7,

Thank you for understanding. Makes sense
 
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At that level of trading volume you should at a minimum be leasing an exchange membership, if not purchasing one in addition to exploring colocation and other methods of decreasing latency.

Ironbeam is a CME Group clearing member firm and FCM. We can assist with exchange membership as well as offer extremely competitive rates for high volume traders like yourself. Feel free to reach out to me if you have any questions.
 
Do keep in mind that cost and latency can be competing optimizations. If you acquire an exchange membership or create a tag 50, you might suddenly be subject to a host of data license fees that you were previously able to avoid.
 
Databento said:
Do keep in mind that cost and latency can be competing optimizations. If you acquire an exchange membership or create a tag 50, you might suddenly be subject to a host of data license fees that you were previously able to avoid.
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Sorry - Every trading account has a unique tag 50 no matter the account structure. Can you elaborate?
 
BehindTheTicker said:
Your RTT should be 0-30ms. Normal volume should be around 0ms and max 30ms during surge volume (fed events, etc.) Platform, internet connection, hardware (router/switch) or something else?
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Exactly, i am at <20ms with Rithmic connecting to the Frankfurt server.

For some reason OP (unless OP didn't read my question yet) doesn't seem to be willing to provide any additional information about the actual latency, location, server location, data provider or software, so it's hard to give any useful feedback.
 
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