All-in-one brokerage or FCM+Feed?

P

pers

I'm starting algo-day-trading CME futures in a 20K account.
Trading on a 5-min time frame with about 3-5 round trades/day per 20K in capital. Algos in Python. Level I data enough. Latency or small data inaccuracy not a problem. Intraday margin =< 50% of daily margin enough.

Option 1: Wedbush/AMP + CQG/TT/CTS (FIX adapter)
Option 2: Interactive Brokers (Python API) or TradeStation (WebAPI)

At initial contact, IB's customer service seems to be the worst. Surprisingly, Wedbush's is great and interested despite my small account.

Can someone help my decision between the two with an eye to:
- Fixed and variable costs of trading
- Ease of trading (how much of a headache option 1 is over option 2)
- Given the fact that this account will gradually grow and start raising external capital (implications for e.g. institutional-grade FIX vs IB's API?)
- No platform or gimmicks needed other than API
- Being able to get customer and technical support on the line in emergency situations

Specifically, how pro futures traders setup their data+execution infrastructure? Any of them really go to IBs or TSs of the world? I'm not a pro but am trying to setup my trading business in way I don't need to make major changes down the line
 
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traider said:
Do you have a well defined edge/ money making strategy. All these considerations are kinda pointless if you don't.
More...
Yes, I do. This is a profitable strategy I used to implement manually.
 
I'm not sure I have a solution for you, but here are some things to think about:

You are likely to run into margin problems with interactive brokers, if you need margin credit intraday you should be going with an FCM (or even an introducing broker through an fcm).

FIX is a bit of a pain, and it's only as "institutional" as the person implementing it. When you are operating from the client side, no one really cares how you connect, so long as it meets your needs. While you are small you are better off creating a python wrapper around someones existing in-process api. CTS, Rithmic, CQG and TT all offer dot net based api's that are easy to wrap, in all of these cases you could use Iron Python to import the client side dll's.

TT and CQG are both prohibitively expensive for your account size. I believe cqg has a pretty steep upfront "developer fee", and while TT is actually pretty good (order routing for 0.05 per contract), getting market data through their FIX api is expensive as the exchange automatically classifies it as "non-display", so for the cme that's $375 per sub exchange per month.

You could also use market data from one vendor and order routing with a different vendor (say market data from iqfeed/ rithmic/ cts coupled with routing from TT.



If I were in your shoes I would go with an FCM and use CTS + their dot net api.
If I really felt compelled to integrate FIX I would use TT for order routing and IQfeed for market data.
 
addchild said:
I'm not sure I have a solution for you, but here are some things to think about:

You are likely to run into margin problems with interactive brokers, if you need margin credit intraday you should be going with an FCM (or even an introducing broker through an fcm).

FIX is a bit of a pain, and it's only as "institutional" as the person implementing it. When you are operating from the client side, no one really cares how you connect, so long as it meets your needs. While you are small you are better off creating a python wrapper around someones existing in-process api. CTS, Rithmic, CQG and TT all offer dot net based api's that are easy to wrap, in all of these cases you could use Iron Python to import the client side dll's.

TT and CQG are both prohibitively expensive for your account size. I believe cqg has a pretty steep upfront "developer fee", and while TT is actually pretty good (order routing for 0.05 per contract), getting market data through their FIX api is expensive as the exchange automatically classifies it as "non-display", so for the cme that's $375 per sub exchange per month.

You could also use market data from one vendor and order routing with a different vendor (say market data from iqfeed/ rithmic/ cts coupled with routing from TT.



If I were in your shoes I would go with an FCM and use CTS + their dot net api.
If I really felt compelled to integrate FIX I would use TT for order routing and IQfeed for market data.
More...
Thank you very much for the helpful answer. Can you just elaborate on where you said I'll probably run into issues with IB's intraday margins? From their website, I see intraday is about 60% of overnight. If I am OK with this, is there any other drawbacks to consider?
 
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