Looking to get started on the API - HFT trading of ES futures?
Thinking about the following features:
Thousands of trades in a day
Low latency & the fast fills - Rithmic is the best choice?
Anyone tried Rithmic Diamond API? and their hosting?
Contingent orders (long only): buy with oco (stop and profit take orders). Basically three orders submitted at the same time. The first/initial order should fill or kill . Stop/Take Profit(Limit or Stop Limit or Trailing stop on Take Profit) will be waiting on the first buy limit order with type Fill or Kill.
If the buy is not executed/killed/cancelled the contingent orders will be cancelled.
If the fill or kill is available here, I don't have to manually cancel them.
On the contingent OCO orders, can we use stop on ES futures around the clock or only regular trading hours?
Can we expect around 20% fill rate on the buy limit order on the last traded price (from the tick stream or time & sale.. typically I see 20+ trades on the same tick price.. )
Is there any other order management ideas?
Where to read about order management of the HFT algos?