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Market Order Execute Speed
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Market Order Execute Speed

  #1 (permalink)
Trading Apprentice
adelaide south australia
 
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Market Order Execute Speed

Hello fellow traders,

I'm currently running an auto trader on Sams VPS, mainly trading Eurex futures. At the same time I set up the exact same auto trader on my local PC (in Australia) just to see any difference between these two setups. As long as market order is used, I see no real different between these two setups. I wonder if this is because the market order is used so it gets executed straight away doesn't matter where the order is from, or it is because the Eurex is away from CME (or Rithmic router) so no real benefit locating the trader close to CME.

Thanks in advance for your inputs.

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  #3 (permalink)
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Is your VPS with @sam028 in North America or in Germany?

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  #4 (permalink)
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leizhenhua View Post
Hello fellow traders,

I'm currently running an auto trader on Sams VPS, mainly trading Eurex futures. At the same time I set up the exact same auto trader on my local PC (in Australia) just to see any difference between these two setups. As long as market order is used, I see no real different between these two setups. I wonder if this is because the market order is used so it gets executed straight away doesn't matter where the order is from, or it is because the Eurex is away from CME (or Rithmic router) so no real benefit locating the trader close to CME.

Thanks in advance for your inputs.

You're not seeing any real benefit because there isn't any besides the stability of your server. From within AS 1221 to your VPS is about 122 ms. Your Eurex gateway is located in 2905 Diehl Rd so the remaining path is O(45 ms) across the Atlantic. Depending on what your trading strategy is, the first inflection point of your trading costs is usually within the 10 ms to 200 ms interval, so the marginal gains are nearly $0, that is 167 ms -> 45 ms saves you nearly $0 in execution costs per trade.

If this were a competitive equities strategy, I would give it about less than 0.1 cents saved per 100 shares transacted. If this were not competitive, I would give it less.

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  #5 (permalink)
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Big Mike View Post
Is your VPS with @sam028 in North America or in Germany?

Mike

Hi Mike,

My VPS is in Chicago.

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  #6 (permalink)
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littlecompscigirl View Post
You're not seeing any real benefit because there isn't any besides the stability of your server. From within AS 1221 to your VPS is about 122 ms. Your Eurex gateway is located in 2905 Diehl Rd so the remaining path is O(45 ms) across the Atlantic. Depending on what your trading strategy is, the first inflection point of your trading costs is usually within the 10 ms to 200 ms interval, so the marginal gains are nearly $0, that is 167 ms -> 45 ms saves you nearly $0 in execution costs per trade.

If this were a competitive equities strategy, I would give it about less than 0.1 cents saved per 100 shares transacted. If this were not competitive, I would give it less.

I get the stability part for sure. And I get what you mean, but don't quite understand the tech terms. I trade FDAX to be precise. And I am looking to trade TF and ES later on. What I am really thinking is: with my strategy mainly market orders, is there any real term benefit (0.1 cent per transaction is meaningless, at least to me) to locate the VPS in Europe? And when I trade both the CME and Eurex futures, would it benefit to have two VPSes with one at each location?

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  #7 (permalink)
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leizhenhua View Post
I get the stability part for sure. And I get what you mean, but don't quite understand the tech terms. I trade FDAX to be precise. And I am looking to trade TF and ES later on. What I am really thinking is: with my strategy mainly market orders, is there any real term benefit (0.1 cent per transaction is meaningless, at least to me) to locate the VPS in Europe? And when I trade both the CME and Eurex futures, would it benefit to have two VPSes with one at each location?

If you want to improve your "speed", check with your provider if they have a European gateway that you can connect to then situate your VPS closer to that gateway. If you locate your VPS in Europe with your current configuration, your messages will have to travel across the Atlantic, to IL, and then back across the Atlantic, which adds another 10-20 BGP adjacencies in your path = slow slow slow!

What I'm saying is that improving your "speed" doesn't mean improving your "execution costs". Saving about 45 ms by finding a European gateway will save you something like 0.1 cents per 100 share transaction in cash equities!

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  #8 (permalink)
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leizhenhua View Post
And when I trade both the CME and Eurex futures, would it benefit to have two VPSes with one at each location?

Yes you will have a "speed" benefit doing this if your provider has both a European gateway and a U.S. gateway.

But the question you should be asking is if this "speed" benefit translates to a "cost" benefit, which you've indicated is "no".

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  #9 (permalink)
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adelaide south australia
 
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littlecompscigirl View Post
Yes you will have a "speed" benefit doing this if your provider has both a European gateway and a U.S. gateway.

But the question you should be asking is if this "speed" benefit translates to a "cost" benefit, which you've indicated is "no".

Thanks littlecompscigirl. You've cleared the cloud in my head.

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  #10 (permalink)
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leizhenhua View Post
Thanks littlecompscigirl. You've cleared the cloud in my head.

You're welcome! I know it's difficult to believe that the actual cost savings are seemingly that small but you'll see that everyone talks about measuring their speed of execution but rarely about measuring the economic benefits. You can do your own research on this and see if I'm speaking the truth.

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