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Do you know your latency?
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Do you know your latency?

  #11 (permalink)
 Vendor: tradingtechnologies.com 
Chicago, IL
 
Futures Experience: Master
Platform: X_TRADER, TT
Favorite Futures: ES, NQ, ZN, CL, 6E
 
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Posts: 154 since Feb 2016
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TT posts latency metrics in Audit Trail so you have those numbers in front of you at all times. Our CTO recently posted a blog and referenced our numbers.

"Autospreader hedge latencies as low as 25 microseconds with a median in the mid-50s and re-quote latencies of 22 mics with a median in the mid-30s."

https://www.tradingtechnologies.com/blog/2016/10/19/what-to-expect-from-tt-at-fia-expo-2016/

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  #12 (permalink)
Administrator: Retired Backtester
 Vendor: speedytradingservers.com 
Rennes France
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: IB/Kinetick
Favorite Futures: Futures
 
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pardo127 View Post
For order execution.

MC to IB(broker) and IB to exchange.

The first thing is to find out where your IB account is hosted, usually zdc1.ibllc.com for European clients, or cdc1.ibllc.com (Chicago), gdc1.ibllc.com (Connecticut), ...

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If you ping the server where your account is hosted this will give you some clues.
Then depending on the instruments traded the data will come from other location (eufarm, usfarm, usfuture, ...). You can
find out their IP addresses with a "netstat -n" or on Windows with the Resource Monitor, and then ping these servers.

That's the quick & easy method.
A more precise method will be to write a strategy which will send limit orders, far from the price for not being executed, then cancel them, and check how long it takes. The code itself will depends if it's the .Net or the EL.
For the data itself a good method is to check the received data timestamp but with IB filtered data I don't think it will give accurate results.

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  #13 (permalink)
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madrid spain
 
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sam028 View Post
The first thing is to find out where your IB account is hosted, usually zdc1.ibllc.com for European clients, or cdc1.ibllc.com (Chicago), gdc1.ibllc.com (Connecticut), ...

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


If you ping the server where your account is hosted this will give you some clues.
Then depending on the instruments traded the data will come from other location (eufarm, usfarm, usfuture, ...). You can
find out their IP addresses with a "netstat -n" or on Windows with the Resource Monitor, and then ping these servers.

That's the quick & easy method.
A more precise method will be to write a strategy which will send limit orders, far from the price for not being executed, then cancel them, and check how long it takes. The code itself will depends if it's the .Net or the EL.
For the data itself a good method is to check the received data timestamp but with IB filtered data I don't think it will give accurate results.

Thank for the information.

I'm trying to measure accurately and I have this Easylanguage code but dont compile in Multichart because It programmed with objects :


{
JJ Log Generator
---------------------------
Based on Code from Mathemagician
Added ideas from AndroidMarvin
Modded by Honza K.
---------------------------

Purpose: Logs order state infos with milisecond difference calculation between events



}

// DefineDLLFunc: "JJLogger.dll", int, "LogMessage", lpstr, lpstr;

Using tsdata.trading;
Using elsystem;

input:
EnableLogging(true),
LogFileName("C:\JJ_LogFromTS.txt");

var:
Intrabarpersist MessagesLogged(0),
Intrabarpersist Order ord(null),
Intrabarpersist tmpString(""),
StopWatch sw( Null ), // to get msec resolution
OrdersProvider op(null),
Intrabarpersist lastElapsed( 0.0 ); // record previous msec value to count diff

Method override void InitializeComponent()
begin
op = New OrdersProvider;
op.Realtime = true;
op.Updated+=opUpdated;
op.Load=true;
sw = New StopWatch; // AndroidMarvin idea - adding stopwatch to count latencies directly
sw.Start();
end;

Method void opUpdated (Objectsender, OrderUpdatedEventArgs args)
begin
if EnableLogging and args.Reason.ToString()<>"initialupdate" then begin
MessagesLogged+=1;
If args.Order<>null then begin
ord = args.Order;
tmpString =
Formatdate("yyyy/MM/dd", ComputerDateTime()) // date
+ "," + FormatTime("HH:mm:ss", ComputerDateTime()) // time
+ "," + numtostr( sw.ElapsedMilliseconds - lastElapsed, 0 ) // milisecond difference from previous event
+ "," + args.State.ToString()
{ + "," + args.Message
+ "," + args.Reason.ToString()
+ "," + ord.AccountID
+ "," + ord.Action.ToString()
+ "," + ord.AvgFilledPrice.ToString()
+ "," + ord.EnteredQuantity.ToString()
+ "," + ord.EnteredTime.ToString()
+ "," + ord.FilledQuantity.ToString()
+ "," + ord.FilledTime.ToString()
+ "," + ord.OrderID.ToString()
+ "," + ord.Originator.ToString()
+ "," + ord.Route.ToString()
+ "," + ord.State.ToString()
+ "," + ord.StateDetail.ToString()
+ "," + ord.StopPrice.ToString()
+ "," + ord.Symbol.ToString()
+ "," + ord.SymbolExtension.ToString()
+ "," + ord.Type.ToString()
} ;

end else begin
tmpString =
args.State.ToString()
+ "," + args.AccountID
+ "," + args.Message
+ "," + args.OrderID
+ "," + args.Reason.ToString()
+ "," + args.Symbol
;
end;

Fileappend(LogFileName, tmpString + newline);
lastElapsed = sw.ElapsedMilliseconds;

end;
end;

// Once (EnableLogging) begin Fileappend(LogFileName, newline + "Logging Active" + newline); end;
plot1(MessagesLogged, "Log Messages");

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