Battle Of The Datafeeds

CQG vs Rithmic

Which Futures data feed is the quickest?

Today’s post is for futures traders. Specifically, I would like to talk about data feeds.

Have you ever wondered what happens when you click the mouse to enter an order? Where does the order go? How long does it take to get there?

Have you ever wondered if Broker A is faster than Broker B?

When you open a futures trading account, and the broker gives you a choice of routing providers, which should you choose? Is CQG faster than Rithmic? Is Trading Technologies faster than everyone? And what about TradeStation?

Or Transact, IQ Feed, Interactive Brokers, CTS?

Whom in the hell is the fastest? Does it matter?

The natural evolution of the Futures trader

As Futures traders, we all go through the same process. And we all ask the same questions.

Typically, we all begin with the assumption that we need the fastest futures broker. And then so we stumble through the internet, asking Google ‘long string’ questions like:

  • Who is the fastest Futures broker?
  • Which trading platform is fastest for Futures traders?
  • Is Tradestation faster than NinjaTrader?
  • Is Rithmic faster than CQG?
  • etc, etc, etc.

Google will then serve up a mishmash of differing opinions and articles. You will find articles and opinions on some of the most popular trading blogs like Futures.io or EliteTrader.com. But these are just the opinions of random people. Whom is correct? Whom is full of BS? Can we trust any of these random voices?

Additionally, Google will serve advertisements with tempting headlines like, “Ultra-fast futures trading only .50 cents per trade!” or “Strike like a Ninja with Ninja Trader” or “Trade with award winning TradeStation!”, etc.

It’s all really confusing. But one thing we know for sure, faster is definitely better than slower. Another thing we know for sure…everyone claims to be the fastest and most award winning.

Do I need a faster internet connection?

Another question that Futures traders eventually ask, “Do I need a faster internet connection?”

Does it make sense to upgrade my internet service from Ultra Fast at $49 per month to Super Ultra Premium at $99 per month?

Eventually, this leads to “Should I use a virtual private server?” Or, “Should I install my trading software on a virtual private server located at, or near the exchange servers?”

Once again, really confusing questions with no easy to find answers. Yes, you will find all sort of internet chatter on message boards and online trading forums, but is any of this chatter even real?

Do I need a faster computer?

This is another fundamental question that everyone wonders about. Do you need the latest Intel processor with 7-cores, or does a 5-core processor work just fine?

Is an AMD processor faster than an Intel processor? How much RAM or memory do I need?

Do I need to have the latest and greatest video graphics processor?

Should I have 6 monitors stacked into a fancy looking ‘war chamber’? Does this massive display of visual information help me to better understand what is happening in the markets?

Once again, more confusing questions. Our default position is YES! We need the fastest, the latest and greatest, the most hyperactive jet fueled technology to give us slightest edge.

An industry with salespeople at every level

The Futures trading industry is vast and murky.

There is a salesman at every level. The trading platform salesman promises his platform using C# is faster than the fastest cheetah. That you must be using C#, or .Net, or Java, or Easy Language, or Python, etc.

The broker promises that all orders are “exchange level” and “our data servers are across the street, next to the taco shop, within spitting distance to the Chicago Mercantile Exchange!”

The computer salesman swears that a $2,000 personal computer with two graphics cards and a multi monitor display is going to give us the decisive edge!

The indicator salesman promises an algorithm pulled straight from the mathematics department at MIT or NASA. The faster the trading indicator processing time, the more profitable the trading. So they promise.

The internet provider swears that your orders will arrive sooner to the exchange by simply upgrading the internet speed.

It’s all so confusing. And everyone has their hand out.

All of us go through the same myriad of questions, at least on some level.

Today, I would like to talk about how we can clear the clutter, and focus on the most important question. Who has the fastest data pipe?

What in the hell is a data pipe?

I want to break this down into the most simple and basic explanation. The data pipe is the connection between the computer that you are using to enter and exit trades and the Chicago Mercantile Exchange.

In other words, when you are sitting on your computer, and you hit the ENTER button…what in the hell is happening to your order? And who is actually delivering your order to the exchange the quickest?

Example: Suppose that you have an account with Interactive Brokers and you are trading the Emini SP500 futures contract. You place a trade on Interactive Brokers…how long does it take before that order is processed and appears at the Chicago Mercantile Exchange as a live order?

Or, suppose that you have an account with NinjaTrader and are also trading the Emini SP500 futures contract. You place a trade with Ninja Trader that is using the CQG data pipe, how long does it take before the order appears at the CME as a live order?

Should you even care? Is the question even important? If you are day trading futures contracts, this is absolutely critical.

Some might argue that it is really not that important. That a few milliseconds here, and a few milliseconds there is not going to make a big difference on any individual trade. However, I would argue the exact opposite. The cumulative effect of hundreds of trades, over a long period of time could be the decisive factor of whether you are a net winner or yet another loser. Speed matters.

And another question? Who is policing these data pipes? While everyone claims to be the fastest, with the lowest latency and lowest cost, where are the independent studies that either prove or disprove?

With no solid answers to these questions…none of these companies will be held to account. Why should data pipe ‘A’ invest in additional infrastructure or bandwidth without the proper motivation?

Beyond knowing who is the fastest, I want to know who is the slowest! And I want the world to know that they are the slowest. To embarrass them. And put them on full display, in a way that only TradingSchools.Org can.

Test Them All

This is where I need help from the audience. I need to know who has the largest market share. I need for TradingSchools.Org readers to complete the following survey. Which contains only one question…which data provider do you currently use? The survey will give me a priority list on whom I should be focusing immediate attention.

If you are not currently trading, then select the last used.

The Testing Procedure

If you are looking for an answer today…its not happening.

Instead, this test is going to take several months. But, I will be rolling out the results in monthly installments.

The reason this is going to take so long? I need a live trading account set up for each data feed. Simulators will provide no useful information.

Once the live accounts are set up, then I will be setting up automated order entry ‘bots’ that will trigger both limit and stop orders based upon predetermined price levels.

For instance, 5 trading machines with identical hardware and software, using the same internet connection will attempt to enter hundreds of trades over a sample period of time.

Each of these orders will be time stamped by the exchange. We will simply report who was able to register a working order at the CME, and the average time placement for each order.

At the end of the test, we will be writing an authoritative guide on which data feed is consistently the quickest.

Someone should have done this, a long time ago. Thanks for reading. Would love to read your opinion below. Am very curious who the audience believes is currently the fastest data feed.

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15 Comments on "Battle Of The Datafeeds"

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Tom
Guest
Great piece. I have been with 3, Rithimic , CQG, IQ .. Rithimic was best overall, but when volumes are high and volatility is nuts, they all bog down almostly identically. As far as hosting closest to the exchange … unless you get dedicated gear with multiple NICs, it wont make a difference. Many of these hosting services provide VM’s (virtual machines) which are segmented portions of large gear. So although you may be right next to the exchange, if your on a VM with 500-1000 other bozos, your throughput wont be what you’d expect being close to the exchange.… Read more »
Futures Broker
Guest
Emmett, good article, and many valid points. I would like to add a few things that your readers may find interesting as well. 1) A trader needs to distinguish between executable and non-executable data. For example. There is no point of comparing DTN IQ and Rithmic because DTN does not send orders to the exchange. This leads me to the second point. 2) When comparing between data providers, you need to consider the data you are receiving. In other words, latency and execution are important but the quality of the data you are receiving is equally important. The quality of… Read more »
Tom M
Guest

I’m with Matt on this one. The majority of data providers focus their efforts on being good brokers, having good trade execution…etc. But the quality of their data is an after thought.

Take IB and IQFeed for example. IB’s data is an aggregate Snapshot feed. Instead of sending every single trade to the tick with true volume, they send bundled data every ~250 milliseconds. IQFeed is the only (that I’m aware of) vendor that doesn’t try and cut costs on their telco fees and sends true data.

Rob B
Guest

If you are doing robot day trading then I would think you want to rent a server right next to the exchange to get fastest execution. Also in addition to the reasons you gave speed is important as it gets you into the cue faster. So on a touch you might get a fill while the person 2 ms behind you does not.

Most my executions these days is via IB so it will be interesting to see how it compares to the rest. Are you testing stocks and futures or futures only?

Futures Broker
Guest

If you are trading a “robot” I would use direct API, and yes, I would use a server. However, There are two locations in Chicago for hosting: Cermak and Aurora.
You need to decide where to host your method.

Thanks,
Matt Z
http://www.optimusfutures.com
There is a substantial risk of loss in futures trading. Past performance is not indicative of future results.

Mike M
Guest
I will tell you there are huge differences in latency issues when the market is extremely volatile. I’m sure there have been some of you that entered a buy order with an oco attached only to be executed on the entry then to not know if you have been taken out by your oco or what happened to the trade because the data feed got so screwy because of the speed of data flowing through the system. It feels very bad to know you went long only to find out 30 minutes later that the price is 8 points against… Read more »
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