High Pings & Latencies in Day Trading?

[T-REX]

Quote from Scientist:

nitro, you seriously manage to make me raise my brows once over again.

It's rather disturbing talking about latency in my situation. I have had literally hundreds of discussions on the issue of latency in day trading. Starting with a satellite solution because where I used to live until a few months ago, I only had a 28K connection. Clearly, satellite, with 650-1,200ms latency wasn't a choice. My 28K at the time offered a net latency of 450ms to the IB server...

So, I left the beach house and moved into the city. Now I've got a 1.5mbps dedicated always-on line, and a net ping of ~300ms to the IB server for Eurex, an improvement of >150ms. The total execution latency with IB now is ~600ms or so? The total ping with X_Trader from this place is ~330ms.

I'm not too sure why IB's execution takes so long, perhaps it's the lame TWS, perhaps their servers have to slaughter the cow first before they can serve meat, perhaps both, I don't know. But it's certainly a long way from a direct exchange connection.

That said, even the finest execution platform can't push the ping from here (Australia) anywhere below 300ms. The info has to travel i.e. through the trans-pacific southern cross cable, LA router, NY router just for ping. Even at the speed of light, there's way too much distance and too many hops to get a ping anything like what nitro talks about.

Is this enough of a reason for me to move to Europe to trade Eurex, with a ping of 30ms or so? I have a European passport and I lived in Frankfurt about 4 years ago, that's pretty close. If there's a local broker/server, that is.

I think the answer, for me, is no. People have never quite believed me or understood how I can scalp with my massive latencies, not to mention previously on a 28K line. Or with IB even? How then? Well, about 95% of my trades are limit-orders, anyway. I hardly ever consider getting in "at market", unless I'm mad or sth like that or a seriously good opportunity arises. So, with most trades being lmt's, most trades have at least several seconds to transmit... Way more than any latency could alter! Latency at its worst delivers datafeed a split-second later... Otherwise no problems.

Plus, as a DAX trader, there's more things "in my favor" which only apply for Eurex, such as:

- Native Stops (No transmission required, zero latency in getting out of fast moves)
- 2 second feed delay (Reportedly to level the field between fibre line insti's and dialup traders)


Therefore my questions of topic are:

Is latency even an issue?
If so, who for specifically? And why?
What is considered "fast", "very fast", "slow", or "impossible"?
What are the personal experiences with latencies?
And what have people done about their latencies?
And how do other non-US/EU traders feel about their latencies?


Best Regards,
Scientist

Velocitytrade.net

"FLOORPASS"
is the best execution platform in the business!!!
you get free hardware.
free software.
and they have their own "intranet" connection so you don't have
to go through the internet or cable modem.

check it out and see for yourself.

if you would like more info feel free to PM me.

 

[wallaby]

Hi Scientist

You raise an interesting point as to what it would be like trading
where the latency is really low - and whether it would be noticeable. Perhaps if it is noticeable Nitrus is not fulfilling his potential as a trader - having the cushion of low pings - waking up each morning and saying, well my edge is the speed of my execution (just kidding Nitro mate if you read this).

I guess Scientist mate the answer would ideally be to trade
under both situations and observe any differences, or test whether your two means are significantly different. You raise a good point with regards to style. One can always do some stress testing on their trade distribution: ie if you plot all your trades and look at the histogram then say well if I make my average losing trade a little bigger (and/or perhaps assign it a higher proportion) and vice versa for winning trades - how significantly does it affect my results ? can I survive ? The obvious answer
to this is it will vary with one's time frame, the more shorter term you are the bigger the potential effect. This exercise assumes that over a long number of trades the higher latency is consistently costing you, albeit small. In any event there is some endogeneity here - if you're happy with your current distribution and you're not greedy I wouldn't worry about the slightly higher latency. At the limit Nitrus would be correct, but the fact is in this game Ceteris Paribas does not hold (although I am sure some might find it useful to believe it, which is fair enough).

I guess my take on it is yes I would love lower latency, but if you reckon you're still competitive playing this game of musical chairs, you would have to have significant and persistent evidence that every time the music stops , or a trade comes up, you miss out or it costs you badly. And if you're not missing out, enjoy what is clearly one of the best places in the world to live , even if it does
cost 150-200ms every time we deal !
Cheers

 

[plumlazy]

Ah heck, you fellows have it made. I trade via satelitte with pings ranging from 700ms to 1100ms all the time.

I can't get cable or dsl where I live and my phone lines are so decrepit that there is no way that I can get dial-up conections to work well enough to handle even the slightest fast market's data feed.

I did recently build a pretty fast pc (this baby screams compared to my old one), but I'm still old and slow myself. So, it's simply a matter of adapting a trading style that works for the given situation.

IE: 20 round trips on NQ would be an active day for me.
Usually somewhere between 5 and 10 is my norm.

Would I like to have a faster connection? - obviously yes. Sure I'd love it.

Do I have to have a faster connection? - no. As long as my data doesn't stop and I'm not getting it more than a second or second and a half late (usually 1/2 - 3/4), I don't get all worked up over it.

Does my slow connection ever cost me money? - obviously yes.
Does it always cost me money? I think not.

I don't worry with it that's for sure. I just adapt to the situation and trade accordingly. Sometimes being a second late even gets me a better fill. IE: noise - tick - filled - thanks, here we go!

 

[facultus]

Quote from T-REX:

Velocitytrade.net

"FLOORPASS"
is the best execution platform in the business!!!
you get free hardware.
free software.
and they have their own "intranet" connection so you don't have
to go through the internet or cable modem.

check it out and see for yourself.

if you would like more info feel free to PM me.

I heard about this and thought it was an interesting approach, but the last time I looked the commissions the participating brokers were charging were outrageous. Has this changed?

 

[nononsense]

Quote from plumlazy:

Ah heck, you fellows have it made. I trade via satelitte with pings ranging from 700ms to 1100ms all the time.

I can't get cable or dsl where I live and my phone lines are so decrepit that there is no way that I can get dial-up conections to work well enough to handle even the slightest fast market's data feed.

I did recently build a pretty fast pc (this baby screams compared to my old one), but I'm still old and slow myself. So, it's simply a matter of adapting a trading style that works for the given situation.

IE: 20 round trips on NQ would be an active day for me.
Usually somewhere between 5 and 10 is my norm.

Would I like to have a faster connection? - obviously yes. Sure I'd love it.

Do I have to have a faster connection? - no. As long as my data doesn't stop and I'm not getting it more than a second or second and a half late (usually 1/2 - 3/4), I don't get all worked up over it.

Does my slow connection ever cost me money? - obviously yes.
Does it always cost me money? I think not.

I don't worry with it that's for sure. I just adapt to the situation and trade accordingly. Sometimes being a second late even gets me a better fill. IE: noise - tick - filled - thanks, here we go!

Hi Plumlazy,

I put your final quote in the header. I think it is high time some fresh air blows through this thread filled with the most extravagant techno babble. In fact a rigorous analysis of the process from initial order release to final fill is a highly complex one. Most of these factors remain completely untouched in all this talk about latencies anywhere from 10 to 1000 milliseconds.

I myself have a high speed connection. So I cannot really say anything about your satellite experience. Having gone through a detailed analysis of the whole process, as well as I could, I like the way you put it, let me repeat:
"Does my slow connection ever cost me money? - obviously yes.
Does it always cost me money? I think not."

Whenever I ran into problems with fills, I always came away with the conviction that problems could be bettered - never quite "solved" - with hard work and very little with any superficial computer tweaking.

Be good,

nononsense

 

[nitro]

Quote from Dustin:

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.

Dustin,

Contact me off line and I will try to help.

nitro

 

[nitro]

Quote from wallaby:
...You raise an interesting point as to what it would be like trading
where the latency is really low - and whether it would be noticeable. Perhaps if it is noticeable Nitrus is not fulfilling his potential as a trader - having the cushion of low pings - waking up each morning and saying, well my edge is the speed of my execution (just kidding Nitro mate if you read this).

I have no pride. A $100 bill that I took from someone's pocket in the markets looks and spends the same whether I made it through my edge in the use of technology, or made it using my skills as a trader. In trading, there is only one way to keep score...

But I will give you a hint, it is _always_ both the use of technology and skill as a trader that defines the modern screen trader more and more.

nitro

 

[T-REX]

Quote from facultus:

I heard about this and thought it was an interesting approach, but the last time I looked the commissions the participating brokers were charging were outrageous. Has this changed?

they can negotiate the commissions with you.
per round turn rates start out at $15.00 per round turn but can be negotiated MUCH lower than that for active traders.

Plus you get rebate checks mailed back to you each month!
Plus they will pay for your realtime esignal.
Plus you get FREE Hardware and Software!!!!

.......THIS IS AN UNBELIEVABLE DEAL!!!

I love these cats!

 

[nitro]

Again, some people are missing the point. No one suggests that you need a low latency connection to do 5 rountrip swing trades a day!

I don't know how to say this any clearer. _IF_ you are taking advantage of some mispricing, or even a "slow" arbitrage, _THEN_ the limiting factor is how fast you can take advantage of that situation. "Someone", computer or otherwise, beats you to it, you lose.

nitro

Quote from plumlazy:

Ah heck, you fellows have it made. I trade via satelitte with pings ranging from 700ms to 1100ms all the time.

I can't get cable or dsl where I live and my phone lines are so decrepit that there is no way that I can get dial-up conections to work well enough to handle even the slightest fast market's data feed.

I did recently build a pretty fast pc (this baby screams compared to my old one), but I'm still old and slow myself. So, it's simply a matter of adapting a trading style that works for the given situation.

IE: 20 round trips on NQ would be an active day for me.
Usually somewhere between 5 and 10 is my norm.

Would I like to have a faster connection? - obviously yes. Sure I'd love it.

Do I have to have a faster connection? - no. As long as my data doesn't stop and I'm not getting it more than a second or second and a half late (usually 1/2 - 3/4), I don't get all worked up over it.

Does my slow connection ever cost me money? - obviously yes.
Does it always cost me money? I think not.

I don't worry with it that's for sure. I just adapt to the situation and trade accordingly. Sometimes being a second late even gets me a better fill. IE: noise - tick - filled - thanks, here we go!

 

[plumlazy]

Quote from nitro:

Again, some people are missing the point. No one suggests that you need a low latency connection to do 5 rountrip swing trades a day!

I don't know how to say this any clearer. _IF_ you are taking advantage of some mispricing, or even a "slow" arbitrage, _THEN_ the limiting factor is how fast you can take advantage of that situation. "Someone", computer or otherwise, beats you to it, you lose.

nitro

I wasn't missing the point. I was answering the question according to *my* circumstances. I know quite well that it's paramount to your style of trading to be superfast.

Is Latency/Ping An Issue For Your Trading?

keyword = *your*

I did say that it was an issue - I just refuse to let it beat me That's *my* point.

Somewhere in between *not making a difference*and of *paramount importance* is as good as it gets for some of us, therefore we have to adapt our style.