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What VPC configuration/specification do you use for TS?


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What VPC configuration/specification do you use for TS?

  #21 (permalink)
Prophet85
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vmodus View Post
Thanks @SMCJB. That makes sense, since that is where TS operations in the US is based.

~vmodus

Where in the US would you guys recommend the VPS server to be located? I thought that right now the preferred location was close to New York.

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  #22 (permalink)
 
vmodus's Avatar
 vmodus 
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Prophet85 View Post
Where in the US would you guys recommend the VPS server to be located? I thought that right now the preferred location was close to New York.

I suppose it depends. Most of our transactions run through CME Group (Chicago), but our broker is TradeStation Securities, which as mentioned is in Florida. For us, the important thing is limiting slippage, so we would like to have the data as fast as possible, with the trade executed as fast as possible when the time comes. If you are doing high frequency trading, I suppose you want your broker, exchange and VPS (or VM in our case) as close as possible to each other (same city or same region).

We are planning a test of our VM to see if there is an advantage on our VM with respect to order fulfillment. I expect the VM to have better fils, but I don't know.

For the record, I believe our VM is in Wisconsin, not too far from Chicago (but not Chicago).

I'll update here with that test, too.

~vmodus

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  #23 (permalink)
Prophet85
Gothenburg Sweden
 
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vmodus View Post
I suppose it depends. Most of our transactions run through CME Group (Chicago), but our broker is TradeStation Securities, which as mentioned is in Florida. For us, the important thing is limiting slippage, so we would like to have the data as fast as possible, with the trade executed as fast as possible when the time comes. If you are doing high frequency trading, I suppose you want your broker, exchange and VPS (or VM in our case) as close as possible to each other (same city or same region).

We are planning a test of our VM to see if there is an advantage on our VM with respect to order fulfillment. I expect the VM to have better fils, but I don't know.

For the record, I believe our VM is in Wisconsin, not too far from Chicago (but not Chicago).

I'll update here with that test, too.

~vmodus

That's great, thanks!

I also just emailed Tradestation, if they give a good answer I'll post their response here. It's just that I remember reading, not too long ago, a thread in the TS forums that everything goes through Tradestations servers in NY nowadays. And if I ping the IP addresses as shown in TS settings (network settings) the final node seems to always be New York...

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  #24 (permalink)
 
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 vmodus 
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Prophet85 View Post
That's great, thanks!

I also just emailed Tradestation, if they give a good answer I'll post their response here. It's just that I remember reading, not too long ago, a thread in the TS forums that everything goes through Tradestations servers in NY nowadays. And if I ping the IP addresses as shown in TS settings (network settings) the final node seems to always be New York...

Thanks, this is useful info.

Weird, when I ping the TS servers, I get a timeout, even though they appear 'Online'. What domain or IP are you pinging? This is what I see in the Network settings of TradeStation:



FYI: The 199.58.59.112 shows up as being in Wichita, Kansas, for whatever that is worth.

~vmodus

~vmodus

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  #25 (permalink)
 
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 SMCJB 
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vmodus View Post
I suppose it depends. Most of our transactions run through CME Group (Chicago), but our broker is TradeStation Securities, which as mentioned is in Florida. For us, the important thing is limiting slippage, so we would like to have the data as fast as possible, with the trade executed as fast as possible when the time comes. If you are doing high frequency trading, I suppose you want your broker, exchange and VPS (or VM in our case) as close as possible to each other (same city or same region).

CME are located in Aurora IL and have their own data center. You can rent space directly from them in that data center, but probably easier to rent from a broker or other infrastructure provider. The space will cost you multiples of what you are quoting in this thread though, and thats just for the space. No computer included. I've had a server at Aurora for several years but with the switch to NextGen TT have just had it removed.

https://www.cmegroup.com/trading/colocation/co-location-services.html

ICE is downtown in the Equinix / Cermak Data Center. CME used to be here as well and you can still buy a direct data connection to CME at Cermak. Co-location in prime space here is quite a bit cheaper than at Aurora but still a lot more than you guys are quoting here. There are a lot of options at Cermak though, and as long as you have a good cross connect can probably get some pretty excelleent service. I believe speedyservers has servers at Cermak. (Not relevant but I also just had multiple severs removed from Cermak).

All of this is pointless though unless your server gets it prices from a gateway connected directly to the CME feed, and your order server routes directly to the CME. If the prices, or orders, go through your brokers infrastructure off-site (eg Tradestation, InteraActive etc) then it's not worth the premium.

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  #26 (permalink)
 
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 vmodus 
Somewhere, Delaware, USA
 
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SMCJB View Post
CME are located in Aurora IL and have their own data center. You can rent space directly from them in that data center, but probably easier to rent from a broker or other infrastructure provider. The space will cost you multiples of what you are quoting in this thread though, and thats just for the space. No computer included. I've had a server at Aurora for several years but with the switch to NextGen TT have just had it removed.

https://www.cmegroup.com/trading/colocation/co-location-services.html

ICE is downtown in the Equinix / Cermak Data Center. CME used to be here as well and you can still buy a direct data connection to CME at Cermak. Co-location in prime space here is quite a bit cheaper than at Aurora but still a lot more than you guys are quoting here. There are a lot of options at Cermak though, and as long as you have a good cross connect can probably get some pretty excelleent service. I believe speedyservers has servers at Cermak. (Not relevant but I also just had multiple severs removed from Cermak).

All of this is pointless though unless your server gets it prices from a gateway connected directly to the CME feed, and your order server routes directly to the CME. If the prices, or orders, go through your brokers infrastructure off-site (eg Tradestation, InteraActive etc) then it's not worth the premium.

Thanks. Do you see an advantage of being this close? For HFT, I can see it, but we are more medium frequency traders.

~vmodus

~vmodus

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  #27 (permalink)
 
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 SMCJB 
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vmodus View Post
Thanks. Do you see an advantage of being this close? For HFT, I can see it, but we are more medium frequency traders.

I'm currently not trading on Tradestation and would think that most Tradestation users would not noticeably benefit from being that close to the exchange. I think there are very few Tradestation strategies that are that latency dependent. Saying that though, if hundreds, maybe even thousands of people are all sending their "Buy next bar on open" order at the same time, the difference between being the first of those executed and the last could materially effect strategy performance.

While obviously it is true that HFT require that level of connectivity, there are a lot of strategies that do benefit from low latency. One of the obvious, and one I use a lot, are autospreaders. In the speed world co-located autospreaders and such are the Medium Frequency Traders. Tradestation and such are definitely low speed in comparison.

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  #28 (permalink)
 
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 vmodus 
Somewhere, Delaware, USA
 
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Now running 7 instruments:


CPU Utilization from the Task Manager


A little more CPU info....


...to be continued...

~vmodus

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  #29 (permalink)
Prophet85
Gothenburg Sweden
 
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vmodus View Post
Thanks, this is useful info.

Weird, when I ping the TS servers, I get a timeout, even though they appear 'Online'. What domain or IP are you pinging? This is what I see in the Network settings of TradeStation:



FYI: The 199.58.59.112 shows up as being in Wichita, Kansas, for whatever that is worth.

~vmodus

I don't know what you use to check the IP but I suggest downloading PingPlotter which is free to use. I'm sure there are other programs similar to it.

The info I got from the TS forum was to use the RT-US IP-address, however all of the IP-addresses as shown in the network settings point to NY as the final destination for me when I check with PingPlotter.



I can add that I used to have a VPS in New Jersey and the latency was 1-2 ms compared to around 28 ms that I have now. So for me that indicates that everything ultimately actually goes through NY. If you get similar end node when checking with PingPlotter please let me know.

Is a latency of around 28 ms decent according to you guys btw? I am not doing HFT. The minimum bar interval I will trade will be 5 minutes but usually I will trade 15 minute bars and up. I can't imagine that around 30 ms latency will have a big impact on my results but I am just asking the forums opinion anyway.

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  #30 (permalink)
 
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 vmodus 
Somewhere, Delaware, USA
 
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Prophet85 View Post
Is a latency of around 28 ms decent according to you guys btw? I am not doing HFT. The minimum bar interval I will trade will be 5 minutes but usually I will trade 15 minute bars and up. I can't imagine that around 30 ms latency will have a big impact on my results but I am just asking the forums opinion anyway.

Hopefully my wife/trading partner and I can do a side-by-side test this week (one on our VM, one from our regular office) to see if there is any advantage. We use both time and non-time (tick, Renko, range, etc.) bars. The only advantage I expect to see may be a point in slippage here or there. I'll post results if I can run the test.

~vmodus

~vmodus

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