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Dealing latency with ZenFire & NT
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Dealing latency with ZenFire & NT

  #101 (permalink)
 Vendor: www.cqg.com 
Chicago, IL USA
 
Futures Experience: Advanced
Platform: CQG
Favorite Futures: Futures
 
Posts: 9 since Feb 2012
Thanks: 0 given, 7 received

CQG Data

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.

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  #102 (permalink)
 Vendor: www.rithmic.com 
New York
 
Futures Experience: None
Platform: R | Trader
 
Posts: 2 since Dec 2010
Thanks: 0 given, 1 received

your analysis seems correct. the real advantage of the co-location is realized when programs running on the co-located equipment submit orders on their own without user intervntion.

If you have any questions about Rithmic, please send me a Private Message
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  #103 (permalink)
Elite Member
@ Germany
 
Futures Experience: Beginner
Platform: NinjaTrader
Broker/Data: Mirus Futures/Zen-Fire
Favorite Futures: FDAX
 
Posts: 440 since Nov 2011
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sam028 View Post
About what @grahamg wrote about CQG, and their servers locations, I had some interesting information coming from one of my VPS users.
This user is using the CQG API directly to code his own system, and as he will trade CME contracts, I create his VPS on one our servers in Chicago, which seems to be the logical thing to do.

What he told was "the ping to CQG order routing server from the VPS is <1ms but somehow when I send orders using the API it takes almost 100 millisecond before I get response that order is in exchange...", and also "... they are quite slow (data comes from New York)...".
I do not have any CQG account based myself, and can't do deep tests for this, but this kind of latency is really not good at all, compared to what I usually see with my other VPS customers (few ms with Rithmic for example, same with CTS).

If should be interesting to have more details on CQG infrastructure, but I know it's not easy to get detailed information on this.

@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!

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  #104 (permalink)
 Vendor: www.cqg.com 
Chicago, IL USA
 
Futures Experience: Advanced
Platform: CQG
Favorite Futures: Futures
 
Posts: 9 since Feb 2012
Thanks: 0 given, 7 received

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.

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  #105 (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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Posts: 3,363 since Jun 2009
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Glista View 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" ).

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  #106 (permalink)
 Vendor: www.cqg.com 
Chicago, IL USA
 
Futures Experience: Advanced
Platform: CQG
Favorite Futures: Futures
 
Posts: 9 since Feb 2012
Thanks: 0 given, 7 received

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.

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  #107 (permalink)
Elite Member
Armidale, Australia
 
Futures Experience: Intermediate
Platform: XT
Broker/Data: AMP Futures, IB
Favorite Futures: FGBL, ZN
 
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Posts: 107 since Dec 2012
Thanks: 58 given, 100 received

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.

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  #108 (permalink)
Normal Wizard
Sydney, NSW, Australia
 
Futures Experience: Intermediate
Platform: NinjaTrader with Jigsaw DOM
Favorite Futures: CL, 6E, ES, Piano
 
TickedOff's Avatar
 
Posts: 191 since Nov 2014
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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.
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  #109 (permalink)
Administrator: Retired Backtester
 Vendor: speedytradingservers.com 
Rennes France
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: IB/Kinetick
Favorite Futures: Futures
 
sam028's Avatar
 
Posts: 3,363 since Jun 2009
Thanks: 3,566 given, 3,976 received


TickedOff View Post
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.

In Ninja: Tools -> Options -> Simulator. You can put your latency there.

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  #110 (permalink)
Elite Member
Brisbane, Queensland, Australia
 
Futures Experience: Advanced
Platform: NT8/JIGSAW
Broker/Data: MacQuarie Futures/AMP Clearing/CQG
Favorite Futures: ZB/FGBL/GC/CL/HG/6J/6M/6B/FDAX/NQ
 
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sam028 View Post
In Ninja: Tools -> Options -> Simulator. You can put your latency there.

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....

Many thanks,


XS

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