What is the best order execution time for CME globex futures with IB?

A

AlgoTradie

I am getting a varying order execution time with Interactive Brokers for futures. Best times are 200 ms and worst I have seen is 5 secs!! This is after adjusting for ping time between my computer and their server both ways.

I am looking for consistent much better times for a medium frequency strategy - something like 20 ms for order execution or better. Can anyone recommend any brokers - I would need api access too.
 
Surfeur said:
You need look CQG or Rithmic with colocation if you want good execution.
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I'm as good as co-located with a 1ms latency to IB server. My problem is the order execution time by IB - 5 sec is ridiculous. What execution time do you get?
 
AlgoTradie said:
I'm as good as co-located with a 1ms latency to IB server. My problem is the order execution time by IB - 5 sec is ridiculous. What execution time do you get?
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I get immediate execution; i.e., less than one second, with ES. Exactly what kind of orders are you submitting and for what instrument?
 
I am submitting market ioc for 1 or 2 contracts at a time for all major cmeglobex forex, Int rate products & ES. I am looking for order execution time <= 20 ms.
 
AlgoTradie said:
I am submitting market ioc for 1 or 2 contracts at a time for all major cmeglobex forex, Int rate products & ES. I am looking for order execution time <= 20 ms.
More...

Was the 5 sec execution time related to Interest futures? Liquidity can be anemic at certain times, its definitely not like the ES. If it was ES that was taking a while to fill keep in mind the HFTs are constantly trying to front run your orders, especially in the ES market. Keep in mind also that your tarding software, computer, internet connection can affect latency on a larger than normal scale every once in a while. Did you know that cable internet AND sat dish companies are notorius for throttling back your speed(upload & download speeds) for whatever reason(especially during certain times of the day) without you even knowing. This is the way it is for most of us, unless you are colocated.....


B]ale [/B]
 
Here are a couple of reasonably priced low(ish) latency options:

http://www.eotpro.com/products-colocation.php
http://steadfast.net/solutions/trading-financial.php

Personally I always run my trading apps on tin rather than a VPS. Removes the latency of an additional software layer and risk of resource starvation if things go wrong.

I host in Equinix as my cost/benefit analysis revealed that I was unlikely to gain anything by stumping up the extra money for rack space in the CME Data Center. The bandwidth between 350 E. Cermack and Aurora is immense.

In short I'd say...

- move to 350 E. Cermack if ms matter to you
- colocate in Aurora if μs matter to you
 
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