Arca Fix Lousy Execution Speeds

FIX is the protocol used to send and receive order messages to Brokers, ECNs and Exchanges. This protocol is pretty much the standard in the industry. We use FIX to connect our automated trading systems to the the market.

When I mentioned the times in my earlier post I was measuring the time between when I send out an immediate or Cancel Order and when I receive a Fill or Cancel back from the ECN over our FIX connection.
 
Complexity ,

Well put. ARCA is quite slow for FIX traders. Most of our FIX traders do most of the order flow on REDI & ISLD. Most traders would not notice the difference between REDI & ISLD . It really depends on your strategies your are using. 100 ms can make a difference. We get REDI executions in 250 ms < , most of the time.



Gene Weissman
Lieber & Weissman Sec., LLC
gweissman@stocktrade.net
 
Originally posted by Complexity
I agree that ARCA is the slowest ECN on the street. I work in a stat-arb shop that employs computer-to-computer trading systems(note-no human traders). We continuously monitor the execution speed of all of the ECNs we connect to. The results when hitting an existing order on their books are as follows;

ISLD 60 to 90 milliseconds
REDI 180 to 300 milliseconds
*BRUT 200 to 300 milliseconds (see note)
ARCA 800 to 1200 milliseconds
INCA 600 to 800 milliseconds

(note - BRUT has problems with the quotes they publish and sometimes they cannot be executed.)

The speed issue may not be significant for manual day trading, but when you are relying on existing liquidity being there for a fast moving trading system, it is vitally important. We have tried to tune our systems to the reliability of the ECNs, therefore ARCA tends to get less of my business. Hopefully, during the merger, ARCA will use the REDI technology to improve their platform instead of destroying the performance of the REDI system.
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Complexity:

Thank you for the great information on ECN speeds. I am also involved with automated trading, but have not yet implemented systems to continuously track ECN speed. Your data is a huge help, and very timely for me.

I've noticed lately that when trying to get rid of odd lots, that ARCA can be extremely slow. As I currently use the ARCA order routing for marketable orders, it is good to know that they suffer speed problems when compared to REDI. I'll try switching back to REDI for marketable orders (odd lot and otherwise).

We ought to open up an automated trading thread, or better yet chat on the phone sometime. FYI, I've sent you a PM with my contact information.

Best of luck,
-Eric Patterson
 
Originally posted by EricP


I've noticed lately that when trying to get rid of odd lots, that ARCA can be extremely slow. As I currently use the ARCA order routing for marketable orders, it is good to know that they suffer speed problems when compared to REDI. I'll try switching back to REDI for marketable orders (odd lot and otherwise).
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Using REDI for odd lots is an even worse idea than ARCA since if the odd lot ends up on REDI's book due to lack of other odd-lot accepting liquidity pools within your price limit REDI will only match it with other incoming odd lot orders regardless of price.

As far as using ISLD for non-marketable limit orders is concerned, this has become increasingly problematic over the past year due to the increasing practice of non-displayed fractional cent frontrunning. Ever since I've started directing all non-marketable orders to INCA I've noticed markedly improved fill rates.
 
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