[CANADA] Low Latency, Low Commissions, Direct Access via API

Statistical Trader

Statistical Trader

Pretty much what the title says. I'm looking for a broker that accepts CANADIAN residents as clients that allows direct market access routing with low latency and low commissions.

By way of comparison, IB (my main broker) is not good enough for this specific strategy. Execution isn't always fast enough and direct access routing is too expensive at $0.0075 / share. (Note that commissions on directed trades are higher than "smart" routed trades.)

I looked at Lightspeed and thought they looked promising ($0.0045 / share on direct routing) until I was told they won't open accounts for Canadian residents.

Low commissions per trade (not per share) could also be acceptable, although I can't control how much volume I can do on any given trade because it depends what the market shows me.

Any suggestions? Must meet all three criteria simultaneously (latency, commissions, direct routing via API) or it won't work for this strategy.

Happy trading!
 
For US Futures (CME), IB response time is usually around 250 ms (from Canada, Eastern Time zone). I don't know where you got the fact that IB was not fast enough (whatever that means!).

And the $0.0075/share comm is for fixed fee structure. It's cheaper if you go with tiered.
 
Yes, that's decent. <250 ms would be better, though. Basically, the faster, the more opportunities I have. The mean daily time an opportunity persists ranges from 3 ms to 940 ms based on the data I have. I can't catch the 3 ms with IB but can easily catch the 940 ms.

The main issue is the commissions. Thanks for pointing out the $0.0075/share is for fixed fee. I owe you one!

Suggestions of brokers that are faster and/or cheaper than IB on directed orders are still welcome, but if tiered commissions at IB are low enough I can start running the strategy and see what percent of the opportunities I can catch.
 
Statistical Trader said:
Yes. Currently I get data through IB so I bundled data and broker together as one in my mind, but of course they can be split up.
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Not sure IB is your best bet for fast and reliable market data. I've heard that IB only sends snapshot each 250 ms. I'm using IQFeed instead of IB. Not that cheap but you gotta do what you gotta do!
 
But IB data latency is good enough for you? What good is fast execution if your signals are off delayed data?
 
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qlai said:
But IB data latency is good enough for you? What good is fast execution if your signals are off delayed data?
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Very good point.
But market data speed (or so-called latency) is harder to determine.
You need the exchange original timestamps in order to calculate the time it takes for you to receive the updates.
 
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