Comparison of low latency feeds and execution for Eurex futures

R

runtrader

I’m investigating a number of low latency market data feeds for the execution of Eurex futures. I’d welcome some real world practical thoughts and experiences you guys may have regarding costs versus speed versus reliability for the following types of brokers / feeds.

- Retail brokers like IB
- Institutional feeds/brokers like Bloomberg / Reuters
- Direct access to Eurex.

Note, when I refer to speed I’m excluding speed limitations due to telecoms connectivity, i.e. excluding network latency. What I’m basically looking for is the fastest most reliable execution at minimum cost.

Thanks
 
I am NOT talking from experience, but I have looked into a variety of solutions and also been in touch with Eurex a couple of times for research purposes.

First of all, if you're on a budget you can just forget all about the advanced solutions and just stick with for instance IB. I'm pretty certain that that would be your best bet unless you've advanced to level two.

I'd also like to say in the beginning that if you are trading with human interaction, point and click, and not spreading - then a 50-100 ms saving shouldn't matter. You have far more to gain by being alert and working on your mental strength.

If you're serious, do good volume and use some form of automation (spreading or "black" boxes), then you'd have to find out how where you get your quotes from from your clearer, and what kind of access point they've got. If you have to go through for instance London or Paris (or Chicago) it's obviously slower than if it's in Frankfurt. Usually it's MISS, which is a shared access point - using for instance Trading Technologies.

If you're located 50ms away from the MISS, you can then add the ms between the MISS and Eurex to get the latency. I am not quite certain, but think this is around 15-20ms. If you host with for instance Equinix you can cut the 50ms if you have a black box.

Eurex has also just introduced a new price feed - unnetted. This is faster than the feed the MISS are on - I think the savings are around 5-10ms.

To sum it up: The absolutely fastest connection you can get to Eurex is to become a Non Clearing Member, get the un-netted price feed and host a server with Deutsche Boerses proximity services. In addition to the costs which are in the 3.000-4.000 Euros per month range, good luck sorting out your tech. Perhaps someone would call this overkill if you're trading one-lot DAX though...
 
Quote from hprop:



Eurex has also just introduced a new price feed - unnetted. This is faster than the feed the MISS are on - I think the savings are around 5-10ms.
More...

The likes of TT have yet to come up with version that can display this feed, think RTS is one of the few that can show it so far.
 
Thanks for the info hprop, your detailed reply was very useful.

I’ve developed a high frequency automated trading system that trades between 80 to 200 times a day, across a couple of instruments. I’m looking to scale this up and expand to other instruments. At the moment I’m using the IB API, however I’m investigating additional avenues for the next stage of development (advancing to level two as you mention).

I’ve played lightly with the IB FIX interface to see what it gives but wanted to compare other alternatives. For me it looks like the next stage will involve hooking up to IB via FIX and then co-locating the trading system nearer to IB’s Swiss data centre using something like Equinix. This means that I can also co-locate to IB’s US data centres to access the US exchanges.
 
Quote from Dogfish:

The likes of TT have yet to come up with version that can display this feed, think RTS is one of the few that can show it so far.
More...
Yes, it's quite new so I'd imagine it would take some time for the various vendors to support it. Thank you for the information regarding RTS, that's interesting. Knowing TT it's probably scheduled for June 2009.
 
Quote from runtrader:

Thanks for the info hprop, your detailed reply was very useful.

I’ve developed a high frequency automated trading system that trades between 80 to 200 times a day, across a couple of instruments. I’m looking to scale this up and expand to other instruments. At the moment I’m using the IB API, however I’m investigating additional avenues for the next stage of development (advancing to level two as you mention).

I’ve played lightly with the IB FIX interface to see what it gives but wanted to compare other alternatives. For me it looks like the next stage will involve hooking up to IB via FIX and then co-locating the trading system nearer to IB’s Swiss data centre using something like Equinix. This means that I can also co-locate to IB’s US data centres to access the US exchanges.
More...
Sounds like a good idea to look closer into this, then. I guess it would be a tradeoff for you between how much more you'd think you'd be making. Remember that you would get some cost savings from lower broker fees vs IB if you were to go with the pro futures firms - offsetting increased cost of server+software. It would be very easy to save at least 0.10-0.15 eurocents per contract on avg - so with 25.000+ contracts you've already paid for the upgrade.
 
Quote from hprop:

Remember that you would get some cost savings from lower broker fees vs IB if you were to go with the pro futures firms - offsetting increased cost of server+software. It would be very easy to save at least 0.10-0.15 eurocents per contract on avg - so with 25.000+ contracts you've already paid for the upgrade.
More...


I completely agree – the reduction in commissions alone would increase profitability. However apart from the obvious savings in commissions it’s difficult to quantify what else would be gained by moving from IB to a ‘pro futures firm’

1) How would their technology infra-structure differ from IB’s – what advantage would they have over IB?
2) Would they been any more or less reliable than IB?
3) Can you recommend a typical low-commissions ‘pro futures firm’?
 
Agree with the whole story so far. In the end it is always costs vs return. But if what you trade now, so through IB, is alreadt a stable source of net profit it is worth to asses all posibilities.

But as I understand you also hook up to US markets with the same ALGO/Blackbox. If you trade theses markets as a dependent it is also important to see how the latency of crossing the ocean is affacting your performance.

But when the 10-20 MS latency diff is important to ones strategy you need to understand that you are competing against other large capitalized trading companies that spend millions on IT infrastructure. That is like Formula 1 of trading.
 
Quote from runtrader:

I completely agree – the reduction in commissions alone would increase profitability. However apart from the obvious savings in commissions it’s difficult to quantify what else would be gained by moving from IB to a ‘pro futures firm’

1) How would their technology infra-structure differ from IB’s – what advantage would they have over IB?
2) Would they been any more or less reliable than IB?
3) Can you recommend a typical low-commissions ‘pro futures firm’?
More...
It would depend on your strategies, reduced risk of only one leg filled, being on the same field as hedge funds etc who might be running similar strategies and so on.

1) If you go for a proximity service you would have lower latency than through IB. If this matters for your strategies, that is a big plus.
2) This can depend a bit, and also what server configuration you go for. It's hard to compare, but not less reliable than IB I'd say.
3) You can check with Fortis, MF Global and also companies like Marex Financial, Kyte Group, Schneider. I'm sure others could add extensively to that list.

And Cybren is making some very good points.
 
http://www.eurexchange.com/technology_en.html

http://www.eurexchange.com/technology/fees/miss_api_en.html

Access via MISS/VALUES API
Members can choose between a bandwidth of either 1 mbit/s or 10 mbit/s for standard connections via the MISS/VALUES API architecture. Furthermore, standard connections can be established either via leased-line, via Internet (1 mbit/s ) or via the definition of the appropriate logical channels on an existing EBS connection.

MISS Prices by Connectivity Solution (EUR/Month)


Each 1 mbit/s leased-line (unchanged) EUR 750 for the first two connections for each additional connection EUR 2,000
Each 10 mbit/s leased-line See prices for 10 mbit/s EBS connections
Each 1 mbits/s internet connection EUR 500
Each 1 mbit/s channel EUR 700
Each 10 mbit/s channel EUR 1,400


The total connection fees consist of the number of connection components installed at member locations multiplied by the corresponding price.

Members of the Eurex exchanges who also hold a derivatives clearing license (DCM or GCM) must be connected with at least one leased line.

In the event that a member establishes a MISS/VALUES API connection with the definition of the appropriate logical channels on a high bandwidth connection, any further additional 1 mbit/s leasedline connections which may be present will in general be charged at EUR 2,000.
 
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