Speed checking is pretty simple, can you catch any of theses Nanex lot s, and see that yourself did got it ?
(Nanex allow you to catch how execution proceed on lot s, on some exchanges, not every)
Nanex allow to know pending (non executed) bid or ask AND the exchange that hold it, more reliably that polygon
(that proudly said to deliver pico-second date of transact, but ommit to say that it require miilsec and expensive JSON format to get it (in short: your right! C ++ and binary are far more efficient, and an ancient art!)
Some time speed is not the issue because the order will stay long enough (couple of miilisec)
Some other time all happens in darkpool and your priority depends on how much cash you brought in ;-)
Some time luck is enough to compensate and your decision was just premature.
General rule,
- millisec range:? what are you doing here ? IB can't AT ALL be a solution for you
- second range: IB is OK but barely, the good thing is to compensate for lack of efficiency or their plateforme and bypass their ' algos' ;-)
IB is a JavaShop and Java is? pretty inefficient for perfs theses days.
BUT
IB is a good choice because of decent execution compared to their low brokerage fees,
Individual prefer platform like Ameritrade, safer and simple to use.
However if you intend to really do HFT , Expecting that server proximity is enough is not a safe enogh assumption.
Nothing prevent that IB server may have to connect to another one far away to grant your transaction in your account.
You need "Direct market access" , generally by finding an exchange that cheap enough to start with (couple of Grant/month anyway) BATS or alike.
Then gradually connect direct to Nasdaq then Nyse (or CBOE if you like Futures)
But "yes you can" do enough cash improving the ugly buggy and inefficient TWS. Bypassing Ibalgo and all this crop.
I wonder what you expect out of Nynex aside of a global understanding of sector rotation.
I also wonder how much you pay for Nanex ?
A decent span listneng to Nasdaq(with LII) + Nyse cost at least 1 Grant/month, does your algo pay back this extra charge cpmpared with TWS listening ?
?
