Roundtrip times and latencies

patrickrooney

patrickrooney

Curious to hear about roundtrip times and latencies. Tell me about your setup and what your roundtrip times look like. I'm talking about the time stamp from when you click "buy" or "sell" to the time the order is acknowledged at the matching engine. If you can be more granular and show times between all the hops, time in matching engine after a fill, and stats like that, even better.

Please specify the trading platform you're using, the asset class you're trading in, the product you're selling, and your location if possible.
 
I have a fleet of couriers that take a bicycle to the exchange. We recently upgraded to electric bikes and our trading turnover has doubled!

ps. If you’re trading manually, it’s kinda irrelevant. If you have an automated trading strategy, you can get pretty reasonable latencies (like mean tick to trade of 25 mikes) for like 3-4K a month off the shelf. The real question is why do you need that latency?
 
Hi Patrick- I see you left TT and now work for Nodal Exchange. I had to look that one up. I was not familiar with it. You put this post in Trading Software. Are you only asking about Futures and automated traders? Most of our equity platforms use servers on AWS with a cross connect to the NJ matching engines. They are very fast but not hosted, institutional fast like being in a cage at NY4. On the Futures side, we use desktop software like CQG, TT, CTS T4, Rithmic and EZE EMS. These are also desktop platform, and you likely know their Roundtrip times and latencies better than most. You also know it is also a function of the customers location and path on the internet. So my questions to you are, are you only asking for automated hosted futures traders? What is the end game? The Nodal Exchange looks like it offers only institutional products and not for retail. https://www.nodalexchange.com/
 
Slow Learning Elf said:
The real question is why do you need that latency?
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Scalpers and HFTers need low latency, ie. mostly bots...
Simple example calc: if you can make on average say 1 cent per second, then halving that time would mean about 100% increase in profits... :) As can be seen again: time is money, indeed :)
 
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patrickrooney said:
Curious to hear about roundtrip times and latencies. Tell me about your setup and what your roundtrip times look like. I'm talking about the time stamp from when you click "buy" or "sell" to the time the order is acknowledged at the matching engine. If you can be more granular and show times between all the hops, time in matching engine after a fill, and stats like that, even better.

Please specify the trading platform you're using, the asset class you're trading in, the product you're selling, and your location if possible.
More...
To make it clear, we cannot know the exact time at which an order is acknowledged by an exchange. What we can see is the time at which we receive the acknowledgement. And btw, the latter is more important.
I'm 100% automated and trading ES through IB.
My average round trip response time is 250 ms. 50-60 ms of that is latency (distance based), cause I'm physically located in eastern Canada.

But like others said, if you're click-trading (manual), then it's pretty useless to know that metric since the biggest parts are all the manual activities.
 
rb7 said:
My average round trip response time is 250 ms. 50-60 ms of that is latency (distance based), cause I'm physically located in eastern Canada.
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That seems high after it reaches their servers in Chicago. I wonder if they are all in NY/NJ/CT and then need to go to the CME.
 
rb7 said:
To make it clear, we cannot know the exact time at which an order is acknowledged by an exchange. What we can see is the time at which we receive the acknowledgement. And btw, the latter is more important.
I'm 100% automated and trading ES through IB.
My average round trip response time is 250 ms. 50-60 ms of that is latency (distance based), cause I'm physically located in eastern Canada.
More...
@rb7 do you do scalping or maybe even HFT?
Can you provide some other statistics (or maybe some useful links) related to this? Of course nothing personal, just some general stats/info, so that others who too are interested in going the same path can get an idea of the complexity and the possibilities of this endavour... Thx.
 
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