Futures platform execution, i.e ES contract
- Thread starter informtrader
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In the future business its pretty transparent not like the world of NYSE. Orders that arive at the exchange are processed by algorithm so the only latency you see is between you and your broker and the broker to the exchange.
The advantages that the big guys have is pure bandwidth and direct connect which may not matter depending how you trade or who you trade with.
The advantages that the big guys have is pure bandwidth and direct connect which may not matter depending how you trade or who you trade with.
Quote from NetTecture:
My comments were about the programming interface (and thus the usable part of the zen-fire system).
Whether you consider NinjaTrader stable or not is up to you. We have problems with it crashing left and right, as do quite some more. Zen-Fire / Rithmi is marvelous as a system. The Zen-Fire API to this system is less powerfull than the Rithmic API, so using the zen-fire API limits you more IF YOU PROGRAM.
If you use Ninja, you are limited to what Ninja offers. And all the "quality" ninja has. Including lockups, crashes, abysmal performance. Many hope for Nt7I gave up - working on my own order management platform now.
For execution only (thru the DOM), would you recommend R Trader instead of Ninja Zen?
CME employs 10 different matching algorithms depending on market.
Algorithm FIX tag 1142-MatchAlgorithm
=========================
First In, First Out (FIFO) F
Split FIFO/Pro-Rata K
Pro-Rata C
NYMEX FIFO with Lead Market Maker (LMM) N
Allocation A
FIFO with LMM T
Threshold Pro-Rata O
FIFO with TOP and LMM S
Threshold Pro-Rata with LMM Q
Eurodollar Options Y
http://www.cmegroup.com/globex/introduction/ explains each matching algo in detail.
http://www.cmegroup.com/globex/files/PriceBanding.pdf is CME's published table showing which of the matching algos are used by each instrument.
ES Futures, Options and spreads are listed as straight FIFO ... No Market Maker advantage.
In fact, All of the e-mini's and currency futures are straight FIFO.
There are thinner markets with designated Lead Market Makers. The LMM's receive a portion of order flow, You can find these markets in the pricebanding pdf where the matching mode is tagged as T, N, S, K or Q.