interactive brokers for scalping futures and Qs on algo trading infrastructure

M

Mr.Sir

Hey folks,

I wanna thank you again for your kind input i received on a previous thread I started a while back. It really opened my eyes on how much i didn't know, and how naive I was.

Well, now i am back at it again..:)

I am interested in scalping the e-minis for small # of contacts say 1-5. I am fairly good at picking movements using volume data...but my concerns is speed of execution and reliability of data feed from from brokers.

so I am wondering whether it would be possible to scalp futures using IB holidng positions for say~1min? is their infra stucture fast enough for this kinda thing?

I do understand that HFTs have 1ms delay and are therefore very successful doing what they do....so how do successful futures scalper of 30yrs (@Handle123 ) do it?

what broker,data feed, tools do you use?

On a different note, I came across posts regarding automated trading and how folks are putting their trading strategies into code. I am familiar with coding (engineer) but I don't know where you guys run your algos? are the servers hosting your code co-located with the exchanges?

thanks
 
Is your scalping fully automated? So far no issues with IB data but you might want to put in checks for excessive price moves. I used Azure for a server close to IB server. You can probably use AWS or digital ocean as a cheaper alternative.
 
Mr.Sir said:
I do understand that HFTs have 1ms delay and are therefore very successful doing what they do....
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Actually, these days that's VERY SLOW (yup, in caps). Most proper HFT firms operate in micro-second ranges ("mikes" as the people say). The general idea is that your hardware should be anywhere from 2 mikes (NTBN = "not thrilling but nice") to 100 nanos, your software (w2w) should be from 10 mikes (MNT) to 2 mikes and total tick to trade would be them determined by your wire latency (cause that will vary depending on the exchange). Most people that make markets live in sum-millisecond range and have access to nifty things like microwave connections from Chicago to Mahwah.

Mr.Sir said:
I am familiar with coding (engineer) but I don't know where you guys run your algos? are the servers hosting your code co-located with the exchanges?
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You can do colocation (it's pretty cheap these days) or you can do proximity hosting (cheaper than colo, but you're in the next building). In reality, of course, you should concentrate on strategies that are not latency sensitive since you tech budget is "probably small".
 
IMO, if you are not do an arb of some kind, and you don't live to far away from Chicago, a hosted low latency set up is too expensive for most retail traders looking to efficiently get in and out when they get their signals with $25,000.

We have traders using Realtick to automate their trading with no complaints about market data or speed of execution. We also offer CQG QTrader but adding the API can get very expensive as they are made to be compliant with non-display fees with market data and CQG charges a transaction fee. I prefer CQG QTrader for manual trading even with the transaction fee. You get 24 hour worldwide support with access to more markets, lower monthly and market data fees, and access to a mobile application.
https://www.cmegroup.com/market-dat...-data/distributor/files/Schedule5_CMEMDLA.pdf

We use Wedbush Futures, a Futures FCM. We can offer up to 25% of SPAN margin for day trading with futures rates that start at only $0.60/side. For those that do not fit this mold, I can refer them to other brokers that can handle other platforms and other specific needs like CTA block trading.
 
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Robert Morse said:
IMO, if you are not do an arb of some kind, and you don't live to far away from Chicago, a hosted low latency set up is too expensive for most retail traders looking to efficiently get in and out when they get their signals with $25,000.

We have traders using Realtick to automate their trading with no complaints about market data or speed of execution. We also offer CQG QTrader but adding the API can get very expensive as they are made to be compliant with non-display fees with market data and CQG charges a transaction fee. I prefer CQG QTrader for manual trading even with the transaction fee. You get 24 hour worldwide support with access to more markets, lower monthly and market data fees, and access to a mobile application.
https://www.cmegroup.com/market-dat...-data/distributor/files/Schedule5_CMEMDLA.pdf

We use Wedbush Futures, a Futures FCM. We can offer up to 25% of SPAN margin for day trading with futures rates that start at only $0.60/side. For those that do not fit this mold, I can refer them to other brokers that can handle other platforms and other specific needs like CTA block trading.
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Hi Robert,

Out of curiousity, the HFT firms of the CME...do the servers of those firms typically setup in the Chicago area to have that "low latency" ???

Also, would you recommend that a scalper (retail trader) of the CME futures relocate (move) to the Chicago area for the similar like "low latency" ???

I've met many scalpers residing in rural areas (hours away from a major city), other countries and even as far away as Japan...trying to scalp CME futures. I've always wonder if their location puts them at a disadvantage in comparison to someone residing in the Chicago area that's a scalper of the CME futures.

Further, I know you guys have offices in Chicago, New York, Boston and Los Angeles...how do you help your clients with the low latency issue involving the CME futures if they reside in Boston/Los Angeles area ???

P.S. I'm not a scalper and I live in Québec City, Canada but I do own a second home in the North Chicago area. Simply, if I were to do some scalping...it would seem logical to only do it from my home in North Chicago instead of from Québec City.

wrbtrader
 
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wrbtrader said:
Hi Robert,

Out of curiousity, the HFT firms of the CME...do the servers of those firms typically setup in the Chicago area to have that "low latency" ???

Also, would you recommend that a scalper (retail trader) of the CME futures relocate (move) to the Chicago area for the similar like "low latency" ???

I've met many scalpers residing in rural areas, other countries and even as far away as Japan of the CME futures and I've always wonder if their location puts them at a disadvantage in comparison to someone residing in the Chicago area that's a scalper of the CME futures.

wrbtrader
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HFT firms set up their own iLink connection sponsored by a member with a data feed direct from the CME at the CME data center in Aurora, IL. Wedbush requires $2mm or more in AUM and certification with both the CME and their risk systems. I have never had a customer do that.

For a trader with less money, you have to determine if the cost of hosting will affect your returns and if it is necessary for profits. TT, Rithmic, CQG all have solutions for every price level in Aurora and older near by data centers.
 
traider said:
Is your scalping fully automated? So far no issues with IB data but you might want to put in checks for excessive price moves. I used Azure for a server close to IB server. You can probably use AWS or digital ocean as a cheaper alternative.
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Where is the IB server located?
 
DaveV said:
Where is the IB server located?
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The issue may be the location of the trader (city), location of the broker server (city) and name of the trading instrument. Three things that impacts a scalpers latency and possibly the results of their trading performance.

wrbtrader
 
Mr.Sir said:
what broker,data feed, tools do you use?

On a different note, I came across posts regarding automated trading and how folks are putting their trading strategies into code. I am familiar with coding (engineer) but I don't know where you guys run your algos? are the servers hosting your code co-located with the exchanges?

thanks
More...
I am not an HFT trader. I have my trading automated and use IB, both as data feed and as broker to place my trades. Instead of putting my software somewhere in a cloud am I running it on a computer at home.
I guess that, unless you are trading millions of USD, it would not be cost efficient to co-locate with the exchange.
 
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