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Faster than Rithmic ? CME direct rough cost ?
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Faster than Rithmic ? CME direct rough cost ?

  #1 (permalink)
Trading Apprentice
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Faster than Rithmic ? CME direct rough cost ?

I see Rithmic advertises 250us (microseconds). Is there anything faster for the CME ? If you are in Aurora from things I read 40us is possible for an exchange and the fastest Ethernet is at 1us ping but I dont think the CME is at 40us tick to trade.
My guess is the fastest players just go direct to the CME. Any idea on the cost to get certified for that ?

Its clear one can get the equivalent of the fix X message with the book updates at what I have read is now something under a 1ms interval. Is it possible to get all published limit orders as they come with Rithmic or otherwise ?

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  #3 (permalink)
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post your references, articles and "from what you heard(s)"

allow us to catch up to you,

outside references would help

also, know that just because one gets instant and faster than instant updates it does not ensure, quarantee or even help in trading...

for example, take a 1min (use time interval to eliminate the vagueness of the other intervals) chart on a fast moving E-mini

CL, ES, TF, QM, GC, etc

notice the same pattern that others notice,

1) a trend starts
2) there's that pause, after the first round of commitment of traders orders hits
3) there's a retrace
4) there's a protracted retrace
5) there's nail bitting and growling from the pit of one's stomach, as their generous 20 tick stoploss comes within 2 ticks of being hit

6) there's a delayed response of additional buy-ins or sell-outs (commitment of traders orders)
7) there's regret one got in so early
8) repeat prior step
9) repeat it again
10) realize that steps 7-9 are the result of these ultrafast ping(s) and fast orders
11) just possibly the trend resumes, now one's stop loss is -10 instead of -18
12) the trend move dies from lack of further commitment of traders

stop and analyze

what advantage did those fast pings and co-located servers afford your trading?

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  #4 (permalink)
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This is all from reading hundreds of public posts on boards like this (and cross checking enough to believe certain things) combined with reading news about low latency solutions and knowing FIX some. I tried to post a link before and was not able to. For some strategies latency matters more than what you describe

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The data is only half the story. Even if you could get direct data, how are you executing? I would focus on finding a broker who understands your needs, and can talk to you about why they can meet them. I would also expect a $10MM minimum from such a broker.

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bidask201 View Post
This is all from reading hundreds of public posts on boards like this (and cross checking enough to believe certain things) combined with reading news about low latency solutions and knowing FIX some. I tried to post a link before and was not able to. For some strategies latency matters more than what you describe

I will say, welcome to these boards,

as you can see, on some topics, we put on full after burners, and jump from the deck to Mach .85, before accelerating further, firing a blaze of chaff, 50 cal, and attempting lock on with sidewinders.

when I consulted on design of these and similar systems, the problems with them where even more complex, than the overly simplified scenario I described,

there will always be strategies, particularly in the Bond markets, where the players are straight poker instead of all these alternate card games that fly on the other tables (i.e. CL, QM, etc.)

have you noticed the public articles (WSJ - within last 20 business days) regarding how the HFT's are being forced to move out of the sunshine (of trading crude and other politically and economically sensitive vehicles) over to the dark pools of bond futures...

perhaps the massively large players there, can withstand all that faux paux liquidity that these phantom traders / operations mysteriously add (i.e. it never really added any worthwhile liquidity)

hey,

welcome to these threads, this one caught my particular attention, and it is worthy of a healthy and robust discussion,

after all, you're one of us now, and most likely (after losing your seat on the front office trading desks, too) will try to make your living from some angle in the e-mini futures markets too

welcome

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  #7 (permalink)
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One other post I put shows cme published latency over time.
https://futures.io/traders-hideout/20358-cme-latency-over-time-published.html

So from the end of last year (before Aurora) it looks like they were admitting to 2-3ms rtt

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bidask201 View Post
I see Rithmic advertises 250us (microseconds). Is there anything faster for the CME ? If you are in Aurora from things I read 40us is possible for an exchange and the fastest Ethernet is at 1us ping but I dont think the CME is at 40us tick to trade.
My guess is the fastest players just go direct to the CME. Any idea on the cost to get certified for that ?

Its clear one can get the equivalent of the fix X message with the book updates at what I have read is now something under a 1ms interval. Is it possible to get all published limit orders as they come with Rithmic or otherwise ?


I think it is a bit exaggerated to talk about microseconds.

First of all overall latency is determined by all

(1) data feed
(2) processing speed of signals
(3) order transmission to broker
(4) internal authorization of your order after margin control
(5) transmission of order from broker to exchange

High frequency trading firms typically have a sponsored access allowing them to bypass the authorization process imposed by the broker (4). To execute HFT strategies they require Ultra-Low Latency Direct Market Access (ULLDMA), which is also called no-touch. The DMA flow passes through risk checking algorithms which do not delay the order execution by more than 1 millisecond. Also the DMA black boxes need to be located near the exchange's matching engine.

I do not think that this is an interesting subject for a retail trader, unless you operate a fully muscled hedge fund or HFT firm. My broker does not allow me to bypass the margin control ....

For comparison: The life-time of a flash order is about 30 milliseconds.

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  #9 (permalink)
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True a retail trader wont be able to afford a certain level of speed.

How much it costs to get X full latency is not exactly an easy thing to figure out or even what the maximum is and that is part of what I am interested in

My 40us came from this link. As I noted I don't believe globex is at this.
With SIX Rollout, Nasdaq OMX Pushes Matching Latency Below 40 Microseconds | Low-Latency.com

While certain strategies should be winner take all as far as latency, I think there is some value in knowing how fast the fastest players are even if you can't afford it.

As far as the risk check part of it (4 in your list) for globex, it seems like rithmic handles the risk check on its server where you place the order. If anyone thinks this is incorrect I would love to hear what you think. Also this is available at the retail 'level' from what I understand. From public comments I have read they also have a feature where orders that have cleared risk check can sit on their server waiting for you to release them.

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