Lightspeed vs Institutional vs Lime & Commission/Data/Colo Costs

J

JHNDCHRTY

Hello,

I'm wondering if anyone has any experience with Lime or Lightspeed, and can tell me what (if any) is the difference between LightSpeed and Lightspeed Institutional?

Some background. I work for a fledgling firm that is developing an automated quantitative strategy that will trade 1000 equity and ETF symbols per day from NASDAQ, NYSE, and NYSE ARCA.

Each position is intraday only and will be flat at the end of each day. The initial strategy volume would be around 500K shares per day/10M per month increasing to approximately 2M per day/40M per month.

I’m trying to figure out what the likely daily/monthly costs would be for our PnL, so it’d be great if anyone has any insight into experiences with these brokers around commissions, data feeds, and colocation costs.

In particular, if anyone has any details on monthly subscription costs for the NASDAQ-TotalView-ITCH and NYSE OpenBook Ultra data feeds with full depth of book and quote/tick level resolution - from our research the data feed costs especially for NYSE are something we're quite concerned by. Following on, with our daily/monthly volume are we likely to get any discount on the data feeds from the brokers or are we too small?

Any insight/advice much appreciated.

Thanks,
John
 
JHNDCHRTY said:
Hello,

I'm wondering if anyone has any experience with Lime or Lightspeed, and can tell me what (if any) is the difference between LightSpeed and Lightspeed Institutional?

Some background. I work for a fledgling firm that is developing an automated quantitative strategy that will trade 1000 equity and ETF symbols per day from NASDAQ, NYSE, and NYSE ARCA.

Each position is intraday only and will be flat at the end of each day. The initial strategy volume would be around 500K shares per day/10M per month increasing to approximately 2M per day/40M per month.

I’m trying to figure out what the likely daily/monthly costs would be for our PnL, so it’d be great if anyone has any insight into experiences with these brokers around commissions, data feeds, and colocation costs.

In particular, if anyone has any details on monthly subscription costs for the NASDAQ-TotalView-ITCH and NYSE OpenBook Ultra data feeds with full depth of book and quote/tick level resolution - from our research the data feed costs especially for NYSE are something we're quite concerned by. Following on, with our daily/monthly volume are we likely to get any discount on the data feeds from the brokers or are we too small?

Any insight/advice much appreciated.

Thanks,
John
More...

Best is if you ask them directly. I used to pay 7k€ per month for collocation, which included a 2U server and maintenance in NY4. I've never done HFT on shares but on futures I used to burn 25k€ a month between cross-connect fees, failed-over servers etc.

You may get away with 2k€ per U, but what's expensive is that you need a certified on-site maintenance guys, firewall etc.
 
JHNDCHRTY said:
Hello,

I'm wondering if anyone has any experience with Lime or Lightspeed, and can tell me what (if any) is the difference between LightSpeed and Lightspeed Institutional?

Some background. I work for a fledgling firm that is developing an automated quantitative strategy that will trade 1000 equity and ETF symbols per day from NASDAQ, NYSE, and NYSE ARCA.

Each position is intraday only and will be flat at the end of each day. The initial strategy volume would be around 500K shares per day/10M per month increasing to approximately 2M per day/40M per month.

I’m trying to figure out what the likely daily/monthly costs would be for our PnL, so it’d be great if anyone has any insight into experiences with these brokers around commissions, data feeds, and colocation costs.

In particular, if anyone has any details on monthly subscription costs for the NASDAQ-TotalView-ITCH and NYSE OpenBook Ultra data feeds with full depth of book and quote/tick level resolution - from our research the data feed costs especially for NYSE are something we're quite concerned by. Following on, with our daily/monthly volume are we likely to get any discount on the data feeds from the brokers or are we too small?

Any insight/advice much appreciated.

Thanks,
John
More...

I just quickly read this. I can email you an estimate of non-display fees. To get information on our gateway/hosting costs, I'll need you to sign an NDA.
https://www.lightspeed.com/automated-trading/

Email me your name and contact information and I'll get that out to you. Lightspeed and Lightspeed Institutional are different salesman and a different support staff but the same company. Lightspeed Institutional also offers some added services for Hedge funds.
 
Last edited:
wintergasp said:
Best is if you ask them directly. I used to pay 7k€ per month for collocation, which included a 2U server and maintenance in NY4. I've never done HFT on shares but on futures I used to burn 25k€ a month between cross-connect fees, failed-over servers etc.

You may get away with 2k€ per U, but what's expensive is that you need a certified on-site maintenance guys, firewall etc.
More...

Thanks, I'll do that.
 
I sent an email response to JHNDCHRTY.
For others that want to know the process, high volume customers are negotiated commissions. We post our active trader rates on our website, but we have clients that trade more than 10mm shares per month and we accommodate them. For automated traders, we offer two co-location sites and our API. All of them will incur non-display fees. You can thank the NYSE for that. Our IT hosting is subsidized for our clients and is often much lower than getting it directly from a their party or another broker. If you would like an estimate of non-display fees, email me your name and contact phone number, and I'll respond. If you want to see hosting costs and other Gateway/API documentation, you need to sign an NDA. Just email me your name and phone number, and I'll send that out to you.

Bob
 
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