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Why is AMP Futures or CQG holding my market limit order for so long?


#1

I have a buy limit order at ASK. After AMP received the order and cleared it, it held the order for 241 ms before it sent the order to CQG. From step 3 to 4, it took 241 ms. See line 4 of the image.

Is it AMP’s fault or CQG? After I sent the order, there is nothing else I could do, but wait.

Why would they hold my BUY limit order (at ASKing price)? That is basically a market limit order.
Btw, I have more of these trades. I am just showing one example here.

I have a colocated server in Chicago with <1ms ping with AMP Futures Metatrader server.

I also used the command OrderSendAsync to send the order.

Here is what the help file says about OrderSendAsync.

> The OrderSendAsync() function is used for conducting asynchronous trade operations without waiting for the trade server's response to a sent request. The function is designed for high-frequency trading, when under the terms of the trading algorithm it is unacceptable to waste time waiting for a response from the server.

Just so you know, I am just doing scalping and not HFT. Metatrader is not the right platform for HFT. I started looking into R|API to speed things up. Metatrader may not be good for scalping. If only there is another broker with a better implementation of metatrader, I do not have to give up my metatrader programs.


#2

As per AMP’s inquiry and reply:
1st - 2 lines are local MT5 terminal response messages. (not just the 1st line). After the 2nd line >> Line 3 (line 3 - is the time “241 ms” from the MT5 terminal to the AMP/CQG/MT5) the order is sent/received at AMP/CQG/MT5 environment.

MT5 terminal processes orders in sequential order.
The “speed time” from the MT5 terminal >> 1st order is what took the bulk of the transfer time - 162.77 ms
This is where the initial bulk of the total “speed time” lies, all the other 4 orders processed after this 1st order took only approx. 80 ms

1st order - transfer time from his MT5 Terminal to AMP was 162.77 ms
2nd order - transfer time from his MT5 Terminal to AMP was 203.89 ms
3rd order - transfer time from his MT5 Terminal to AMP was 220.74 ms
4th order - transfer time from his MT5 Terminal to AMP was 228.08 ms
5th order - transfer time from his MT5 Terminal to AMP was 243.23 ms

You sent 5 orders and total time MT5 terminal spent to send/process all 5 orders to AMP/CQG/MT5 environment - was 243.23 ms

What is the Chicago colocation you are using? The MT5 native VPS?
@Kiks thank you for your question.

Thank you,
Matt Z
Optimus Futures Support


#3

Hi Matt,

Thank you for getting the response from AMP. I am just trying to understand why MT5, known as a very fast platform (actually designed for HFT) , suddenly is very slow.

Let us assume it wasn’t an algo generating the order. You are sitting there and ready to order with your mouse.
Line 2 represents your “mouse click” to BUY LIMIT.
What else do you do as the buyer? You wait until you get the deal confirmed.
That’s lines 3 to 6.
For all you know, after you clicked your mouse, your electricity went down.
Are you still messing around with your mouse without the electricity? No, you can’t. Everything is in the hands of AMP/CQG/CME now.
Would they still handle your order? Of course!
That’s where lines 3 to 6 come in.

With algo trading, here is what I think happened.
Line 2 - Algo software sents an order asynchronously.
For all we know, I could have unloaded the software and shutdown windows, all programmatically, right after sending the order. I don’t care, I am sending the order and then shutting the desktop. We can do that programmatically.

Line 3 - AMP received it. Examined it if the order type is valid (buy limit). If the symbol is valid (EPU8). If the amount is valid (2853.50). If there is money in the account to cover the margin required. If there is a problem, it would reject the order and that’s the end of it. It is not necessary for my desktop computer to be hooked up and listen further to their messages.
For all you know, I have another connection on my iphone watching the trade with CQG Trader. And manage the trade on my iphone.

Line 4 - finally AMP is happy and the order is good to go. Sents it to CQG.

Line 5 - CQG sends the order to CME so they can put it on their limit order book.

Line 6 - CME fulfills and confirms


#4

According to TCPview, my terminal.exe is connected to AMP’s ip 76.-.-.-.


#5

Here is the ping and tracert from my colocated server to that IP address. I do not see any thing above 1 ms.


#6

Here is a study done on how fast MT5’s asynchronous trading really is. Very impressive.

Btw, I received an email from AMP support claiming that they provision 32 virtual machines per VPS server. That’s overkill. Theomne’s VPS only has 4 virtual machines per server.

I also subscribed when I was first starting with AMP VPS for $99 just to see, but it was slow. Maybe I should have moved up to their $299 vps instead. But I’d rather use a dedicated server for scalping.

Anyway, I do not think colocation is the problem in this MT5 problem. And certainly not MT5 or my program. In my estimation it is somewhere in their backoffice clearing system that is slowing the process.


#7

@kiks we sorry for this frustration you are experiencing with MT5. AMP was able to respond right away and provided us with the explanation we attached above.

It is clear as the sun in the sky that you are an extremely savvy person when it comes to technology and execution. Also, once in a while we come across traders as yourself who may even know more about the infrastructure of hosting environments that our staff does. Just being honest that our level of service and commitment to helping traders is high, however, we rely on 3rd party data feeds, FCMs and other partners for execution. Even the FCMs themselves rely on their partners (hosting, data feeds, etc) for latency and execution.

Having said all of the above, we do not know whether you are testing a demo account or a real account. Maybe the demo server is slower than the real one? There are way more demo traders than real traders in most trading environments. Therefore, latency could be an issue.

Second, we do know the capabilities of MQL and it’s advantages for futures because again, MT5 is a relatively new platform to the Futures assets, so when you say it was built for HFT, we can not confirm or deny that.
We find that the word “HFT” is being thrown around for those who trade frequently when in reality it is a reference to speed, not the frequency of trading.

If your strategy is truly time sensitive in milliseconds for CME Group products, you need to host this is Aurora, get a direct API connected to your code and device. We have members who even hosted their own equipment there. Both AMP our clearer and Optimus can assist you to get there. We are not here to promote one provider over another, but Rithmic is a consideration for such an operation. They service, retail, institutional and prop shops.

Finally, we encourage our customers or potential customers to always seek those strategies that could be maxed out with a given latency and cost of execution. They both realistically must match any strategy built.

Thank you,
Matt Z
Optimus Futures

There is a substantial risk of loss in futures trading. Past performance is not indicative of future results.


#8

Thanks Matt.

The example I gave was a trade on LIVE account.
I am not into HFT trading. I just want to understand why it took 241ms for their server to respond.
I sent an asynchronous Order. Meaning, I am telling AMP’s server that I do not need for them to respond to my Order command.

According to LIVE tests conducted by Metatrader, it would take .09 ms on average for an asynchronous Order to get filled. Average of .09ms is far from 241 ms.

I’ll email you and ask for guidance. Thank you.


#9

.09 latency is very low. It is subpar millisecond. It would be interesting to see what asset class they measured it on. I do not think that AMP intercepts any order rather the delay could occur as a result of risk management on the CQG side. Again, its an assumption, not a conclusion.

I look forward to your email and discussing things with you. I am interested in working with you and finding a solution for your futures trading methodology.

Matt Z
Optimus Futures Support