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There is this post from, if I understand correctly, Rithmic representative on Elite Trader
elabunsky said:
They do not say nothing about latency... I tried via Rithmic and have 500-5000 microseconds roundtrip.
The times you are quoting through Rithmic include the time it took for your order to be processed by the exchange. These times are variable based upon the workload of the exchange and have very little to do with Rithmic's exchange connection, equipment or software.
For true CME latency we found that orders passed our tap on the way to the exchange and tcp ack's came back to the tap in 15 - 16 microseconds, very consistently (our tap sits between our routers and the exchange's routers so the times across our tap do not include the time across any of our other equipment). I expect that such a round trip time will be experienced at all exchange connections in Aurora.
The time a trader will experience will include time through the equipment his orders pass and the time through the software he uses. 500 microseconds from the release of an order to the exchange by our software until the receipt of a fill message from the exchange or even an order acknowledgement from the exchange does not seem very slow (though you were able to realize less than 375 microseconds). Not too long ago 2 milliseconds was the best the CME could do.
He/she states that 500 - 5000 microseconds round trips are mostly attributed to the exchange execution latency, which has nothing to do with Rithmic. If this is true then one can assume that no other FCM/data provider and platform can achieve better results as everything they do is faster then the exchange.
I'm wondering if I understood this correctly.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,049 since Dec 2013
Thanks Given: 4,386
Thanks Received: 10,206
Assuming you don't have DMA since you seem extremely cost sensitive won't it depend how quick Rithmics Execution Platform / Gateway / Whatever is vs other venders equivalent?
Hi SMCJB, could you elaborate, because I'm not sure I understood. Yes, I don't have DMA access, I'm retail level.
I'm kind of cost sensitive, but still considering either TT API or Rithmic Diamond API with a dedicated server in Aurora.
From what I understand this is close to DMA, except I have extra latency for risk check, correct?
But the point I was raising is that Rithmic representative said (as I understood) that even if Rithmic was lighting speed fast, most of the latency would be coming from the exchange execution (exchange matching engine, I understand),
which is outside of Rithmic platform. Hence, if this was true then exchange is the "weakest link". I suspect I misunderstood, but curious what people with experience think about such a statement.
Execution component is much faster <1ms. But this is useless if your feed information is much slower
For me The feed is 3-4ms mean, 30ms 97th percentile
This is on a vps in the cme data centre 0.35ms pings
In my opinion it’s not the exchange. Otherwise no one could do HFT!
So for my trading I model with at least 50ms so I don’t get screwed over by rithmics latency in the real world. Note others may fare better this is just my experience. also note i doubt any of the other retail providers are any better. they are retail level and share their connections with thousands of people.... need proper provider with less over-subscribed access to a CME G-link, but of course they have to charge much more for that.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,049 since Dec 2013
Thanks Given: 4,386
Thanks Received: 10,206
I think the quote from Advantage (who I use) in the message immediately following the post you keep referencing is pertenient
Latency can vary depending on what software he is using. The biggest delay would be software and exchange latency.
If you do not have DNA there will be multiple layers of Rithmic Software between your software and the exchange. You made the statement
If this is true then one can assume that no other FCM/data provider and platform can achieve better results as everything they do is faster then the exchange.
The point I am making is that this is only true, if Rithmic's Gateway / Credit Check / etc etc is faster than every other platform.
