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Speed Test
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Created: by sam028 Attachments:1

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Speed Test

  #1 (permalink)
Administrator: Retired Backtester
 Vendor: speedytradingservers.com 
Rennes France
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: IB/Kinetick
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sam028's Avatar
 
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Speed Test

A very simple strategy, which is not supposed to make money, but to measure the delay in this process :
- order send
- order received by the exchange
- order cancelled
- cancel receive and acknoledge by NinjaTrader

An short limit order is sent X ticks above the ask, to avoid a fill, N times.
Each order is cancelled when his status is "working".
A readable results is shown when the strategy is cancelled.
By default it will send 5 orders, at ask price + 30 ticks.

Warning : do not use it live with volatile instruments during volatile times !
Avoid CL/GC for example, and avoid news period.

I would be extremely interested in having some feedback, with different brokers and locations.
The process, after having simply clicked on "buy limit" is complex, and a lot of parameters are involved, but with enough samples we may get an idea of who is fast and who is not that fast (I already have some thoughts ).


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Attached Files
Register to download File Type: cs SpeedFill.cs (2.8 KB, 65 views)
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  #2 (permalink)
Elite Member
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liquidcci's Avatar
 
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@sam028 this is a great idea. I am going to give it a try when I get a chance and will report my results. Hopefully others will do the same as this could be very useful data for comparison.

"The day I became a winning trader was the day it became boring. Daily losses no longer bother me and daily wins no longer excited me. Took years of pain and busting a few accounts before finally got my mind right. I survived the darkness within and now just chillax and let my black box do the work."
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  #3 (permalink)
Market Wizard
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Interesting subject.

I don't use NT so I'm not sure what your video is showing. Am i right in believing that it is showing the time required to send a cancel request and get a cancel confirm from the exchange on the 5 orders had an average time of 0.729 seconds and a range of 0.55 to 0.92 seconds?

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  #4 (permalink)
Administrator: Retired Backtester
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SMCJB View Post
Interesting subject.

I don't use NT so I'm not sure what your video is showing. Am i right in believing that it is showing the time required to send a cancel request and get a cancel confirm from the exchange on the 5 orders had an average time of 0.729 seconds and a range of 0.55 to 0.92 seconds?

That's correct.

Just FYI, the figures shown in the video not very relevant, as I used my IB paper account, and the machine where the test was done is very busy with 2 extremely heavy/not optimised bots (I'm not the author !!! ).
I will asked some of my dear SpeedyTradingServers users/clients/friends to run it few times, as I may have all NinjaTrader supported brokers/data feed, it could give a good picture of execution times.

Success requires no deodorant! (Sun Tzu)
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  #5 (permalink)
Market Wizard
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sam028
Usually in trading, those who know don't talk, and those who talk don't know.

Awsome quote

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  #6 (permalink)
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Very nice Sam! Will post results soon.

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  #7 (permalink)
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Ran the test and seen orders go through but don't know how to view the time results like your video. Looked under strategies and orders but must be missing something. Sorry I trade discretionary, not familiar : ) Please advise

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  #8 (permalink)
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neko333 View Post
Ran the test and seen orders go through but don't know how to view the time results like your video. Looked under strategies and orders but must be missing something. Sorry I trade discretionary, not familiar : ) Please advise

Open the print output window.

Mike

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  #9 (permalink)
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still can't find it. Went through every option. Can you be more specific please.



Big Mike View Post
Open the print output window.

Mike


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  #10 (permalink)
Administrator: Retired Backtester
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neko333 View Post
still can't find it. Went through every option. Can you be more specific please.

In NinjaTrader menu, "Tools -> Output Window...".
Then you can enable the strategy, you'll see some details in this output window.

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