From my email box:
I have been reading about the cme new facility in Aurora. Is there a big differenced in terms of execution between those who trade via the engine In Chicago versus Aurora? I am curious to know as to the technology differences as well.
Any traders who can share their experience?
Matt
I have traded extensively from a co-lo at the CME. My experience in this space was limited to fully automated trading systems trading ES and using only limit orders to fill.
My findings were that our orders would have a about a 50% chance of getting filled.
Whether this is this good or bad depends on your trading model.
I also think that there were other folks co-located at the CME that were getting their orders into the queue before me, but not by much.
Whether Aurora is faster or not, is imho, not very relevant as any time discrepancies will be so small that they won’t make a difference.
What I have learned from my experience trading CME co-lo is that for us, it is better to focus our technical resource on strategies and approaches where another few milliseconds wont make a difference.
As a small shop, we will never be able to compete in terms of speed with the larger shops, who have access to the better cages, who burn their algos directly into the firmware of their server’s chipset, and can afford to lean into strategies that have advantages only when they can be ensured that their orders are first in queue.
The real-world expense of this particular technology arms race and its hunt for zero-latency is very high.
If you are not one of the large banks and\or quant funds, don’t bother trying to compete with these guys on their own turf….you just simply won’t have the muscle.
Instead, I think that you can trade in areas of the market where they are not focused. You can pick up some of the breadcrumbs that they leave behind. There are so many nooks and crannies in the market – and all of them will never be filled.
There is plenty of opportunity in the market, but not in the near-zero latency space.