LMAX really no last look ?

Hello,

Yesterday i have try a new algo on LMAX.... and I have a big doubt on the fact that LMAX is really no last look ..

I paste my log trade (any timestamp modification)

London dedicated server, i use Java API on real data.

Symbol FDAX CFD 4 lots lmax.

Date heure ; timestamp in ms ; last ; bid ; bidqty ; ask ; astqty

25/02/2015 19:10:32:234 ; 1424887832234 ; 11202.1 ; 11202.3 ; 12.0 ; 11203.3 ; 20.0
25/02/2015 19:10:33:034 ; 1424887833034 ; 11202.1 ; 11202.6 ; 12.0 ; 11203.3 ; 20.0
25/02/2015 19:10:33:534 ; 1424887833534 ; 11202.1 ; 11202.3 ; 12.0 ; 11203.1 ; 20.0
25/02/2015 19:10:33:566 ; 1424887833566 ; 11202.1 ; 11202.3 ; 12.0 ; 11203.1 ; 20.0
25/02/2015 19:10:36:965 ; 1424887836965 ; 11202.1 ; 11202.3 ; 12.0 ; 11203.1 ; 20.0 <<<< HERE BUY LIMIT IOC ORDER AT 11203.1
25/02/2015 19:10:36:965 ; 1424887836965 ; ------------------Open Limit BUY---------------------------- ; LOG
25/02/2015 19:10:36:965 ; BUY limit order placed at ; 11203.1 ; On Symbol ID ; 100097 ; Ask Quantity ; 4.0
25/02/2015 19:10:36:968 ; Buy Order Limit Placed OK in ; 3 ms <<<<<< HERE Order placed on LMAX in 3ms.
25/02/2015 19:10:36:971 ; OrderImpl{instructionId='4875512317389181424', originalInstructionId='4875512317389181424', orderId='AAGHAQAAAAJxQiRr', instrumentId=100097, accountId=XXXXX, orderType=LIMIT, timeInForce=IMMEDIATE_OR_CANCEL, quantity=4, filledQuantity=0, cancelledQuantity=4, limitPrice=11203.1, stopReferencePrice=11203.1, stopLossOffset=7.5, stopProfitOffset=7.5, commission=0} <<<<< HERE FEEDBACK of LMAX ORDER +3 ms , Order not filled so canceled.
25/02/2015 19:10:36:971 ; Return Cancel Order status ; 4875512317389181424 ; Cancel Quantity ; 4
25/02/2015 19:10:36:971 ; ExecutionImpl{executionId=849739243, price=null, quantity=0, order=OrderImpl{instructionId='4875512317389181424', originalInstructionId='4875512317389181424', orderId='AAGHAQAAAAJxQiRr', instrumentId=100097, accountId=XXXXXX orderType=LIMIT, timeInForce=IMMEDIATE_OR_CANCEL, quantity=4, filledQuantity=0, cancelledQuantity=4, limitPrice=11203.1, stopReferencePrice=11203.1, stopLossOffset=7.5, stopProfitOffset=7.5, commission=0}, cancelledQuantity=4}
25/02/2015 19:10:37:015 ; 1424887837015 ; 11202.1 ; 11202.3 ; 12.0 ; 11203.1 ; 20.0 <<<<< The price always available !!!!!!!!!!!!!
25/02/2015 19:10:37:034 ; 1424887837034 ; 11202.1 ; 11207.3 ; 12.0 ; 11208.3 ; 20.0 <<<<< Here UP... After 69 ms !!!!
25/02/2015 19:10:37:076 ; 1424887837076 ; 11202.1 ; 11207.3 ; 12.0 ; 11208.3 ; 20.0
25/02/2015 19:10:37:132 ; 1424887837132 ; 11202.1 ; 11207.3 ; 12.0 ; 11208.3 ; 20.0

I have many example like this.

Someone can explain to me ?

No Last look! or Last look on CFDs?

Thank you to enlighten me.

Regards.

 

What did LMAX say in response to your query?

 

No, I don't like lose my time with liars... i drop LMAX.

 

Seems a bit harsh.

I would have thought you have enough evidence to ask them a simple question why you were not filed at your requested price.

 

LOL, trade FDAX via LMAX? You need trade on Eurex via TT (this is fastest way in my opinion for non DMA trader on Eurex) from the Equinix FR2 server.

 

thx for you great idea but it's not the problem here !

 

Is this on demo? Another explanation might be throttled marketdata.

 

No it's real data !!

 

Have you considered that maybe you found a delay on the quote feed?

 

So let me get this straight.

You don't want to ask LMAX but you do want to ask ET users what is going on with your cancelled trade?

Maybe it was a technical error that really needs fixing. Maybe they do requote on CFDs.

If you really want to trade a German futures contract, why are you not doing it on the exchange itself?