Is Direct-Access Really Real-Time?

W

webrouter

I use cybertrader as my direct-access trading platform. The more I use the software the more I am skeptical that there is any way for these types of application to guarantee that the ticks you are seeing don't lag the market. Such a time lag might be for a period that could fluctuate between less than a second and perhaps tens of seconds. The question boils down to this ... since data is sent along network in bursts, how do we know that instead of getting price data every second, that all of the price data for the last ten seconds won't be received at the end of the ten-second period? If the software will work over any speed of connection, and must download chart and other data at the same time, obviously it must periodically delay refreshing the quote data so that the network bandwidth can be used for other things. That lag could be the difference between getting an order filled, and a market maker appearing to back off a quote. Does this have an effect? I would like to know how to tell.
 
Your question is a valid one with no easy answers. The
Internet connection you have can "lag" because of heavy
Internet traffic at various times of the day. The problem could be your ISP, Cybercorp's ISP connection or servers
being backedup because of heavy Internet traffic.
Execution slowdowns usually occur at the worst times-9:45am 10am & 3:45pm-4:00pm because this is the time the Internet
is being used heavily for stock executions. I would suggest
you get a Windows NT/2000 tech to properly troubleshoot
your computer and ISP connection to make sure you have
enough RAM in your computer for the applications you are
using. Who is your ISP provider? AOL and MSN are not
recommended for trading. Use a high speed DSL Inernet
connection.
For professional traders who can afford a WAN(Wide Area Network) connection to our systems(in our case REDI+ software), there will be no Internet related "lag" since
this is a point to point telephone connection to our servers. The equipment necessary for WAN access to our
systems(digital modem,Cisco Router & HUB) cost approx.
$2500(one time fee for equipment). The cost per month for the trader is $250-$1500 , depending on the bandwidth of
the line(56k would be fine for up to 4 users on REDI+) and
distance from our firms Servers(We have Servers in NYC,Jersey City,Chicago,LA and San Francisco).WAN access to
our systems is far more reliable than the Internet, but the cost might make this setup worthwhile only to full time
professional traders.
Call Cybercorp and ask them if they offer WAN access
to their trading platform. A poor Internet connection
will make the best order execution platforms mediocre
perfomers.


Gene Weissman
Managing Member
Lieber & Weissman Sec., LLC
Members PHLX/SIPC
gweiissman@stocktrade.net

See us at http://www.stocktrade.net





 
Gene, thanks for the reply. I do have a DSL connection fast enough that there could theoretically be a real-time transfer of data. In addition, I like the idea of using my DSL modem to connect directly to a DSL modem at CyberCorp (ie. WAN), as opposed to connecting to an ISP who connects to their ISP who connects to their servers (ie. internet). I will find out if they offer this service. Even though that it only takes about 61 ms on average for a packet to reach cybercorp's servers through the internet (from the results of their tests), a direct connection would probably be more secure and more reliable if not marginally faster. To clarify however ... I'm not saying that I have a problem with lagging quotes, I'm saying that if I was I have NO idea whether it is even possible to tell.
 
Just a thought. At Lieber & Weissman Sec., LLC offices, we
use Bridge(Quotes) & REDI+(execution & quotes) or A.T. Financial(Quotes) & REDI+(execution & quotes). From comparing the systems, we can see if we have any lag. REDI+
quotes are usually faster (up to 4 seconds), since REDI(Spear,Leeds & Kellogg) has their own "ticker" plant and quotes are not redistributed from NASDAQ for ECN's(REDI,ISLD,INCA etc.)
The "lag" you describe is seen during times of heavy volume
in the morning & before the 4pm bell. If you could get backup quotes(AT Financial for example), it would be interesting to compare any "lag" or slowdown. Make sure
your computer & network are in good shape & you have enough RAM for both programs.


Gene Weissman
Managing Member
Lieber & Weissman Sec., L.L.C.
Members PHLX/SIPC
gweissman@stocktrade.net


See us at http://www.stocktrade.net

 
Gene,
I've tried different quotes services (WOW, NexTrend, Quicken, eSignal, QCharts) and am a current QCharts. I've not found any of these systems to really be "real time". The Level 2 quotes are usually 3-5 seconds behind and have all kinds of junk left in the screens sometimes. Also sometimes the bestbid/bestask quotes get behind also and not just during high volume hours. It's not my system/connection because I consistently can see from my broker platform (InteractiveBrokers) ISLD posting ask quotes greater than BestBid posted by the quote service in their quote sheet or on Level 2. (Works in the opposite direction too) I noticed in your post you mentioned ATFI. I was considering their internet package. It costs more but I'm willing to pay it if it's worth it. Like I said earlier I've tried many systems but consider them all about the same. Do you have any suggestions for someone like me trading from home. I'm somewhat new (started 5/2000) but learning more every week. I'm hoping to be able to trade fulltime by the end of this year so I want to have all the bugs worked out of everything by then. Thanks, John.
 
This delay is very common using Internet quotes. Usually the delay may be the greatest at the opening & at the end of the day. A WAN connection to the quote server
may help(point to point-dedicated line not Internet ), but this is quite expensive and only usually for trading offices. Our WAN connection(we use AT Financial) is around $1,000 per month (NYC office). AT Internet may have a similar delay , just as the other quote providers.
At Financial and others offer WAN access also, but this is not the answer for the remote trader. If you have
a Direct Access Order Execution System(we use REDI+), the
quotes are book feeds from the ECN's(not redistributed quotes) and should have no delay. This is probably why you are seeing ISLD on your execution system level II montage before your level II on your quote montage.
First , I would suggest making sure your computer has enough RAM and your Internet service is working to specs. I
would call tech support at your quote provider(not customer service) and let them know of your problem. If you have a
Direct Access Order Execution system , call and ask them if
they get book feeds , not redistributed quotes. If they get
book feeds-use the Direct Access Order Execution montage during times of heavy trading activity as a check to see if
the quotes are accurate. The Internet was not invented for
trading and we will see if the quote systems will be able to evolve with the increased volume in trading. Right now almost all Internet quote providers will see delays during times of heavy trading activity.


Gene Weissman
Managing Member
Lieber & Weissman Sec., L.L.C.
Members PHLX/SIPC

See us at http://www.stocktrade.net

 
This response may be a tad too late, but there is a way to increase those bursts of data.

Adjust your MTU (data packet size) and TCP (predetermined data size required before confirmation of recieved data) values in Windows which handles your internet connection and data transfers. Lower the values if you are using a dial-up or raise the value if your internet connection is fast, i.e. DSL, Cable.

Software that does this.... try System Mechanic
 
I don't think data packet size ,transfer
rate or adjustments at the traders end is
the problem.

The problem is quote vendors systems cannot
handle the influx of data on the opening
& the end of the day. Even our in house WAN
T-1 will have a delay. I'm sure this is
not due to any connection or band-width
problem at our end. The volume & order
flow has increased in size beyond system
capacity. I believe this is the problem.

If you use REDI+ software(SLK) for example,
REDI has their own ticker plant( not
redistributed quotes)-so you are getting book
feeds from ISLD, REDI ,ARCA etc. You will
notice the difference from your quote vendors
like AT, Hyperfeed etc. This is the delay
I'm talking about.



Gene Weissman
Lieber & Weissman Sec., LLC
gweissman@stocktrade.net


See us at http://www.stocktrade.net


Lieber & Weissman Sec., L.L.C. is a professional
trading firm , we do not solicit customer
accounts.


 
It seems to me that the whole issue is moot as long as you're getting your intended fills. For instance, if you see an offer posted at 50 1/8 and you send in your buy order and nail it, then obviously there are no delays significant enough to affect executing against the price that was posted at that moment. To emphasize the point further, the other day my DSL line went down, and I was forced to connect and trade via a 56K analog modem, and I still got my quotes and subsequent fills with no problems.
 
Zboy,

Good point. The bandwidth of a connection doesn't
always matter. You can get great executions
on a 56k line. Network traffic, Brokers
servers & systems , CPU speed and other factors can
determine order execution speed & reliabliity. A
dedicated 56k WAN line(we have one in our office as
a backup) , will perform well if it is not
stressed beyond capicity.

The problems many traders are having are quotes
that are not accurate during peek market times.
I was responding to that topic and there seems to
be no easy answers.


Gene Weissman
Lieber & Weissman Sec., L.L.C.
gweissman@stocktrade.net

See us at http://www.stocktrade.net
 
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