High Pings & Latencies in Day Trading?
- Thread starter Scientist
- Start date
This is an interesting thread. I have been having this problem for the past month or so with a new arb strategy. My problem is that 2-3 other guys are doing it and beating me to about 80% of the alerts. Our orders are sent at the same time but by the time mine get from CA to NY someone has beat me to the shares. I figure I miss out on 3-5k/mo because of this so I'm not about to pay for a T1 to NY. Haven't quite figured out what to do at this point...
This is on a 3mb download, 250kb upload.
This is on a 3mb download, 250kb upload.
scientist
there are a few things people in our part of the world can take away from this discussion
a. its nice to know you don't need relatively miniscule pings to make money
b. perhaps we should just move closer to the exchanges and make FIVE times as much,
_all_other_things_being_equal_
cheers
could also check out frame or atm connections - they are not distance sensitive. might be cheaper to colocate a 1u router in IBs datacenter (if they use a datacenter), get a frame connection (about $500-600/port) to your home router then access the internet and IB directly. $1300-1400/month for internet and <20ms to IB.
the other part of this latency argument its that your quotes are slower. with ib not passing every tick = more delay. addin professionals potentially having a quote feed direct from exchange versus from esignal,etc. = less delay for them.
well after checking -looks like IB is using MCI. a rack in the DC would probably be around 500-700 plus internet. i doubt they have a pay/gb plan so 300 for a T1 for your rack. plus possible cross connect fee for the frame $50-$300.
2 Frame ports $1200 plus install
1 rack with approx 1mb/t1 of bandwidth $1100 or so
$2300/month plus install fees and 2 routers
you might be able to find someone in the MCI dc who will rent out 1u of space and give you some burstable bandwidth for a reasonable price
the other part of this latency argument its that your quotes are slower. with ib not passing every tick = more delay. addin professionals potentially having a quote feed direct from exchange versus from esignal,etc. = less delay for them.
well after checking -looks like IB is using MCI. a rack in the DC would probably be around 500-700 plus internet. i doubt they have a pay/gb plan so 300 for a T1 for your rack. plus possible cross connect fee for the frame $50-$300.
2 Frame ports $1200 plus install
1 rack with approx 1mb/t1 of bandwidth $1100 or so
$2300/month plus install fees and 2 routers
you might be able to find someone in the MCI dc who will rent out 1u of space and give you some burstable bandwidth for a reasonable price
Fast mum you've got. Faster than world class athletes in fact. Were she to compete at the racetrack she would have been discualified for false starts: (The rules of the IAAF (International Amateur Athletic Federation) fix the minimum time of physiological reaction at 100 milliseconds. Below this limit any movement of reaction is considered to be premature and places the runner in a false start situation.)
Thread on reaction times:
http://www.elitetrader.com/vb/showthread.php?s=&postid=420089
Cheers
Joe
Ha! See I was right! She was jumping the gun on those -100ms ones! I'm gonna tell her that!
Nice to finally have some facts here. However, for the ones of 120-160ms I would be pretty sure they were real - she really was that fast there, and feelably faster than me. Since the time interval of switching the light is a random time anywhere within 3s, she would have had a) Lots of false starts if she was jumping it (which she didn't), or b) Been a clairvoyant (which I don't think she is).
I actually asked her how she can explain being so fast. She said "Oh that's easy. I've been doing a lot of horse riding. I rode on hours a day, doing jumping courses and riding through forests. You need to react extremely quick on obstacles, and watch out for branches and duck really fast, or you get massacred. Do this every day for a few years and you'll know what I mean."
Well, I think she has a good point there. It didn't occur to me. But yes, riding can be a lot like that. Particularly in European forests, where you have dense vegetation, pines, needle trees and all kinds of sh*t flying at you, makes really need to watch out.
Maybe that's why Linda Bradford Raschke is (supposedly) such a good scalper. She is a true horse freak...
Thanks nitro, I think you've taken my point on "computer latency" way too serious. I know that my CPU processes at 2.6 Billion computations per second, and most CPU's today aren't too far from that.
Well, but this is again exactly what I pointed out before. There must be significant advantages to getting just a few ms more. Clearly, if we were assuming that a) we all have the same reaction time and b) all_other_things_are_equal, then clearly the guy with 50ms or even just 20ms has an advantage over his "late" competitor.
I have to say I envy your (and any American's/European's for that matter) comparatively miniscule latency. See, here in Oz I have to trade with a 350ms PING (! not total RT !) to my broker. Regardless of whether I use IB TWS or TT, it hardly makes any difference, it's still over 300ms.
nitro, what kind of connection and setup are you dealing through? Do you have a direct T1? And what kind of interface are you using? TT, TWS or a similar product? Have you tested the actual execution time differences between various platforms in a way that is quantifyable, i.e. can you say that a single execution through X_Trader is "x" ms faster than with platforms x, y, z?
Cheers!
Scientist
This sounds scary man. What is just the latency diff you're facing there against your NY buddies? Hardly 100ms I bet?
I remember I said once to a friend that it wouldn't be worth it for me scalping shares really actively unless I had just about an apartment across the road from the exchange. That's why I do futures. Futures are a lot "slower" in that respect. Even DAX. Not to mention that Eurex has a 2s feed delay, anyway. But that delay applies for everybody, so never mind...
As for the bandwidth - I have super-wide DSL, too. But bandwidth you can get for an apple and an egg these days...
wallaby (LOL!),Quote from wallaby:
scientist
there are a few things people in our part of the world can take away from this discussion
a. its nice to know you don't need relatively miniscule pings to make money
b. perhaps we should just move closer to the exchanges and make FIVE times as much,
_all_other_things_being_equal_
cheers
a) Yeah, you have a point there. It's not a matter of science to understand this, though. Whether you have a low ping really only matters if you're a day trader, and more if you're a frequent and entry-exit-critical day trader / scalper.
b) Yeah! We should go to the US and kill it there! We've been toughened by the Aussie jungle, we'll take no prisoners!
I don't know about "make 5 times as much", that's probably a bit hyped. Maybe an extra K a day or so would seem realistic though. I really have no idea how significantly the latency thing would change things for me. Maybe a little, maybe a lot more than I realize.
Hey, the ping thing really is of concern to me because I'm a scalper. I have learnt to adapt to worst conditions, not least by trading on a 450ms+ ping 28K connection for over 1.5 years(!!!) while friends were laughing at me. If you've lived anywhere outside Oz metro, I'm sure you know what I mean. Now that I've moved to the city (reluctantly and for only that reason) I have the largest DSL available and lower ping than ever, yet still large enough for my taste.
Well, ditto I've learnt to adapt to this (I never use mkt orders, never chase and always enter at a discount, so always limit orders, which are mostly in the market seconds or minutes before hit), but that doesn't mean I'm really happy with it. It's not just that I have to have my orders to be all lmt's away from current price. It also means that my order queuing is late (FIFO), thus I may often not get filled because I'm too late in the queue and price turns around again, having filled only the first. Don't laugh, this happens to me still about 50 times per day (not kidding). So there IS a certain level of frustration involved here.
But - I always try to see the good side of things. What's the good side of it???
Well, perhaps my trading wouldn't be good at all if I had a fast ping. Think about the advantages? Maybe I'd be trying to chase the market, because I could. Maybe I'd trade more impulsively, because I could. Maybe I'd enter into a lot more "fake" trades because I could, and maybe I'd get a lot more executions I didn't really want - because I could!
I think looking at it in this light, things are completely different. This way, I do put a lot more "precision" and planning into each trade, and have a lot more time to "think about" the trade and cancel it if things don't line up anymore. This is definitely a huge advantage in a way, because it filters out a lot of "duds". And I can definitely still do over 100RT/day a day if I want to.
What do you think, wallaby? We Aussies should be happy!