Help me decide: down to Orc and RTS

macrotrader · Post by **macrotrader** » Sun Jun 12, 2011 11:19 am

6 years later... any views on ORC versus RTS?

Patrik · Post by **Patrik** » Sun Jun 12, 2011 2:32 pm

i picked orc when looking at the two. in my view orc is more of an engineering driven company and RTS more of a sales driven company.

you may want to have a look at tbricks as well. some people from orc that broke off and started again. some friends of mine use it and say good things.

macrotrader · Post by **macrotrader** » Sun Jun 12, 2011 2:33 pm

thanks. ORC costs more than 3000$/month as far as I know. How about TT and others? I have heard bad things about TT.

apine · Post by **apine** » Sun Jun 12, 2011 5:38 pm

TT is not directly comparable to Orc or RTS. while (i believe) you can trade options w/ TT, you cannot auto-quote options.

if you are not looking to auto-quote options, then that will open many other software packages for your use. what are you trying to use the s/w for?

macrotrader · Post by **macrotrader** » Mon Jun 13, 2011 2:44 pm

I need a simple FIX engine to maintain mid- to lowfrequency (minute to second timeframe) strategies in cash equity. No highfrequency/colocation etc.

HFT Trader · Post by **HFT Trader** » Mon Jun 13, 2011 3:40 pm

Woah, are you sure you don't actually need colocation? How closely have you looked at the effect of latency on the strategy? A good rule of thumb tends to be that if 50% or more of your signal is realized in 1 minute then co-location is probably necessary. If you're not co-located expect at least 500 ms latencies.

You have the latency of the exchange data to the feed consolidator, the feed consolidator to your trading machine, your trading machine's calculations, your trading machine to the broker's machine, the broker's internal checks, the broker's machine to the exchange gateway, then the internal latency of the exchange's matching engine.

500 ms might seem small if it's a minute signal, but remember most trading signals realize much like a logarithmic curve. Very fast at the beginning, then more and more slowly. Chopping off that first hundred milliseconds can have a material impact. Additionally if it's minute-wise you're going to be paying a lot of the total pnl in transaction costs (if taking liquidity in the spread, if providing liquidity in adverse selection, and both with execution fees). Even a 10% hit to signal strength could easily turn a profitable trading strategy into an unprofitable one.

If you haven't looked already, I strongly suggest that you backtest with a number of different latency assumptions and be sure that you understand the impact of latency on the strategy.

EDIT: Btw I don't think TT does equities...

Patrik · Post by **Patrik** » Mon Jun 13, 2011 5:06 pm

ok, not my area of expertise at all. some friends in that space who used to be orc customers moved to tbricks and seem happy with that choice fwiw.