Best Latency?

Hi, very interesting thread, some of you here seem very well informed on this topic and I wonder if I could ask for some advice

I live in the UK and trade in a variety of ways on markets on both sides of the Atlantic. Increasingly I am using algorithmic software for launching ultra short term positions which are created by software I have located on a New York server. For various reasons this cannot be relocated and the signals are generated faster by it being based in New York as this is where the raw data is located. This software currently fires the signal to my desktop application of this software which is on my 4 machines here in the UK and then launches a trade on my platforms here on my local machine in the UK also.

To be specific however with regards to one of my issues, one of my futures accounts is with MF Global based here in the UK which is hooked up to CQG Trader. So as things stand with this specific account my software in New York is firing me a signal which travels to the UK (54ms ping), initiates a trade on my platform, which then is routed via CQG and MF Global in London to Globex (probably another 150+ms at least). Obviously this is not the most efficient solution and only operates as such because of my other UK based and UK executed accounts.

What would your advice be to squeeze out any latency when using this New York based algorithmic software to trade CME products.

My initial thoughts are to get a VPS in Chicago to host the desktop version of the New York software and then to make this work I would also need my CQG platform on the VPS and broker be located in Chicago too.

I know it's a bit of a convoluted post but any thoughts would be very much appreciated!
 
CQG Trader is not capable to accept computer generated orders. Are you sure this is not CQG Integrated Client with System Trading option ?
 
Yes, it's definitely CQG Trader, I have a software overlap which can operate on the DOM ladder or push buttons similar to the way I would execute orders manually.

The reason for this is I also use the same software for launching trades on bucket shop brokers, like spread betting accounts here in the UK, which give me tax free profits as and when I can use them. The platforms offered when you trade CFD's and Spread Betting are often browser based and limited in capabilities so you need to have this approach to use them.
 
do you use autoIt ?

you are hilarious man. make sure CQG never find it out ;)

P.S. How do you know the order has been placed and what is your current position? Do you use some kind of clipping the screen software with OCR embedded? :D
 
RJO Futures support CQG API and clears trades.
Might be a good fit for your particular setup.


Quote from eastwood1234:

Yes, it's definitely CQG Trader, I have a software overlap which can operate on the DOM ladder or push buttons similar to the way I would execute orders manually.

The reason for this is I also use the same software for launching trades on bucket shop brokers, like spread betting accounts here in the UK, which give me tax free profits as and when I can use them. The platforms offered when you trade CFD's and Spread Betting are often browser based and limited in capabilities so you need to have this approach to use them.
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Quote from eastwood1234:

Hi, very interesting thread, some of you here seem very well informed on this topic and I wonder if I could ask for some advice

I live in the UK and trade in a variety of ways on markets on both sides of the Atlantic. Increasingly I am using algorithmic software for launching ultra short term positions which are created by software I have located on a New York server. For various reasons this cannot be relocated and the signals are generated faster by it being based in New York as this is where the raw data is located. This software currently fires the signal to my desktop application of this software which is on my 4 machines here in the UK and then launches a trade on my platforms here on my local machine in the UK also.

To be specific however with regards to one of my issues, one of my futures accounts is with MF Global based here in the UK which is hooked up to CQG Trader. So as things stand with this specific account my software in New York is firing me a signal which travels to the UK (54ms ping), initiates a trade on my platform, which then is routed via CQG and MF Global in London to Globex (probably another 150+ms at least). Obviously this is not the most efficient solution and only operates as such because of my other UK based and UK executed accounts.

What would your advice be to squeeze out any latency when using this New York based algorithmic software to trade CME products.

My initial thoughts are to get a VPS in Chicago to host the desktop version of the New York software and then to make this work I would also need my CQG platform on the VPS and broker be located in Chicago too.

I know it's a bit of a convoluted post but any thoughts would be very much appreciated!
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Why would you not run CQGtrader on your NY servers and route the orders from it to CQG's Chicago infrastructure? Then you will get best of both worlds - use the setup that is working for you and remove the latency associated with distance time. CQG can easily associate your CQGTrader login with their Chicago hub (instead of London that is default for MFG UK custtomers.
if you have to have London based account fro your european trading you may be better off getting another login for CQGT and then split your european activity on European account and US based activity on US one.
PM me if it is not clear and you need some details.
 
Quote from maxima120:

Are you saying that TT market data slow but execution good. Do you know how slow exactly? I know CQG market data is consolidated for few ms. Do you know what figure is for TT feed? And are you talking XTAPI connected app or TT FIX?
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I want to make sure everyone is absolutely clear here - CQGSpreader does not consolidate any market data. Henderson is right - the system takes less than half a millisecond to react to market data event from an exchange and less than half a mil to react to fill on one of the legs of the spread.

What Maxima120 is talking about is applicable to Internet based CQG front ends (there is small consolidation) and even it can be removed in case if CQG Client is running within CQG infrastructure.
 
responses in-line.
Quote from PocketChange:

Colo at your broker or at financial.equinix.com can reduce net latency to 3ms.
*** our customers see less than 1ms and with our new technology, less than 250us.

Typical Network Latency
Continental US: 40 - 60ms
Europe: 120 - 170ms
Asia: 220ms - 300ms

CME group averages 9ms to order match and report trades down from 16ms in 2008. CME FX averages 3ms.
*** our customers see CME 50th percentile at lesss than 5.5ms and NYMEX at less than 8.6ms

Rithmic Order release triggers are meaningless. Even Excel can trigger orders via DDE in 100us or less. You need to measure the full order process.
*** our 250us claim is based upon the full order process: get market data, evaluate it and release an order with credit blessing. suprised to hear that DDE is so fast as it was surpassed in speed and throughput by RTD along time ago and RTD is very slow.

Corvil.com is used by CME and other exchanges for latency monitoring.

25ms is about the best you can achieve for complete order process at Broker colo. ie. trigger order - credit release - execute - clear.
*** our customers can get less than 500us.
3rd party clearing may introduce further delays. Remote estimate add your r/t net latency... 65ms - 75ms US.

Just processing quote feeds would be your net latency + processing time. Last trade prints processed at colo are 9 - 12ms old. Remote 25ms - 50ms.

OEC/Optionexpress is on Level3 backbone. Check your ISP's peering arrangements or do a tracert. they are a bit of a hybrid as orders are staged and held on their server for near colo type order process cycles. Your quotes are still subject to net latency. RCG does the clearing so there may be a slight delay.

IB smartrouting introduces additional delays and their feed is throttled at 6 updates per second.
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