If you would like any detail concerning CQG please contact me directly. To give you a little backround on CQG. We have market data distribution points globally. We have trading gateways in Chicago / London / Sydney / Singapore.
@Glista, @sam028: I'm very concerned that a VPS customer has an execution time of 100ms. I assume that he isn't trading the eurex from chicago. It were very informative if you (glista) should do some investigations in that issue and fix that. I had planned to use the same trading setup - but no way with 100ms latency!
The following user says Thank You to Koepisch for this post:
I have no information to research what he is talking about. He makes a comment that he is routing to NY. The only contracts are VIX that we route to NY via Ninja. We monitor the acknowldgement times from our systems on an ongoing basis.
I have asked in the past for alpha testers that want to be in the CQG data centers to try our CITRIX deployment. I don't have a live Ninjatrader account to test this.
I'll ask my customer if he's ready to give us more details on the high latency he had using CQG API, but as he is not using Ninja but his own home-made code to send orders, maybe something is wrong in his code, or maybe he do not read correctly the orders time stamps, I can't know.
As the Chicago -> NY latency is around 18ms anyway, I don't see where all these extra ms can be lost.
CQG, just like Rithmic, TT and few others, have an excellent reputation, and if something was wrong in their infrastructure, I assume we'll already know it.
It would be quite nice to have a real bench with all major providers, as most of them claims "unfiltered data, direct market access, tick to trade in < 0.250 ms, ...", but it's quite hard to find real examples (at least for us, "small guys" ).
Usually in trading, those who know don't talk, and those who talk don't know. (Al Brooks)
success requires no deodorant! (Sun Tzu)
The following user says Thank You to sam028 for this post:
Yes I clearly understand. With the amount of variables such as exchanges, time of day, high volume, it is impossible to give one number that covers it all. Some will give best time ever ( a salesperson ) some will give an average ( operations staff ) some will give the worst time ( a bad trader ). At CQG we let you the customer decide by earning your business without long term contracts. We have taken our institutional level infrastructure and made it available to you.
Has anyone written, or know of a script for Ninjatrader that tests latency of their order routing?
If not, I was thinking one could compare the timestamp of an order event, and perhaps a marketdepth update event to check for a deep market increment for the order. Using your own judgement that it measured the change in your order and not someone elses.
Hopefully someone has a better way but thats all I could come up with off the top of my head.
The leap into freedom is the exchanging of risk for reward. This can be done only by shifting from tension to ease, and that can be done only when one perceives the reward and not the risk. That you won't win all the time has nothing to do with it - that's life, that's the [stock] market. The trying itself is freeing. And being free has its own reward - Justin Mamis, The Nature of Risk
Does trading sim on ninjatrader (using a live feed) take latency into account? I am experimenting with pure orderflow scalping and Id like to know if the fills Im getting in sim are similar to what Id get live. I did a ping test to chicago and I got 230ms.
Understanding yourself is just as important as understanding markets.
A year or so ago @sam028 i saw you posted a short NT strategy that send an order to the exchange and then cancels it, testing the latency. Do you know where i can find it, i've been looking for a half hour or so already with no luck....