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Setup Dedicated Machine Chicago - My experience
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Setup Dedicated Machine Chicago - My experience

  #131 (permalink)
Elite Member
Austin, TX
 
Futures Experience: Master
Platform: ninjatrader, r-trader
Favorite Futures: CL, NG, TF, NQ, YM, GC, ES
 
liquidcci's Avatar
 
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Elite View Post
Then why does the opener of the thread almost never needs to jump in and i had many jump ins in only the first 2 weeks?

You may have put this in another post but what market are you trading? If not a liquid market that could be a problem on any machine in any location. What data feed are you using? Data feed can make a big difference. Again sorry if you already posted this info.

Also could be your software or something in your code.

Many things can affect execution but if you are getting 0 ms then does not sound like an issue with remote server and with right setup this should vastly improve your fills on limits. You can still get skipped on limits like @MWinfrey mentioned but for me it does not happen often and should happen much less on server with 0 ms to the exchange by virtue of getting there faster.

"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."

Last edited by liquidcci; February 4th, 2013 at 01:56 PM.
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  #132 (permalink)
Trading Apprentice
Rotterdam/Germany
 
Futures Experience: Beginner
Platform: OEC
Favorite Futures: ES
 
Posts: 32 since Jan 2013
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liquidcci View Post
You may have put this in another post but what market are you trading? If not a liquid market that could be a problem on any machine in any location. What data feed are you using? Data feed can make a big difference. Again sorry if you already posted this info.

Also could be your software or something in your code.

Many things can affect execution but if you are getting 0 ms then does not sound like an issue with remote server and with right setup this should vastly improve your fills on limits. You can still get skipped on limits like @MWinfrey mentioned but for me it does not happen often and should happen much less on server with 0 ms to the exchange by virtue of getting there faster.

I only trade ES emini s&p500. I only use Multicharts for data and no other data feed. My softwares are MC which i use for charting and global zen trader for my platform. I dont use any other data feed like iq feed e signal etc. this is it.

I tested from speedtest.net to chicago and had 0 ping dont know if i have to test another way the ping, but i guess ping is fine.

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  #133 (permalink)
Elite Member
Austin, TX
 
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I only trade ES emini s&p500. I only use Multicharts for data and no other data feed. My softwares are MC which i use for charting and global zen trader for my platform. I dont use any other data feed like iq feed e signal etc. this is it.

I tested from speedtest.net to chicago and had 0 ping dont know if i have to test another way the ping, but i guess ping is fine.

There are other ways to ping but I know the latency at Steadfast is low so should be fine. Plenty of depth on ES so that is not your problem.

So could still be your feed, software, settings. But I don't use any of things you use so can't really comment where the problem could be.

"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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  #134 (permalink)
Elite Member
Manchester, NH
 
Futures Experience: Beginner
Platform: thinkorswim
Broker/Data: TD Ameritrade
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sam028 View Post
It's obviously not a problem related to the location or to the data center itself, but a problem with the strategy.
Your dedicated server hoster has nothing to do with this.
If I'm understand correctly, the OEC is launched on the server, and MultiCharts runs locally and is connected to to the server ? This is not the best thing to do, all may run on the server directly.
I'll encourage you to test the system with a demo account first, if something is wrong, it's better to avoid losing real cash.

@Elite:

@sam028's answer is correct. The problem lies with your strategy, not the server. You weren't filled because other orders were placed at the same price level a long time before you did. The benefit of placing your limit order 180 ms earlier is negligible when others have had minutes, hours or days to place the order at the level before you. If your strategy's execution logic is on low frequency data, e.g. 100 tick bars, 1 minute bars, then chances are you are not gaining any advantage. The order book is very thick in the ES, so those fills look realistic to me even if you had full firepower, e.g. 15 microsecond flash to bang. You should be taking liquidity rather than posting it.

Another thing to note is that this is proximity hosting, not "true colo", even if you are located in the same data center, if you are connecting to your brokerage's data feed through WAN. Bandwidth is just as crucial. You should expect to receive your data 20~30 ms behind true colo even if you are sub-1 ms ping away from the data server via WAN. This is not a one-off situation, but something that happens consistently throughout the day. The peak 1s rates on the CME feed can exceed 20,000 messages/s, if we assume the average CME FAST message is 83 bytes, then this is 13.3 gigabits/s. A basic aggregated feed like Nanex or ZF cannot handle these rates. An aggregated feed amortizes the latency by stripping away information that you don't use (so the feed actually has a higher "useful information rate" than the exchange feed), so it can fit into a 20~50 Mbps pipe. But there is a realistic threshold how much it can compress or time it can save you.

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  #135 (permalink)
Trading Apprentice
Rotterdam/Germany
 
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artemiso View Post
@Elite:

@sam028's answer is correct. The problem lies with your strategy, not the server. You weren't filled because other orders were placed at the same price level a long time before you did. The benefit of placing your limit order 180 ms earlier is negligible when others have had minutes, hours or days to place the order at the level before you. If your strategy's execution logic is on low frequency data, e.g. 100 tick bars, 1 minute bars, then chances are you are not gaining any advantage. The order book is very thick in the ES, so those fills look realistic to me even if you had full firepower, e.g. 15 microsecond flash to bang. You should be taking liquidity rather than posting it.

Another thing to note is that this is proximity hosting, not "true colo", even if you are located in the same data center, if you are connecting to your brokerage's data feed through WAN. Bandwidth is just as crucial. You should expect to receive your data 20~30 ms behind true colo even if you are sub-1 ms ping away from the data server via WAN. This is not a one-off situation, but something that happens consistently throughout the day. The peak 1s rates on the CME feed can exceed 20,000 messages/s, if we assume the average CME FAST message is 83 bytes, then this is 13.3 gigabits/s. A basic aggregated feed like Nanex or ZF cannot handle these rates. An aggregated feed amortizes the latency by stripping away information that you don't use (so the feed actually has a higher "useful information rate" than the exchange feed), so it can fit into a 20~50 Mbps pipe. But there is a realistic threshold how much it can compress or time it can save you.

Thank you for the explanation. Yes it is based on 144 tick. I understand. So would it be wise to keep a dedicated server for $170 p/m? since based on the low frequency data i can't get really advantage and i use limit orders, i will trade automation also on the 3 minutes charts so dont know if it still worth having the server.

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  #136 (permalink)
 Vendor: tradingcode.net 
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artemiso View Post
Another thing to note is that this is proximity hosting, not "true colo", even if you are located in the same data center, if you are connecting to your brokerage's data feed through WAN. Bandwidth is just as crucial. You should expect to receive your data 20~30 ms behind true colo even if you are sub-1 ms ping away from the data server via WAN.

This is not a one-off situation, but something that happens consistently throughout the day. The peak 1s rates on the CME feed can exceed 20,000 messages/s, if we assume the average CME FAST message is 83 bytes, then this is 13.3 gigabits/s. A basic aggregated feed like Nanex or ZF cannot handle these rates. An aggregated feed amortizes the latency by stripping away information that you don't use (so the feed actually has a higher "useful information rate" than the exchange feed), so it can fit into a 20~50 Mbps pipe. But there is a realistic threshold how much it can compress or time it can save you.

I'm not sure if I follow the bold part.

Do you mean that 20-30ms lag is caused by the data feed, regardless of the type of retail data feed?
Or is this 20-30ms lag caused by the broker's risk management processes etc. (which "true colo" will have turned off)?

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  #137 (permalink)
Elite Member
Manchester, NH
 
Futures Experience: Beginner
Platform: thinkorswim
Broker/Data: TD Ameritrade
Favorite Futures: Stocks
 
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Elite View Post
Thank you for the explanation. Yes it is based on 144 tick. I understand. So would it be wise to keep a dedicated server for $170 p/m? since based on the low frequency data i can't get really advantage and i use limit orders, i will trade automation also on the 3 minutes charts so dont know if it still worth having the server.

I must warn that I'm making a very general statement here, but from the sounds of it, your limit orders won't get an advantage but market orders will.

Let's assume the server saves you 200 ms... ah well, I'll try to help you out. Hold on one second, let me turn on the cluster and model this for you, hopefully.


Jura View Post
I'm not sure if I follow the bold part.

Do you mean that 20-30ms lag is caused by the data feed, regardless of the type of retail data feed?
Or is this 20-30ms lag caused by the broker's risk management processes etc. (which "true colo" will have turned off)?

It is caused by the data feed alone. The risk management part that you're talking about is called no-touch, not necessary since there are brokers that will guarantee low-latency risk management.

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  #138 (permalink)
Elite Member
Manchester, NH
 
Futures Experience: Beginner
Platform: thinkorswim
Broker/Data: TD Ameritrade
Favorite Futures: Stocks
 
Posts: 901 since Jul 2012
Thanks: 603 given, 1,785 received

@Elite:

See your inbox. Long explanation.


Last edited by artemiso; February 4th, 2013 at 05:49 PM.
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  #139 (permalink)
Site Administrator
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artemiso View Post
Let's assume the server saves you 200 ms... ah well, I'll try to help you out. Hold on one second, let me turn on the cluster and model this for you, hopefully.

I'd like to see as well, why not post it?

Mike

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  #140 (permalink)
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artemiso View Post
You should expect to receive your data 20~30 ms behind true colo even if you are sub-1 ms ping away from the data server via WAN.

This is not to say you are wrong, but do you have anything to support this 20-30ms "claim"? Sounds like eternity to me.

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