Lower Latency Feed than IQFeed

Quote from PocketChange:

What instruments are you trading?

Are you trying to arb the differential between exchanges?

Doesn't really matter who your aggregator is... The data you are receiving is 25ms old. OPRA has in their contract data can not be delivered before them.

Opra collects aggregates and publishes data / aka NBBO and MM option quotes.

If you want to do this low latency cross exchange arb all you need to do is colocate feed and order handlers at each venue and sync them out of band.
You lose your edge as soon as you try to backhaul the feed. Sponsored DMA Access is readily available for JBO accounts.

You can easily gauge and monitor your time advantage comparing your ticks against OPRA.
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US Stocks.

Increasingly, it seems like I do have to buy the exchange data directly and pay for the exchange feeds. I guess what I can do is blend my slow feeds (retail stuff, just to have a complete view) and my fast feeds together, but prioritize signals coming in off of the fast feeds for the ones that I think are most important.

The trick will be pricing in the labor and time it will take me to go straight to the multicast feeds, and I won't be able to bring in the multicast feeds for every exchange.
 
Quote from clearinghouse:

In fact, if DTN doubled their price but distributed their feed from NJ instead of Nebraska, I'd be the first customer in line.
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Are you sure of that? To my knowledge (I admit, limited, and even possibly plain wrong), IQfeed provides updates every 200ms or so, regardless of network latency.
 
Garbage in - Garbage out... Most folks don't realize their PC Clocks even when sync'd via NTP can't keep time accurately in milliseconds. Drifting 100ms is not uncommon.

NTP-2012-07-01.bmp


Realize trades can be reported up to 3 minutes after the fact and still print as fresh.

DMA is not that expensive as lots of software is available today.



Quote from clearinghouse:
I can do is blend my slow feeds (retail stuff, just to have a complete view) and my fast feeds together, but prioritize signals coming in off of the fast feeds for the ones that I think are most important.

The trick will be pricing in the labor and time it will take me to go straight to the multicast feeds, and I won't be able to bring in the multicast feeds for every exchange. [/B]
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Quote from dom993:

Are you sure of that? To my knowledge (I admit, limited, and even possibly plain wrong), IQfeed provides updates every 200ms or so, regardless of network latency.
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IQFeed does a really good job of staying true to market price, change to change on the inside. It's the most accurate that I've seen among the retail-grade feeds.

The problem is when the market spikes hard one way or the other in a matter of milliseconds. You can have a hard, fast move in under 30ms, but you won't see the results because of the sheer network latency. When you have less latency to your broker's execution server than you do to IQFeed, the odds that you're sending orders at the wrong price goes up, and fast markets become quite treacherous.

In my case, execution latency is under 5ms, but IQFeed latency is probably tens of milliseconds. If I could get a feed input at 1ms or less, I'd be thrilled. This is not competitive with HFT, but it would be "good enough." My broker front-end's market data API is absolutely horrible.
 
Quote from clearinghouse:

IQFeed does a really good job of staying true to market price, change to change on the inside. It's the most accurate that I've seen among the retail-grade feeds.
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Agreed - I am using 2 of these for over a year and half. It is very dependable.


Quote from clearinghouse:

The problem is when the market spikes hard one way or the other in a matter of milliseconds. You can have a hard, fast move in under 30ms, but you won't see the results because of the sheer network latency. When you have less latency to your broker's execution server than you do to IQFeed, the odds that you're sending orders at the wrong price goes up, and fast markets become quite treacherous.
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In really fast markets (CL on Wednesday at 10:30:00 for the Inventories Report), you are screwed no matter what ... take a look at transaction price data in those times ... price doesn't trade through every single price level, instead it "jumps" around.

Do not think you have less latency on your broker connection to the exchange than you have on your IQfeed. The only serious way to measure order-feed latency is to measure the delay from the submission of an order to the 'Working' notification. Justed tested it for an open LMT order on CL through IB, that was 187ms (and it is only 6:30am EST, no load whatsoever on IB nor CME servers).

If you can't live & trade with 200ms average "latency" on both your datafeed & orderfeed, you have the wrong trading plan for retail tools, and need to rethink all of it - plan & tools.
 
Quote from dom993:

Do not think you have less latency on your broker connection to the exchange than you have on your IQfeed. The only serious way to measure order-feed latency is to measure the delay from the submission of an order to the 'Working' notification. Justed tested it for an open LMT order on CL through IB, that was 187ms (and it is only 6:30am EST, no load whatsoever on IB nor CME servers).
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That is interesting to know. Can you outline how you measure this order feed latency with IB please. Thanks.
 
Wow... I didn't know I was famous on here. I'm not sure if that's a good thing or a bad thing.

There really isn't much between an NxCore and a Activ or B-Pipe or direct exchange data. Your choices are (on the low/retail end) about $100/month for normal "slow" data and then there is the NxCore type data (they are by far the best in that price range) which is $750-$1,200 depending on what you subscribe to, if you are an individual or professional, etc. (rough guestimate on those prices) and then finally there are the low latency feeds like an Activ & others.

For the ultra-low-latency feeds you need to be prepared to shell out $12-$25k per month for the data and then on top of that you need to be located close and you have to figure out how to handle that much data once it gets to you. This is one of those "if I have to ask I probably can't afford/handle it" and also very much a "you get what you pay for". The lower tier low-latency data providers drop more packets, use more resources on the NIC and generally have poor tech support.


There are a few things you can do but the biggest thing you can do that makes a difference is to leverage someone else vs. try to go it alone. Try and pick a data service provider that is as close as possible to you. Let them pay for the expensive lines from the exchanges to their distribution servers and you just pick up a short "end loop". Also you can minimize the number of quotes you are pulling (just don't pull extra because you can). Get free trials from as many data providers as possible and test out the ping times and latency. See what ends up being the fastest - quite often you may find something quirky like you have FIOS at home and the data provider that you least expected also uses Verizon backbone for quote distribution - the ping times would be much lower if it stays all within the same carrier network - more reliable too.

It's little things like that - paying $15 more or less a month for a data provider that may not have the reputation but for your purposes they are 15ms faster... go for it.

Finally, Co-Locate. I know the paranoia starts to set in... it's so expensive... how do I protect against people stealing my stuff... what if something happens to my server... and on & on. Colo is another one of those things that if you have to ask those questions it probably isn't for you.

Leverage your prop firm or any other prop shop in the area. Google who is around you and where. If you live in the woods in Montana you may be SOL but if you live near a city and there are lots of prop firms with satellite offices around you then make some calls. See where they get their data, usually they wont tell you but you might get lucky and they will tell you what internet service provider they use. You may get really lucky where you are #1 close to the prop shop, #2, you can switch ISP's to the same as them, #3 the data provider they are using has a retail grade product. That isn't a perfect 100% slam dunk - but it does allow you to leverage that infrastructure since everything would stay on the same carrier and most probably be routed through the same pipes as the prop firm. Remember the days of point-to-point copper lines are over. These days guys rent lightwaves within a fiber optic cable. If the prop firm has an modern point-to-point your connection won't be as fast but chances are the same data will go through the same switches and route that theirs does - then the slowest portion becomes your end loop from them to you.

Finally, go out on ebay and buy yourself an Intel Pro 1000 PT or MT network card. Remember the MT cards are PCIx64 slots so you would need a very specific higher end workstation (like a Dell or HP). Using a dedicated NIC will free up some of your motherboard's resources and the MT & PT NICs are server-grade so the onboard buffering will be bigger than what you get on your motherboard NIC. The PT is a PCIexpress so it will work on most computers - it's a shorter x1. They are still only 10/100/1000 cards but they will be able to handle gigabit speeds, sustained for days on end whereas depending on what you are running on your local machine the onboard NIC may jump all over the place during the day. All that means is that if there is a fast moving market and a lot of quote data coming to your machine the NIC will no longer be a bottleneck.

Happy to answer more questions or I'll post up more suggestions if I think of them.
 
Quote from dom993:

Agreed - I am using 2 of these for over a year and half. It is very dependable.




In really fast markets (CL on Wednesday at 10:30:00 for the Inventories Report), you are screwed no matter what ... take a look at transaction price data in those times ... price doesn't trade through every single price level, instead it "jumps" around.

Do not think you have less latency on your broker connection to the exchange than you have on your IQfeed. The only serious way to measure order-feed latency is to measure the delay from the submission of an order to the 'Working' notification. Justed tested it for an open LMT order on CL through IB, that was 187ms (and it is only 6:30am EST, no load whatsoever on IB nor CME servers).

If you can't live & trade with 200ms average "latency" on both your datafeed & orderfeed, you have the wrong trading plan for retail tools, and need to rethink all of it - plan & tools.
More...

I've measured it; my order acks come back to me in 2-3ms and IQFeed, from what I can tell with downloaded exchange data, sometimes varies between 100-250ms to my location. If you're wondering why I don't use the broker market data, it's because my broker does unholy things to the data -- on the level of catholic church scandal unholy -- that make it useless to me that IQFeed doesn't do. IQFeed is perfect all around, except for the tens-of-ms latency.

What I'm thinking the best solution is is to buy a server near my broker and pay individual user fees to the exchange via the broker and take a fast multicast feed. I don't think I can afford all the feeds, but I can probably at least use one primary fast feed to drive the order activity in the faster markets.

Over time, assuming PnL improves, I'll slowly override the flow feeds one by one in favor of the fast feeds. There doesn't seem to be a setup where a 3rd party is willing to sell a product once you go past the NxCore product line. There's a giant vacuum in there from NxCore to the high end stuff, and only the big boys can afford the big stuff.
 
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