Arcade with on exchange access for Eurex

[fiftyfifty]

Hi

Am wondering whether any arcade has the option of trading through an on exchange box for Eurex? While the costs of this option may seem excessive for an individual, I understand that a good number of traders can log into the same box and therefore share the cost of it. Is there an arcade out there with this option or is it up to the individual/group of individuals to sort this out for themselves?

 

[Directional]

do you mean an exchange gateway?

 

[fiftyfifty]

Ok, sorry for it being unclear. I'm not certain of the official jargon for this. What I'm talking about is an arcade that has a rack with CPU in the Frankfurt data center, traders remote accessing into it for the UK or elsewhere. Basically your front end is in Frankfurt and you, sitting at your desk in the UK, access it through a remote VNC. This gives you quickest access to Eurex. Ideal for trading where the computer does the work i.e. auto-spreading, algorithm trading, market making. Not so good for things like scalping or manual order entry.

 

[Directional]

ok, I'm not familiar with this approach.

AFAIK, the way arcades normally work is that they lease a gateway from Eurex, which is basically a server that disseminates data and receives orders, dispenses confirmations etc. Its usually connected to the Eurex infrastructure by a leased line and is considered to be "exchange side".

I'm not 100% sure how the Eurex "hearbeat" works, but its some system of netting ticks and DOM updates that ensures that exchange-side network traffic is not too heavy and that all the gateways are in sync and receiving data at the same time.

Eurex historically has always netted DOM updates, but I did read something recently about a "premium" level of access which requires the gateway/user to have a much faster pipe to the exchange and in return they received every tick and quote update, which was supposed to be significantly faster than anything they'd done before now.

Still, Eurex can be notoriously slow regardless when they are very busy.

 

[fiftyfifty]

Two pipes come in from Eurex with quote prices etc. Two pipes take orders and fill info to and from Eurex. I believe Eurex will require a 20meg line for unnetted prices but this has been slow. Not sure if this is meant to have happened already.

Eurex does really slow up from time to time. Although they do admit to it (unlike Liffe), it doesn't really help any.

I've talked to one of the IT guys in my office. Have the info on it but it does seem like the decision needs to be completely independent of the arcade. Just thought someone might be offering it as an add-on.

 

[Directional]

did your IT guy know anything about the on-exchange stuff? I can imagine it'd be a good idea for doing algo stuff, and possibly auto-spreading. BUt anything requiring human interaction, you still have the delay in the connection back to your desk from the box, and of course, the biggest lag of all being physical hand-eye reaction time.

just as an aside, there is an interesting test of visual reflex time at this link: http://www.explorelearning.com/index.cfm?method=cResource.dspView&ResourceID=43

 

[fiftyfifty]

Ok, so the jargon being proximity hosting. Some places seem to offer it for volume algorithm trading but the volumes would need to be sizable for them to think about it so nothing aimed at the smaller volume autospreaders. Not to worry, will figure something out. You're definitely right about the less human interaction the better, would destroy the aim of low latency trading.

Right so if anyone knows of places offering it for lower volumes and non algo trading that would be great. If not, then cheers for the responses.

Here is an article that talks a little bit about it
Waters magazine - Trading Wizards

 

[maxima]

Basically your front end is in Frankfurt and you, sitting at your desk in the UK, access it through a remote VNC.

Imagine ideal connection - you-Frankfurt. DSL 20Mbps (It will cost a lot of dough but whatever). Size of data to receive at max (price) - 5 levels bid + ask + bid/offer move - 12 prices 4 byte each. 48 bytes.

Size of data to place an order - (roughly some text command say 20 bytes).

Roundtrip - 68 bytes x 8 bit = 544 bit. Considering your DSL is clean as a virgin it will take 0.00002593994140625 sec ~ 0.02ms

---------------------------------------

Here is VNC (no pro IT uses VNC anyway but that is different story - knee-made software from some university geeks)

the part of screen (providing other parts of the screen doesnt change) there the DOM is (or whatever tool you are going to use to place a trade) should have some size to make it feasible. Say it is modest 200 x 400 pixels. If VNC can employ 4-bit grayscale colour depth you need to send one way - 320Kbit and other way (mouse movement coordinates - providing VNC does it in an efficient way) - say you moved cursor 40 pixels and clicked to submit an order - 40 * 2 coord * 4 byte * 8 bit = 2560 bit.

Applying that on DSL speed we have - (320000+2560) / 2088960 = 0.153 sec

which is about 6000 times longer than raw data transfer.

You are dead as a trader by that time.

 

[fifty2aces]

Imagine ideal connection - you-Frankfurt. DSL 20Mbps (It will cost a lot of dough but whatever). Size of data to receive at max (price) - 5 levels bid + ask + bid/offer move - 12 prices 4 byte each. 48 bytes.

Size of data to place an order - (roughly some text command say 20 bytes).

Roundtrip - 68 bytes x 8 bit = 544 bit. Considering your DSL is clean as a virgin it will take 0.00002593994140625 sec ~ 0.02ms

Well for starters, DSL isn't an "ideal connection" - if you want maximum speed, then a leased line will be better. Also, you're using bandwidth to calculate ping time, which doesn't work.

If you imagine a waterpipe, bandwidth is how fat the pipe is, ping is how fast water gets from end to end. So if you have a fat pipe and a thin pipe, but both move at the same speed, they will both perform equally with tiny amounts of water, but with large amounts, the large pipe can fit more through at a time.

Also, a lot of debate about ping times and connection speeds is silly when it comes to manual trading, since human reaction time is about 200ms for reacting to visual stimuli, and this assumes no decision needs to be made. If no decision needs to be made, and you're just waiting for a level to hit, you'd be better putting in an order (limit or stop) in advance, which will execute before you've reacted anyway. If you do need to make a decision, you'll probably take quite a bit longer than 200ms.

As for VNC stuff, I think the real application there is for automated trading systems - youo run the system as close as possible to the exchange for low latency (unlike you, the computer can react fast enough that latency makes a difference), and use VNC to monitor it. Since you aren't making lots of real time trading decisions, the slight extra latency won't really be an issue.

 

[grantx]

Fifty2,

But how does one determine the adequacy of a connection, ie how much data is actually coming through vs how much data is actually sent (from the exchange, for eg)? This may also identify any bottleneck (?).

Grant.

 

[fifty2aces]

Well, you can use something like pingplotter to assess the quality of your connection (looking for low ping time and low packet loss), but I don't know how to judge a connection before buying it, if that's what you mean.

 

[maxima]

Well for starters, DSL isn't an "ideal connection" - if you want maximum speed, then a leased line will be better. Also, you're using bandwidth to calculate ping time, which doesn't work.

I meant SDSL in my calcs above.

Leased lines are ISDN and is a variation of DSL.

DSL is the best connection individual can have.

There are number of protocols out there. But the basics are the same. You can pass one piece of information at a time.

I calculated ping exactly how does it work. If you want to know more about how networks do work read IT books.

Network connection cannot be compared to a water pipe in the way you said.

20Mbps connection means exactly - 20 * 1024 * 1024 bit will be passed through in 1 sec

Means 1bit of information will be passed at the same speed as if you had 2Mbps. But 10bit will take ten times more.

Thinner or thicker your data is it doesnt change a thing unless you are passing chunks bigger than a bit.

Try to ping your favourite server with following commands then we can discuss it more if you still dont get the point

ping -l 1 xxx.xxx.xxx.xxx
ping -l 4096 xxx.xxx.xxx.xxx

I dont do classes sorry. But all of this probably is described somewhere in wiki, google etc. If you want to trade through water pipes though ask a plumber :clap:

-----------------------------
Other side of the medal.

The raw optical networks which can transfer more than a bit per time (if I remember correct STM-1 can transfer 256 bytes per 0.125 ms which gives as roughly 15Mbps.

In this case - yes you can squeeze 256 bytes of data at a same time as if you had 15 or 50Mbps connection (as a transfer unit is the same 256 bytes).

But that kind of network can be used by large telecoms only. This is employed by trading house Grant mentioned over day (and I was so excited about it). But..... they dont sell this to individuals and the line of this kind to Frankfurt cost probably 50 grand a month plus you need 500K infrastructure and few highly paid IT specialists... if you want to build it yourself...

Theoretically you can build a rocket using common sence and Bin Laden pocket book 'how to make a bomb from flour' but I wish you all the luck in this case.

 

[fifty2aces]

What about this: Ethernet | Leased Lines and Ethernet | Zen Internet

Also, I think you're overemphasising the importance of speed differences which can't be perceived by humans.

 

[maxima]

153 ms in my initial calculations comapared to generally accepted 200ms eye-hand reactoion means - your are losing one click for nothing. 153ms is something what you have to account if you are talking about high-speed scalping.

However I admit that there is a case of housing algo box near by the exchange which gives you a lot of advantage.

However - this is nothing to do with VNC and I seriously doubt that mere mortal can put (or buy a share or whatever) his box in Frankfurt at costs of few thousands.

And I seriously dobut that people who actually has successful algo for trading are part of this discussion.

Therefore I am out. :smart:

Need some home work to do for my trading. Education is not my business.

 

[grantx]

Fifty2,

Please refer to attachment re ping times. What does this show? Max can also comment despite being "out" (we'll tell you when you can leave).

Grant.

 

[maxima]

Fifty2,

Please refer to attachment re ping times. What does this show? Max can also comment despite being "out" (we'll tell you when you can leave).

Grant.

this shows that hop #6 on 3d pic is very busy (or interconnection between ISPs is very small).

there is nothing to compare to.

all ping tools use 32 byte by default. If you want to compare you ping same host with different size of data during few days and then gather the stats.

Internet pinging is like shooting wild geese while blind-folded.

everything what I said before was in 'ideal conditions' which can be implemented nearly by using 'dedicated' connections (like leased lines mentioned before) but there is no point to talk about internet (WAN) connections (which are outside of anyones control and can be measured statistically and very rough).

If your ping is routed through such nice ISPs networks like BT, Virgin etc then you are automatically screwed anyway.

I made 2nd connection to home when I started with IB just in case.

Still - the thread is about efficiency of hosting your algo box in very 'conditioned' networks. Billion miles away from public internet.

 

[grantx]

Max,

Where do all the IP's come from? #9 on the first box - I've got no interest in Heineken or theplanet.com (3rd box).

Grant.

 

[maxima]

Max,

Where do all the IP's come from? #9 on the first box - I've got no interest in Heineken or theplanet.com (3rd box).

Grant.

this is how the cookie crambles.

You dont ask bus driver why does he drive by Bolton Road. It just the way it is. And today it could be 56ms through Heineken and next second 256ms through Stella (because of road works or bus drivers went on strike and you have to use your grandma bicycle)

If you want full control - buy your own network (If you have few hundred millions to waste) :clap:

 

[grantx]

Max,

Sod it, I'll buy Eurex.

Grant

 

[maxima]

Max,

Sod it, I'll buy Eurex.

Grant

Yeah ! If you will be looking for experienced suit case (full of cash) carrier just give me a buzz!