Best Auto-Trading/Co-Location Service Broker?

T

TechSystemTrader

Hi,

I'm looking for some recommendations on co-location hosting platforms and brokers.

I'm based in Europe and have been using TradeStation and EasyLanguage as my U.S. trading platform and broker the last 12 months. I find their customer service is decent, however their order execution is quite poor. Even on highly liquid stocks (20m+ daily volume), I get on average 8-10 cents slippage per share on market orders, and experience significant delays in getting filled on orders on fast moving instruments with tight bid/ask spreads. Limit orders very rarely (if ever) get filled when you want them to. My average trade position size is in the range of $50-$100K.

Has anyone else experienced a similar issue using TradeStation?

Given my geographic location I was wondering if latency could be a problem, so I'm considering a U.S. co-location order execution service to run my automated trading strategies. Happy to pay up to $2,000 a month for a decent execution platform / broker. If any one has any recommendations I'd greatly appreciate it. I'm currently running a 250Mbps Internet connection with an average ping time of 8-10ms.

Thanks.
 
Apex, Lime, and Lightspeed would all most likely fit/offer what you're looking for. I listed them in order of cheapest to most expensive (from my research anyway). The trade-off for cost savings is that more is required on the tech side.
 
I used Tradestation (TS) a couple years ago so I can mention a few things for you to consider but I am not current on the latest TS developments.

- If you haven't already, post your concerns on the TS customer forum. It was very active when I used them and you may get some good input from other European-based traders in your situation.
- I recall you could specify which TS server your order was routed to. Check with customer service if this is still the case and find out the server address that would be closest to the stock exchange your trades are routed to.
- It sounds like you are running your trading system in automated mode. But then you mentioned Limit orders, so I'm not sure what you have automated versus submitting manually. In any case, the automated orders are initiated from your PC so they would have the longest network travel time to your broker and then then exchange. Limit orders are generally held at the exchange so you really should not have any issues with them. If you are adding condition(s) to your Limit orders besides price, then they are held by TS until the condition(s) are met which is another step in the order flow.
- One of the nice things about running an automated system from your PC is that your code (aka, your secret sauce) is secure and not visible to anyone else. If you run your code on a foreign server that can be accessed by your broker or system admins, your code may be compromised. Of course, this is only a concern if you are consistently profitable and attracting attention.

Let us know how you make out.
 
Thank you once again. With respect to limit orders, it's mainly anecdotal evidence I've experienced first hand during manual trading, and sometime with market orders I've sat and watched relatively small market orders (<5000 shares) go unfilled for up to 20 seconds. Far from ideal for day trading. I have 2 PDT accounts with TS. I'll see if they can help me out, although the Customer Service side of things are decent, I've found the Account Management end to be lacking. I had a wire transfer go missing for 3 weeks and no one knew (or wanted to know) anything about it. So switching to another broker wouldn't be an issue for me.
 
Even a VPS in the NY area, running with the Interactive Brokers API would be better than what you are describing, and no where near $2000/mo. If you want more speed, Apex, Lime, and Lightspeed have been mentioned, and I would add Lek and WTS. Some of these are quite cheap with a VPS about 10-20ms to submit an order, or you can pay more and get true co-located speed. I am with WTS now and they have every route imaginable, dark pools, etc., good for big orders.

But I suspect it's not a speed problem, it's an order routing problem. Have you kept up with the issues presented by HFT?
 
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If you're running automated trading strategies from Europe, it's not just your 8-10ms to your broker it's the latency from your broker to the market. For US Equities most exchanges are in New Jersey which is about 50ms to London and for futures they are in Chicago which adds another 13-20ms on top of that. The impact of this latency and your hosting would be on automated strategies for taking liquidity and price modifications on orders, manual orders taking liquidity would still be impacted by your location and may not improve much.
 
promagma said:
But I suspect it's not a speed problem, it's an order routing problem. Have you kept up with the issues presented by HFT?
More...

This was my initial impression as well, that there's something signalling going on, but 8-10 cents in stocks that trade over 20M/day seems hard to believe. Unless these are high priced shares like TSLA, AMZN, GOOG. TST, any idea what you're looking at in terms of bps slippage?

Promagma, does WTS have a retail arm or are you trading prop with them?
 
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