Optimus Futures has been working closely with Rithmic for almost 6 years and was the first futures brokerage to integrate their datafeed into paper trading environments for Sierra Chart, Multicharts, MarketDelta and many other trading platforms. Traders clearly felt the difference in the quality of data and execution provided by Rithmic. So Matt Zimberg, CEO of Optimus Futures, invited Jonathan Walden, the CEO of Rithmic for a brief interview to discuss the role technology plays in today’s futures trading environment and how he envisions Rithmic’s datafeed to help self-directed traders achieve better execution.
[bctt tweet=”Rithmic Data Feed and Software: Review and Interview https://www.optimusfutures.com/blog/rithmic-data-feed-and-software-review-and-interview/ $STUDY #futures #trading”]Matt: Hello Jonathan. Thank you for taking the time to do this interview with Optimus Futures. You have built one of the fastest ways to execute trades via the futures market, so we wanted to pick your brains on a number of things. What changes have you seen in market data in the last few years? Is there more data coming out of the exchanges? And if so, why is this happening?
[JJW] Since I began working with real-time market data in 1988, the amount of market data sent by the exchanges during the trading day has been increasing and the rate of the increase itself has been increasing. During the New York market open in the late 1980’s through the early 1990’s, the rate at which market data was published from all US equity and options exchanges generally did not exceed 300 messages per second. By 2000 the rate had begun to exceed 100,000 messages per second. By 2010 the rate exceeded 1,000,000 messages per second. This year we found that the rate for Eurodollars futures alone sometimes effectively exceeded 500,000 messages per second.
There are many factors that underlie the increase in market data. The obvious ones are greater trading activity, availability and greater transparency of order books by the exchanges, more traders, improvements in technology and the ease of access to stable and inexpensive computers and networks and trading screens. However, in my opinion, the most significant factors are the increase in sponsorship by so many businesses of 401K plans and the increase in disposable income realized by home owners starting in the late 1980’s. Again, in my opinion, the excess cash realized by home owners was the direct result of the policy begun in the Bush (senior) administration (I think it was then) of funding the US government with short term debt. This caused interest rates in general to reduce, especially in the shorter term notes. Housing re-fi’s took off and homeowners found themselves with lower payments which meant two things: more taxes were paid to the government (without political wrangling) and more cash was available to the home owners. The home owners in turn often put their excess cash in stocks and in mutual funds – more trading and more market data.
Matt: Do you foresee any additional changes in terms of data in the years to come? Is there a certain technological trend that is associated with market data?
[JJW] More programmatic trading. I think that now it is relatively easy to program trading screens to place orders based upon market data. For example, our trading screen, R | Trader Pro, has made it very easy to configure Microsoft Office Excel to place orders into our system based upon market data obtained from our system. As more traders use programs to spot trading opportunities I think there will be more orders submitted and therefore more market data published.
Matt: How do you view speed as a factor of profitability? How can an average trader see the differences in terms of profitability, slippage and overall execution?
[JJW] For certain trading, given a large margin account, speed is all that matters. For programmatic (automated) trading, slippage can be reduced by locating the trading program relatively close to the exchange. For example, a trading program located in London that places orders on the CME may find that its P&L improves by a tick or two just by relocating to Chicago. The time it takes for market data to get to London and orders to return to Aurora (where the CME’s matching engine is located) can be as much as 65 milliseconds. The price of a future can move many ticks in 65 milliseconds so running the trading program in Chicago can reduce the 65 millisecond time to less than 1 millisecond. I would expect slippage to reduce significantly with such a move.
Matt: We noticed that your API is very flexible and adaptable to most 3rd party softwares? How you were able to achieve this?
[JJW] I agree that our api’s (R | API, R | API+ and R | Diamond API) are often thought of as flexible. I think of them as robust as the api’s they use (not available to the public) are even more flexible. When we developed R | API, R | API+ and R | Diamond API, we took into account feedback and suggestions and requests from customers and users. Our api’s are not everything that everybody wants, but they go a long way to providing what most of the programmatic trading community seeks.
Matt: Let’s discuss the CME data centers. Your trades are routed directly to the new CME center in Aurora while many other data vendors still route to Cermak, claiming most traders will not feel the difference. What is your opinion?
[JJW] I think that traders that place orders manually are not likely to experience a difference in order execution or P&L if the system from which they get their market data and to which they send their orders is located in Aurora or in Cermak. But programs that trade automatically will get about a 1 millisecond advantage by being located in Aurora, instead of Cermak, connected directly to the system from which they get their market data and to which they place their orders. That 1 millisecond can sometimes make a big difference.
Matt: Let’s discuss your API, the R | API+. What are its main features? What type of feedback have you received from the traders that have used it?
[JJW] As it reads on our website R | API+ is R | API but with access to the premium features of our market data and trading infrastructure. This means that a program written with R | API+ can place bracket orders, OCO orders, orders with trailing stops and can perform dynamic symbol lookups. It can also get market data history in the form of time bars, tick bars, volume bars and price range bars. Some FCMs charge more for use of third party programs that incorporate R | API+ but that has not stopped the increase in use of such programs. I guess that users find these features to be worth the extra cost, if any.
Matt: We at Optimus Futures were able to hook up Sierra Chart, Multicharts, and other platforms to Rithmic and they all worked flawlessly. Which brings me to my next question. What does a good software need to have in order to connect to Rithmic?
[JJW] I think the ease of use of these programs with our market data and trading infrastructure is a testament to their developers. With good developers and good software, just about anything can be done.
Matt: Let’s talk about your own trading screens, R| Trader and R | Trader Pro. There are a number of features that we really like, such as the ability to release trades in a specific time, the ability to open multiple DOMS, and Server Side OCO’s. Do you conduct ongoing research with your existing users to determine which features to add?
[JJW] We do not have any formal research in place. Most of the new features in these programs are the result of users coming to us and asking us to put in mechanisms that would help their own trading. Though we cannot promise that we will incorporate every feature in every request, we do incorporate many and we do encourage users to contact us with their requests. Of course, users should never disclose to us anything that they feel is proprietary or secret as all changes and enhancements to our software, even if suggested by others, remains our property and may become available to be used by others.
Jonathan, thank you again for taking the time to sit with us. We look forward to continuing our efforts and hope to grow with you and your company.
Optimus Futures, LLC offer Rithmic platforms via three clearing firms.
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