Creating an autospreader

M

morreo

Hello fellow programmers,

I'm currently using the CQG autospreader and I have used the TT autospreader. To put it frankly, even with colocation, I don't even have a chance to get the trade I want. The odds of me getting hung are well over 60%. It's embarrassing.

I believe I have some pretty good hardware, but I was wondering, realisitically, if I were to create my own autospreader, what are the chances I could make one faster than CQG or TT? Considering they specialize in this, I could see it being a near-impossible feat.

However, the way I look at it is if I am using CQG or TT and everyone else is using than I have absolutely nothing on them. So, in essence, we are all losers (or small winners) and the guy marginally faster is the supreme winner.

What are your guys opinion on the matter?
 
are you using their managed service? If so, make sure you have your own dedicated server. Otherwise, you are sharing with other traders. Having your own servers means $$$, but may be worth it if you have the algo.

Creating your own spreader is not that complicated, but certainly not cheap. You should leverage what's out there first.
 
First of all, I am not in any way shape or form a programmer, so please consider my response pure satire born of ignorance.

I would guess that the message management and quoting aspect would make building your own "autospreader" a substantial and expensive challenge.

The positive thing about the experience would be that you would eventually come to realize that all true "autospreaders" requires the market to trade through their price settings, even for an instantaneous 'flash' moment, in order to get a fill. The idea of buying the bid on one leg and selling the offer on the other leg, while complying with the exchange's message-to-fill ratio policy, is not realistic on a sustained basis day in and day out.

Maybe just accept your lot in life and quote away from the market using the slop settings and the smartquote features to better effect - and honestly you are going to have to use a pay-up tic on the leg you are not quoting.

Or manually leg it like a true playa.
 
Quote from bone:

First of all, I am not in any way shape or form a programmer, so please consider my response pure satire born of ignorance.

I would guess that the message management and quoting aspect would make building your own "autospreader" a substantial and expensive challenge.

The positive thing about the experience would be that you would eventually come to realize that all true "autospreaders" requires the market to trade through their price settings, even for an instantaneous 'flash' moment, in order to get a fill. The idea of buying the bid on one leg and selling the offer on the other leg, while complying with the exchange's message-to-fill ratio policy, is not realistic on a sustained basis day in and day out.

Maybe just accept your lot in life and quote away from the market using the slop settings and the smartquote features to better effect - and honestly you are going to have to use a pay-up tic on the leg you are not quoting.

Or manually leg it like a true playa.
More...

agreed. which is why i offer you this
 
You won't build a better spreader than CQG or TT...
People with 9 figures in capital have been doing this for years...
And you have chosen to go HTH with these people.

In poker it's called poor table selection...
Like sitting in at the Big Game at the Bellagio with 10 BB.

You have to be market making enough securities...
Let's say 100-200 or whatever...
So that you're constantly getting "hung" on both sides...
But all that "hanging" cancels out because you are diversified.
 
OP your issue probably isn't the auto-spreader, it's probably a latency issue.

Not sure where your colo is or where/how you are executing, etc. but it sounds like latency to me.

I know a couple (not a bunch just 2-3) guys that are using the auto spreader from TT and they have no issues with it.
 
Really depends what you're trading. Heavily traded spreads are going to regularly get mis-hedged with the best of Autospreaders. Co-location through TT or CQG may be an option for you depending on how big your account is and how much you're trading. I'm just going to assume you don't have the capital to build your own front end to get a faster autospreader.

The big question a lot of guys are going to keep asking you is what you're trading. You're probably just going to have to up your leans if these misses are costing you too much money. If you're trading treasuries or eurodollars forgot about it, it's going to have to go through you to get filled. If you're doing intermarket spreads in grains or commodities or stock indexes you can probably play around with the leans and co-location may help.
 
Is there any consensus out there as to TT and CQG spreaders performing better than one or the other; or for all intents and purposes are they two peas in a pod?
 
Quote from spd:

Is there any consensus out there as to TT and CQG spreaders performing better than one or the other; or for all intents and purposes are they two peas in a pod?
More...

From my experience with the TT product, you can sometimes get double-filled. I have had some clients comment about fill issues with CQG including "phantom fills". In my personal opinion, the "cancel - replace" functionality in terms of exchange messaging, if that gets slowed down, leads to fill issues. Just my personal guess. At this point in their lifespan, both products are well developed and nearly all of the bugs have been addressed.

There are other spread trading platforms like Fidessa and RTS and Orc that have not been mentioned in this thread as of yet. They are more expensive but most of the big prop groups and banks use them. Worth a mention and a google search.
 
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