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Does anyone have any data on latency for trading equities over LEAN?
I'm engaged in a discussion about optimum latency targets for HFT strategies and MFT strategies. If a benchmark for HFT is achieved, then there's no problem at the MFT level. We've benchmarked 200ms latency as unacceptable. Are there any High Frequency traders out there that would like to share/brag about ther latency? I'm trying to get some sample data to use as benchmarks for internal improvement.
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Apollos Hill
Looks like noone ever responded to you. I have been looking into this lately. thanks for getting the research and conversation started. I think that latency wouldn't be a variable that we can adjust since we are all executing trades from QC. we arebeholden to whatever the latency is for their servers. Perhaps check your live trading logs , backtest logs, or look at the server you are renting . I"m using the low tier.Â
Jared Broad
What is your brokerage Mark? What orders are you placing?
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Mark E. Twiz
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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