ATS solution

M

macrotrader

Hi,

is there a solution which can update say a 1000 quotes per second, based on the last bid/ask. For the last months I've been coding my own program, because I didn't see an alternative. Now I'm running into some performance barriers, through my custom IB application. I even consider moving to Tradestation, although I'm not a big fan.

Ninjatrader, Amikbroker, etc. seem to be fine for midfrequency trading, but my impression is that they can't compete for higher frequencies.

Currently I'm using IB and DTN as a feed. I might be willing to pay several hundred dollars a month, but not much more than that. I'm thinking about a 'professional' solutions such as RTS and ORC.
 
Hi,

you can try OpenQuant. We've taken special care recently to improve OQ latency and we observe 0.2 ms latency for order submission (with GUI and data collection running in parallel).

As for the data rate, I think you should also take into account that the broker API or FIX engine can be the bottleneck here. For example OpenQuant can backtest with the data rate at ~300K events per second (plain tick stream and empty strategy with no logic) and I/O at ~1M events/second to/from historical data base, but I doubt that you can ever get this rate from the FIX engine for example. I think QuickFIX engine can give you something like 5K events per sec max and IB will artificially cut the data rate.

Cheers,
Anton
 
tradelink is open source/free and runs at .05ms with live feed.

on historical feed it's comparible to OQ.

there are users that trade high frequency strategies in co-located environments, mostly via genesis api but tradelink supports 15+ brokers.

again all open source.

google tradelink project or tradelink.org
 
Quote from macrotrader:

Hi,

is there a solution which can update say a 1000 quotes per second, based on the last bid/ask.
More...

do you just want a data feed? data feed and platform are seperate
 
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