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i dont think you can modify price. you can only modify quantities. if you modify price from the exchange's perspective its essentially a cancel existing order and new order.
at least from my first look at CME order protocols. ill have another look. maybe someone else has experience on this.
ok thanks for the tip. cant wait to test it and see how it affects latency. possible issue is that when you change qty you lose some of your queue position. and change price and you lose queue position, so in effect that is adding latency. so it might not be viable.
I was investigating this idea. These people got charged by CME for testing latency, and it was settled for a $55K fine for doing what you are suggesting. Please advise the legality of this thanks!
Let me clear some things up for you and provide perspective.
First of all, if your trading strategy allows for the use of stop orders or you can modify your strategy to use stop orders, or use them some of the time, then that is the lowest possible latency execution you're going to get. Faster than paying hundreds of thousands of dollars for sub-microsecond latency. Remember, stop orders at the CME are live and located directly in the matching engine.
If you want to go direct market, you need at least half a million to a million in capital at most brokers. Places like Phillip Futures, Advantage Futures or Dorman. Direct market means there are no risk checks/delays before sending an order directly to the matching engine. The FCM will keep an eye on you and do risk checks/controls by monitoring executions and your account balance status. Direct Market is the only way to get sub-10 microsecond executions.
With regards to Rithmic, you need to look at their "Rithmic Transit Time". I tested it in the past in the middle of the night and it's somewhere between 1500 microseconds and 2500 microseconds.
The unknown variable is the Rithmic data feed delay. Because the data feed goes from the CME to the rithmic data feed server and then to you, realistically speaking it's probably about 1000 to 2000 microseconds. Who knows, really.
The only con with Rithmic is they charge a ten-cent per side fee with no monthly cap. CQG and TT have monthly caps.
One thing to always keep in mind with any platform is iLink session congestion. An FCM might only have 1 iLink session for all of its customers or many iLink sessions. No one talks about it. iLink sessions are not physical connections, but virtual connections that have bandwidth limits. If you read the CME documentation, you can only send so many messages/orders per second. So, if a huge number of customers at an FCM decide to send orders all at the same time, it would exceed the messaging limits of the iLink session. The CME then would drop the connection and there would be a trading outage at the FCM. In order to prevent that, platforms like Rithmic have to limit/delay the messaging rate in order not to exceed the limit. So, obviously increased latency will result during peak trading times.
The good news is that some FCM's allow you to get an iLink session all for yourself and not shared by other customers, for a fee. I heard $100 per month. Good luck finding someone at the broker/FCM who knows what you're talking about. Report back here the prices they quote you.
The host (a CME Aurora colo/vps provider) i am talking to says this, when I asked about FCMs: "if you are using Rithmic’s software then the proximity of the FCMs is not relevant as the market data and orders go directly between the exchange and the end users. The FCMs configure each account’s risk and permissions in Rithmic’s software. "
to me that reads as the FCM doesn't touch the orders. how does that apply to what you said above? Note I am just using R | ApiPlus. not any of the R Trader software.
Commissions:
I also had a question about commissions. Say I get an IB like Optimus, what do they actually do for me? Is it just customer service, because the underlying FCM doesnt want to talk to me? So basically the commission is paid to Optimus for customer service, and optimus pays the FCM a portion of that for the futures underwriting?
Stop Loss:
thats an interesting perspective. I had always considered a stop loss a lazy mans exit strategy and my algorithms have always actively traded limit orders (i do have far-away stops as emergency exits). but the super fast execution is intriguing, and might have a place in my system. the only difficulty here is it is non-deterministic. where will it actually fill? its hard to model market orders on the millisecond level. and anything you cant model, is "uncertainty" ie. bad.
Rithmic Fees:
according to Optimus website, Rithmic costs $0.25 per side. where did you get $0.10? and can you please explain monthly caps? I have not seen that mentioned anywhere. Does it mean once i hit a certain $ its free if i use CQG and TT?
Yes, with Rithmic, TT, CQG, etc., the FCM doesn't touch orders directly themselves. That's because almost all FCM's don't deploy hardware at the exchanges and write trading software themselves. That would be a huge cost. Almost all FCM's rely on third-parties like Rithmic. The FCM just pays a fee to Rithmic to use their hardware, software, exchange connectivity, etc.
I'm guessing the colo provider you're talking about is TheOmne.net. Rithmic and TheOmne are run by the same people, they're practically the same company.
If you went direct market, you would not be dealing with Rithmic, TT or CQG. Direct market means you write the code yourself for the CME MDP 3.0 Market Data Feed Handler or more likely you would buy/lease the software from a third party. From places like onixs.biz, b2bits.com, or algo-logic.com (if you want a FPGA solution with under 1 microsecond latency, which by the way costs more than 100k).
With regards to commissions, the best deal around is Tradovate (FCM is Dorman). They charge only 9 cents per side plus a monthly/annual fee. They don't use Rithmic. This is a very rare example of a broker having their own software/hardware. The good news is that they have an API. The bad news is that they use google cloud servers for the data feed and order handling. That means probably around 15 - 30 milliseconds of latency.
It's best to deal with FCM's instead of IB's, but for some FCM's the only way in is through an IB. All the FCM's that support Rithmic are listed on Rithmic's website. To get the lowest rate, ask them to match Tradovate's rates or at least come close.
You need to read up on CME order types on the CME website.
There's stop market orders and stop limit orders. The "stop" is the trigger price. Once triggered the order becomes either a market order or limit order.
And, by the way, stop orders don't necessarily have anything to do with stop losses or stop profit-taking, etc.
For example, you can use a stop order to initiate an opening position in a trade.
Rithmic RTrader is 25 cents, Rithmic API is 10 cents, with a minimum of $100 per month, with no cap.
If I remember correctly, the CQG API has no per side fee just a flat rate of about $1000 per month and TT is 30 cents per side with a minimum of $400 and a cap of $1800.
