Imported from previous forum
I have scoured the message boards for informaiton on this topic, but can’t seem to find anything: has anyone ever run into a FIX message transmission limit per exchange (# of allowable messages per second)? For example, if we wanted to send 100 Stop orders for a given contract on the open, will our exchange reject some number of that 100 for going over the “exchange per second limit”. We’re told that it will happen, but I have a hard time understanding how algorithmic traders with high-frequency strategies are not completely frustrated by these kind of imposed limits. Any help you can offer is appreciated.
[ original email was from george wishart - gw@cameronsystems.com ]
Cameron Systems includes a Message Throttle for market destinations that have a mps limitation. I would be happy to discuss which exchanges this might apply to if you wish to contact me off-line.
Thank you,
George
I have scoured the message boards for informaiton on this topic, but can’t seem to find anything: has anyone ever run into a FIX message transmission limit per exchange (# of allowable messages per second)? For example, if we wanted to send 100 Stop orders for a given contract on the open, will our exchange reject some number of that 100 for going over the “exchange per second limit”. We’re told that it will happen, but I have a hard time understanding how algorithmic traders with high-frequency strategies are not completely frustrated by these kind of imposed limits. Any help you can offer is appreciated.
[ original email was from Daniel Saad - dsaad@transacttools.net ]
Wayne,
Many exchanges do throttle the number of incoming messages per second, sometimes by order type or message type, sometimes by message count overall. So while your FIX engine could throttle to avoid hitting the exchanges limits, that only addresses part of the issue. Our engine, for example, can throttle a given connection incoming or outgoing, and by messages per second or bytes per second. But that just pushes the throttling behavior to the other side of the connection.
We’ve found that users with the high-frequency strategies you mention will recognize that they are getting throttled, and add some application logic to reduce their messages per second while still getting their strategy done. For example, if you’ve tried to send 1000 quotes on an options series and you get throttled, you may recognize that the more recent quotes would really supersede the previous quotes and choose not to send them at all.
Of course, the brute force method is to convince the exchange to let you add another connection, but assuming that they would even allow that, it would only buy you so much time before you hit throttles again.
Daniel Saad
TransactTools-New York
www.transacttools.net
+1.212.542.8767 office
I have scoured the message boards for informaiton on this topic, but can’t seem to find anything: has anyone ever run into a FIX message transmission limit per exchange (# of allowable messages per second)? For example, if we wanted to send 100 Stop orders for a given contract on the open, will our exchange reject some number of that 100 for going over the “exchange per second limit”. We’re told that it will happen, but I have a hard time understanding how algorithmic traders with high-frequency strategies are not completely frustrated by these kind of imposed limits. Any help you can offer is appreciated.