order execution latency.

tylerbose

tylerbose

i'v asked this question on various other forum with no luck.
it seems that nobody seem to know the answer, so i'm trying my luck here.

i assume most of you are experienced traders.

my trading strategy requires low latency, however my brokers mt4 has on average a latency of 50ms to execute market orders, which is not the grate but acceptable, but that latency goes up to 391ms (measured) during news event which is downright unacceptable.

so i was wandering what should i do to fix that, is it a platform problem (mt4) ? should i go for currenex, Fortex, ...
or is it a broker problem, if so, could you advise me one with lower latency ?

thank you

ps: sorry if i'm asking in the wrong section
 
I suggest..... If your success is significantly impacted by latency, you're "fishing in a dry hole".

If latency is really an issue, you need to be "co-located" and with expensive, high-power computer capability. Otherwise, FUGGETABOUTIT.

Latency really only matters when trying to front-run other orders.
 
Those numbers sound like you are going over the Internet.

It's a combination of platform and where the platform is hosted (broker). You can call around and find something faster but it's extremely unlikely to increase profitability.
 
Scataphagos said:
I suggest..... If your success is significantly impacted by latency, you're "fishing in a dry hole".

If latency is really an issue, you need to be "co-located" and with expensive, high-power computer capability. Otherwise, FUGGETABOUTIT.

Latency really only matters when trying to front-run other orders.
More...
garachen said:
Those numbers sound like you are going over the Internet.

It's a combination of platform and where the platform is hosted (broker). You can call around and find something faster but it's extremely unlikely to increase profitability.
More...

I'm running on a VPS with 5ms from my broker's server.
the latency come from their servers, from the moment my order is revived to their server to the moment it actually gets in the market it takes 50ms on average and up to 400ms during news times.

i don't know if their server is just saturated or if mt4 is inherently slow.
 
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If you want to play the low latency liquidity taking game in FX (I assume we're talking about taking liquidity here, because I don't think limit orders are actually held on any exchange properly in the retail FX world, they're just internalized by your FX broker who has already made a market that takes all or most of the alpha intrinsic in a limit order), a VPS and a retail broker isn't gonna be competitive. I'm not really aware of all the intricacies of mt4 and what the retail FX market makers do to rip their clients off, but suffice to say that what I know about them leads me to think they're difficult to trust. There are actually a fair number of sophisticated spot FX traders on NuclearPhynance, it might be worth a look there. If you're gonna be a price taker, it's a lot more of a winner take all scenario because all the fast guys know about the same arbs and signals and pile on quickly. I don't see an alternative besides getting DMA at an exchange like Reuters, EBS, Integral, LMAX, currenex. I'm afraid I don't even know what the best exchanges to get DMA with are in this space. Like I said, ask the guys on NP, they really have a few very competent FX guys there.

You may find CME FX futures interesting if you want cheaper access to more professional-ish platforms like TT, CQG, or Rithmic that provide a more DMA-esque experience than retail FX, but I feel like FX futures may be difficult to trade algorithmically since price discovery mostly happens in the spot market....I've never tried or looked into it really though.

Again, there are people more qualified to speak on FX trading on NuclearPhynance and already someone more knowledgeable on making price taking systems work and their competitive dynamics has replied to you here, so take my answer for what it's worth.
 
thanks for the answers, everyone.
however having more experience with Forex, i'd prefer to stick with it for now.

after some research it seem that the only way to have a lower execution time would be to be a bank and deal directly with other banks.
 
When you start a bank nobody gives you a certificate that bestows magical powers upon you and allows you to break the laws of physics.

Low latency isn't part of their business plan anymore than is finding Joe Retail and pushing him to his stop.

Of the top 20 low latency fx players I'd wager that there is not more than one who is a bank.
 
garachen said:
When you start a bank nobody gives you a certificate that bestows magical powers upon you and allows you to break the laws of physics.

Low latency isn't part of their business plan anymore than is finding Joe Retail and pushing him to his stop.

Of the top 20 low latency fx players I'd wager that there is not more than one who is a bank.
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Really? I didn't know that. I'll admit I know very little about spot FX, but my understanding was that there were seven or so banks that provided a lot of liquidity in FX. Wouldn't they want to have an idea what other spot venues are quoting to prevent someone from arbing them? I would believe you if you told me that a vast majority of the interbank FX trading took place in the forward market or off exchange though.
 
tylerbose said:
i'v asked this question on various other forum with no luck.
it seems that nobody seem to know the answer, so i'm trying my luck here.

i assume most of you are experienced traders.

my trading strategy requires low latency, however my brokers mt4 has on average a latency of 50ms to execute market orders, which is not the grate but acceptable, but that latency goes up to 391ms (measured) during news event which is downright unacceptable.

so i was wandering what should i do to fix that, is it a platform problem (mt4) ? should i go for currenex, Fortex, ...
or is it a broker problem, if so, could you advise me one with lower latency ?

thank you

ps: sorry if i'm asking in the wrong section
More...
CQG has a limited FX offering. Millisecond latency. Much better than MT4. 1600/mo. Damn...just checked the CQG site, they do equities now.
 
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