Lowest latency possible with IB trading CME (Chicago)

J

JamesWarren

I'm currently working on a project for quant trading using IB. Today, I'm located at West Coast. My program should trade approx 50-100 trades a day (23 hour) for a single futures symbol. No, I'm not HFT.

My questions are:
[1] Where do I Colo or get a dedicated server for the best latency with IB. I could afford 1-2U only, no I can't afford CenturyLink in getting half a cage

[2] What do you think the best latency I could get in terms of Tick Data and Order entry? In 5ms, 10ms, etc?

[3] Is IB America Central Server very close to CME?

[4] Does IB America Central Server route Futures order to CME directly or it still goes thru Grenwich CT ?

I'm also starting to think whether IB really fit what I'm trying to do.

Thanks in advance.
 
I'm experiencing around 300ms+. I time with the PC clock against the Tick Data timestamp. I do sync time with time server. Yes, the Tick Data time resolution is to the second but you could tell. I have Comcast 1Gbps internet but ping to ndc1.ibllc.com (America East) took around 80ms.

The system is not live yet but with 1/3 of second behind everybody else, I really worried about the slippage - instead of selling at ask1, I might have to pay ask2 to be sure to close long position (sell).
 
JamesWarren said:
I'm currently working on a project for quant trading using IB. Today, I'm located at West Coast. My program should trade approx 50-100 trades a day (23 hour) for a single futures symbol. No, I'm not HFT.

My questions are:
[1] Where do I Colo or get a dedicated server for the best latency with IB. I could afford 1-2U only, no I can't afford CenturyLink in getting half a cage

[2] What do you think the best latency I could get in terms of Tick Data and Order entry? In 5ms, 10ms, etc?

[3] Is IB America Central Server very close to CME?

[4] Does IB America Central Server route Futures order to CME directly or it still goes thru Grenwich CT ?

I'm also starting to think whether IB really fit what I'm trying to do.

Thanks in advance.
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[1] There are several firms that offer servers in Aurora (e.g. Netsource is proximity hosted for like a 120/month) and some offer shared hosted servers for like 1-2k a month (virtualized or dedicated OMS instance). With that setup, your mileage will vary a lot, but I recon you can get flight times in hundreds of mikes or better.

[2] This is like asking what's the best 0-60 you can get with "a car". You have so many variable - colocation, hardware, EMS/OMS, your own software, risk checks etc. I'd start by asking yourself "what is the highest latency I can live with without compromising my alpha?" and going from there

[3,4] My understanding is that (specific to IB) colocation is irrelevant - their risk checks query a global server and that hop is going to be the limiting factor in most cases. I never traded through IB, so this is via word of mouth.

If you are in any shape or form sensitive to latency, you will probably want a DMA solution with a gateway check. Just IMHO, of course.
 
trend2009 said:
Does latency of, say, 50ms from west coast to the exchange really matter if your holding time is at least a few minutes?
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That's very optimistic, IMHO. The speed of light is about 300 m/mike in vacuum and straight line distance from SF to Chicago is about 3k kilometers. Since the speed of light in fiber is about 2/3s of that in vacuum, just the flight time is about 15 milliseconds. Once you start adding switches, non-optical connections to the backbone and (most importantly) various hops to and fro, you probably talking 100 ms at least and probably mean of 200-250 ms. You might as well send a carrier pigeon to the exchange.
 
Same Lazy Element said:
That's very optimistic, IMHO. The speed of light is about 300 m/mike in vacuum and straight line distance from SF to Chicago is about 3k kilometers. Since the speed of light in fiber is about 2/3s of that in vacuum, just the flight time is about 15 milliseconds. Once you start adding switches, non-optical connections to the backbone and (most importantly) various hops to and fro, you probably talking 100 ms at least and probably mean of 200-250 ms. You might as well send a carrier pigeon to the exchange.
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if I ping to Europe, I remember the delay is only 30ms. I am living on the east coast
 
trend2009 said:
if I ping to Europe, I remember the delay is only 30ms. I am living on the east coast
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Hmm. NYLon distance is 5.5kkm, so the flight time should be over (5,500,000m / 300mus) * 3/2 ~= 27 ms. I'd be surprised if you really got 30ms ping times (here and back?). Unless I am mistaken in my math somehow.
 
If you are asking questions that are related to latency/colocation, IBKR is not for you.

They have a (relatively) slow system and risk-checks (already mentioned). Their business model is "universal access", not single-venue speed. There's "proper" HFT, "reasonable" latency - and then IBKR/etc.

Why don't you ask around some smaller Chicago FCM's - like Advantage etc. With traditional Chicago HFT's dropping dead, there's plenty discounted rack-space in Aurora. And even Equinix colo on Cermak is going to be better than IB.
 
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