Analysis LMAX feed 2021 New Hope
This is New Hope Inc. and today we are going to be taking about data feed Lmax. We communicate with our clients and many notice that our Lmax stream is much faster than those with whom they worked before. And this is really so: we have separate conditions connected, where we are one of the first to receive data “without processing before the general distribution of quotes” to clients.
Recently we were approached by a client who claimed that he would have Lmax much faster than ours. Allegedly, he receives data on the FIX API for $ 10,000 a month and this is the best product from LMAX. We asked him to provide access so that we could record data in real time and check it out. With his permission, we are publishing several examples where the test result is clearly visible.
ALL TESTS WERE CONDUCTED ON THE ONE SERVER.
Let’s analyze the received data in more detail:
On the left we see the data from our connection, and to the right of the FIX API client. We have found a place where there was a small change in price of just 0.7 pips in a short period of time. We have checked the quotes both on big news and on the closure of markets. The difference was always approximately the same.
On the left, it rises by 0.7 at 14: 30: 21.726. If you look in more detail, you will notice that the main price change was 707 ms.
On the right, the price changed at 14: 30: 21.751. That is, it is at least 25 ms faster (751 ms – 726 ms). And if we take into consideration the main price change, then this is 44 ms (751 ms – 707 ms). We don’t think it’s worth explaining that 25ms or 41ms is a lot for HFT trading.
Let’s look at another instrument – Tech100 (NQ, US100, NasDaq), where there was a clear trading signal.
To the left are quotes from our source Lmax, and to the right of the FIX API client. The price changed by 1.2 points. With an average spread of 0.5-0.7 for this instrument, this is a 100% signal for the robot.
Our price changed from 14: 22: 50.409 to 14: 22: 50: 461 by 1.2 points.
On the right, we see that the price changed from 14: 22: 50.452 to 14: 22: 50.562 by 1.1 points.
Now let’s see that our data was faster than the client data by 101 ms (562 ms – 461 ms). And this is without taking into account the fact that the price gradually changed over an interval of 53 ms in our data stream.
When we checked 2 data streams on the news, the lead reached 150 ms.
We publish this article to confirm the feedback from our customers. If the FIX API stream from the client was faster, then we would connect it immediately and inform the clients about it.
Also note that this Lmax stream is not so interesting to us. For over a year now, we have been checking, assembling and testing the new prefabricated Top of the Book stream. You can see more about this in the video on our YouTube channel. It is still not for sale and everything is also much faster than other streams, sometimes up to 3-5 seconds.
We wish you all a profitable trade!