Orders in the JForex LIVE version have a much higher latency from created to filled status than the DEMO version has. It is so slow one can see the difference sometimes visually. The probability of slippage rises therefore immensely.

We tested LIVE and DEMO account trading latency with a very simple program, find the source code below and the same compiled version attached. It does not trade itself.

You can use this program to masure the time between order status CREATED and order status FILLED. The program calls this JForex Delta.
It works with any manual or automatic order creation. Therefore you can just press the red bid or green ask button and you get a result.

While a demo account has a JForex Delta at 62 ms in average, e.g. after 7 trades @market 0.001 Mio
2011-05-24 14:35:09 EUR/GBP order ID = 21286061: JForex Delta = 68 ms, in average[7] = 62.0 ms

a live account has 540 ms in average! E.g. after 7 Trades @market, 0.001 Mio
2011-05-24 13:47:24 EUR/GBP order ID = 5921730: JForex Delta = 498 ms, in average[7] = 540.0 ms

You can repeat this test again and again the values are similar.
Some single values were even higher than 5000 ms (!), which we measured on Friday. All orders were @market and they were created manually by the JForex red and green order buttons.


It looks like the latency derives from the trading server.
Why does it take so long to fill a market order?
How can we speed up the order filling?


Who had the same experience?
Support! Please help us, this latency cost us about 1-3 Pips on every trade!
We lose money with this latency, although our manual trading strategy is beneficial.

/*     
 * This is a test programm only, do not use for trading! 
 * !!!! It measures latency time between creation and fill for any order  !!!!
 * It does not close trades, but a stoploss is used
 * 
 * The following time is analysed
 * JForex Delta:    this is the time between an order is created and filled. 
 *
 * (c) Stash GmbH München
 *     www.stash.de
 *     Author: Bernhard Schicht
 */

package jforex;
import com.dukascopy.api.*;

public class LatencyTest5 implements IStrategy {
   private IEngine engine;
   private IConsole console;
    // accumulate JForex delta latency times
    private long accJForexDelta = 0;
    // count elements for average calculation
    private int deltaCount;
    public void onStart(IContext context) throws JFException {
        this.engine = context.getEngine();
        this.console = context.getConsole();
    }
   
    
    // print time after order is filled
   public void onMessage(IMessage message) throws JFException {
        // if order is not filled return
        if (message.getType() != IMessage.Type.ORDER_FILL_OK) return;
        // search for the right order
      IOrder order =  message.getOrder();
        // creation time of DC order
        long timeOpenCreation = order.getCreationTime();
        
        // get filltime of DC order
      long timeOpenFillTime = order.getFillTime();
        long jForexDelta = timeOpenFillTime-timeOpenCreation;
        accJForexDelta += jForexDelta;
        
        deltaCount++;
        double stratJForexAverage = Math.round(accJForexDelta/deltaCount);                    
      p(order.getInstrument().toString()+" order ID = "+order.getId()+": JForex Delta = "+jForexDelta+" ms"+", in average["+deltaCount+"] = "+stratJForexAverage+" ms");
   }

    public void onAccount(IAccount account) throws JFException {    }
   public void onStop() throws JFException {   }
   public void onTick(Instrument instrument, ITick tick) throws JFException {   }
    public void onBar(Instrument instrument, Period period, IBar askBar, IBar bidBar) throws JFException { }
    public void p(String text){
        console.getOut().println(text);
    }
}

I have used the code on 10th June and today on the Live account ( 3 trades @ 0.003 mill.). On average there was a latency of 687 ms. Last trade had a latency of 1201 ms (ID 6183524). No test on Demo account.
I would be very interested in a statement of Dukascopy, what DK claims as standard latency.
What are your (DK) next steps?

On demo there is no real execution.
Actual execution takes time. This is the reason of the difference between demo and live.

Hi bernhard,

Have you resolve your latency problem ?

Use you a VPS in .ch ?

Regards
Ludo.

hi there..

I have also run the test so far mine has been...

2012-03-15 13:44:01 EUR/USD order ID = 51116005: JForex Delta = 261 ms, in average[9] = 498.0 ms
2012-03-15 13:44:01 Order FILLED at 1.30498 USD (#51116005 SELL 0.001 mil. EUR/USD @ MKT) - Position #22940EUR/USD
2012-03-15 11:33:33 EUR/USD order ID = 51102358: JForex Delta = 476 ms, in average[8] = 527.0 ms
2012-03-15 11:33:02 Order FILLED at 1.30589 USD (#51102358 BUY 0.001 mil. EUR/USD @ MKT) - Position #22940EUR/USD
2012-03-15 10:18:31 EUR/USD order ID = 51094368: JForex Delta = 417 ms, in average[7] = 535.0 ms
2012-03-15 10:18:03 Order FILLED at 1.3049 USD (#51094368 SELL 0.001 mil. EUR/USD @ MKT) - Position #22940EUR/USD
2012-03-15 10:13:31 EUR/USD order ID = 51094012: JForex Delta = 779 ms, in average[6] = 554.0 ms
2012-03-15 10:13:03 Order FILLED at 1.30514 USD (#51094012 SELL 0.001 mil. EUR/USD @ MKT) - Position #22940EUR/USD
2012-03-15 09:08:24 EUR/USD order ID = 51087724: JForex Delta = 476 ms, in average[5] = 510.0 ms
2012-03-15 09:08:02 Order FILLED at 1.30559 USD (#51087724 BUY 0.001 mil. EUR/USD @ MKT) - Position #22940EUR/USD
2012-03-15 09:08:24 EUR/USD order ID = 51087720: JForex Delta = 472 ms, in average[4] = 518.0 ms
2012-03-15 09:08:01 Order FILLED at 1.30559 USD (#51087720 BUY 0.001 mil. EUR/USD @ MKT) - Position #22940EUR/USD
2012-03-15 08:12:20 EUR/USD order ID = 51080249: JForex Delta = 565 ms, in average[3] = 534.0 ms
2012-03-15 08:12:02 Order FILLED at 1.30448 USD (#51080249 SELL 0.001 mil. EUR/USD @ MKT) - Position #22940EUR/USD
2012-03-14 16:24:20 Connected.
2012-03-14 16:24:16 Reconnecting...
2012-03-14 16:24:04 Connected.
2012-03-14 16:24:01 Reconnecting...
2012-03-14 15:05:19 EUR/USD order ID = 51008412: JForex Delta = 570 ms, in average[2] = 518.0 ms
2012-03-14 15:05:02 Order FILLED at 1.30318 USD (#51008412 SELL 0.001 mil. EUR/USD @ MKT) - Position #22940EUR/USD
2012-03-14 14:46:18 EUR/USD order ID = 51005307: JForex Delta = 467 ms, in average[1] = 467.0 ms
2012-03-14 14:46:02 Order FILLED at 1.30627 USD (#51005307 BUY 0.001 mil. EUR/USD @ MKT) - Position #22940EUR/USD


just wanted to ask... does this measure the latency between the me and dukascopy or the latency between dukascopy and the marketplace?

Traded today the first time live with Dukascopy.

As a former Oandian, i can say there is not much difference. The Market Order execution is... ok..
A small latency is there but that normal.

Till we dont trade over a Deutsche Bank Terminal a small delay will always be there i think..

Hello barauskasjustin,

It's the latency between you and the marketplace. If you want check the latency between you and dukascopy try in a command cmd windows

ping 194.8.15.1

and tell me your latency.

62ms from Germany and News at the Moment..

Edit: Just talked with another Trader. Also from Germany. He has 31 ms..

Has anybody resolved this issue?

We need to speed up latency between us and the marketplace

what are the solutions

600ms per trade causes late opening and closing not ideal

If we increase latency between us and dukascopy, ie a close Server will this improve things

how to speed up between dukascopy and marketplace?

regards

Adding to your point,
My ping from Canada to Duka server is 120ms. This is just a ping test. I still have not done a demo or live latency test.

My Question is: Is this 120ms included in the 500ms latency? If i move to a VPS close to Duka, how this would affect my execution latency on Live?

I am very curious to know because i am planning to migrate soon to Duka..

But speed matters the most for me.

I wish to keep it under 100ms max.

Thanks

No, the program measures latency time between creation and fill for any order only. So you have to add the ping time, because the tradingserver can start its creation process only after receiving your command to do so. The signal running time between your pc and the trading server equals round about the ping time, which you measured at 120 ms.



You will improve the (ping) running time by a VPS close to DC only. You might reduce it to 20-30 ms.
But the latency time between order creation and fill will not change, because this is on Dukascopy's side.

ok SFX reading your posts i think you are in a similar situation to us, we are finding flaws in indicators and the DEMO and LIVE differences

Hotspot + FIX protocol = 1-5 ms to get an order filled on a LIVE account

Dukascopy it seems the best you can get is 550ms which is very poor in comparison

causes great upset if your trading small timeframes

You can get around 15ms from commercial from you to DUKASCOPY

but DUKASCOPY to the MARKETPLACE seems to be around 500ms

If this is the case its awful and im moving as soon as i have enough to move to Hotspot

SFX how quickly are you getting LIVE orders filled?

what are solutions as we can ONLY improve us to dukascopy, dukascopy marketplace we cannot control

Regards

What about LMAX.

It is also very impressive compared to Dukascopy.

https://www.lmax.com/execution-performance