LMAX inside spread liquidity

Discussion in 'Forex' started by FutureScalper, Aug 6, 2014.

  1. Anyone who is using LMAX we're searching for
    information on wholesale liquidity, lot sizing
    and fill probabilities.

    Currently using Dukascopy which is a great retail
    venue, but its claims of wholesale fills are, from
    a practical "real" trader perspective, false and
    misleading. We want them to represent our orders
    on a "real" MTF "exchange" rather than relying on
    the miserably low liquidity which their internal
    brokerage clients offer for wholesale fills.

    So any info on LMAX small-to-medium lot size liquidity
    for "minor crosses" on LMAX (not "exotic crosses")
    would be greatly appreciated. PM's are fine, but
    sharing with the forum is better...

    We're chasing up the Dukascopy management chain
    for some real answers, and would hate to have to
    code to FIX but if that's what's needed, then it
    has to be done.

    HyperScalper
     
  2. Hey Pippi,

    Thanks $1M for that !! Although it doesn't say
    how much Retail or Market Order activity, it's nice
    to be able to see it and compare with Dukascopy.

    So we're telling Dukascopy that "technically" yes
    they offer "wholesale" fills, but that they are so rare
    it is really misleading, and useless for serious trading.

    Only with the wider Forex crosses, like GBP/JPY
    in the "minor cross" category, does it really make
    a difference. You really need non-retail buying
    power to compete in those currency pairs.

    If you're trading EUR/USD and have to pay a 0.2-0.3
    pip spread, doesn't make much difference. But on
    a minor currency cross with a spread of 3 pips, most
    of them can't be scalped without some wholesale
    fills.

    Also, since we have a Java API, we can "graft" the Java API
    for LMAX into our complex software with minimal
    disruption. But the real question is: Just how much
    liquidity is in there? No way to know, except to do all
    the work, or to ask someone who is already doing it,
    to get a feel for it.

    HyperScalper
     
  3. What do you mean by "wholesale fills". Its a straight up central limit-order book, there is nothing more to see/know really.

    Or do you want to see trading activity/T&S-data? It is published on Reuters only (ticker EURUSD.LMX for example) - unfortunately not available over api or fix. Average daily volume around 8 to 10 bn across all symbols apparently, so they are still small in comparison.
     
  4. Well, I'm just saying that "wholesale fills" are a function of participants who are
    using Market Orders, mostly. Those Market order sales will hit Best Bid, and
    use size on lower tiers to satisfy the Market order lot size. Isn't that true? So,
    very simply, it depends upon the population of more "sloppy" retail participants
    who are less concerned about price, versus those who are posting to the Book
    and waiting for a match.

    Clearly, watching crosses such as AUD/CAD, I am seeing better Retail spreads
    on LMAX, thanks to your link !! than are quoted on Dukascopy. So this inclines
    me toward LMAX either for 1) better retail pricing, and 2) hopefully, the possibility
    to be a "liquidity provider" and get improved pricing that way.

    HyperScalper
     
  5. Surfeur

    Surfeur

    FutureScalper,

    How you manage your strategy if you have filled on your sell (filled on bestask) and if you are not filled in the next minutes (or seconds) on the bestbid and the market don't go in the good way ? it's very a mistake for me :confused:
     
  6. I believe you are thinking of the expectation of "instant" BuyBid/SellAsk/Flat and
    therefore making the spread in a single shot. This is not my objective.

    Correct, you cannot guarantee a "timely" fill when working in a more "wholesale" mode of operation. That is why "retail" fills exist, so that you can almost
    guarantee a timely fill, but you pay the spread to gain this "instant" fill.
    Most traders fall into this category where they are trading for multi-pip
    targets, and are not trading with as much precision as someone who seeks
    to gain price advantage through Bidding and Offering as a "liquidity provider".

    In my case, I use multi-entry position trading, so on each Entry and on each
    Exit, we seek to gain price advantage by making some or all of the Spread
    through "wholesale" fills. Such a strategy, of course, needs to cater for the
    problems of partial fills and much more dynamic position control than the
    traditional Buy Market and Sell Market would have.

    HyperScalper
     
  7. Surfeur

    Surfeur

    thanks you for your reply but it's too abstract for me :p

    It's a grid trading but in the orderbook on the "sell side" - liquidity provider ?!

    You need a big capital for manage many orders.
     
  8. londonkid

    londonkid

    hopefully I can help. For my personal account I mainly use IB but I also have an LMAX account. Both are fine for me since I generally hold for 30 mins up to days and dont trade size. FYI I enter using a market order and exit on limits and I only trade the majors.

    anyways I am not sure exactly what you are trying to achieve but you mention 'wholesale' fills. Wholesale fills are anything above 1m - 1 lot = 10 retail lots. If you are trading and competing at a wholesale level then you really need a prime broker relationship and that will give you access to one of the major venues. Here is a list of venues i had a while back:

    • 360T
    • CitiFX
    • Currenex FX
    • Deutsche Bank autobahnFX
    • Digitec D3 Streaming Interface
    • ICAP/EBS
    • ICAP/EBS Live XML
    • FXAll Accelor
    • FXAll Relationship Trading Customer
    • FXall Relationship Trading Provider
    • FXCMPro
    • GAIN GTX
    • Goldman Sachs Electronic Trading FX
    • Hotspot FXi FX
    • Hotspot ITCH
    • HSBC FX
    • Integral FX inside
    • LavaFX
    • Market Factory (FX Enhanced Market Data and Trading)
    • Morgan Stanley FX
    • Nomura FX B-2-B
    • UBS FX2B FIX

    You need liquidity relationships with the main players if you are trading wholesale and at the PBs call this 'relationship pricing'. You wont have these hence you get a prime broker and use their relationships. Trading wholesale at an even larger level is about liquidity relationships.

    I have used integral before in the past when I was doing more volume. I have attached a screenshot i took in 2012 showing the cable book. If you look at the book you can see the best bid offer is inverted with Citigroup 14.7 bid Morgan stanley 14.6 offer. You will notice though that only 0.3 lots are available at that price via Citi = 300k which is chump change. You can see from the book that if you are clipping 10 lots = 10m the spread is 1.0 pips wide. You will also see that different banks have different liquidity feeds, JPM are showing 3 in the screenshot but they will have many many more feeds. They can offer you a better feed depending on how much you are going to clip and your strategies, they dont want predatory flow for their best feeds. If you are point and click they will likely give you a reasonable feed.

    For one of the major prime brokers you are normally looking ata $1m deposit, maybe they will do $500k depends on your volume. For less money you can go to a 2nd tier prime broker like FC Stone, they should get you started for $100k - $200k ball park.

    Commissions depending on volume but expect to pay $3 to $8 per million per spin.

    Good Luck.
     
    DrNo likes this.
  9. Hey, you guys are overly complicating things here.

    Put very simply, LMAX provides an "exchange" where
    huge, medium and small liquidity providers can all Bid and
    Offer using limit orders.

    If I want to Buy now, immediately, then I have to take the
    Best Offer price. I am buying "retail" and I am paying the
    spread.

    But if I am not in a hurry, I can join the Bidders, or even
    bid slightly above the currently Best Bidder. IF anyone
    sells to my price, which will happen if that person uses
    a Market Order to Sell, then my Bid will be satisfied at a
    much lower price.

    This is the essence of gaining "price advantage" by Bidding
    to Buy, rather than "hitting the Offer to Buy (retail)".

    It is rare that relatively small traders have an opportunity
    to compete on a "fair" exchange in Forex. But LMAX is likely
    to be one of the first to provide this to smaller traders.

    So our trading company will have a Live account opened by
    end of next week, and I am converting our scalping software
    from our Dukascopy implementation to LMAX. Fortunately,
    as Dukascopy's API makes good use of Interfaces in Java,
    and LMAX is also a first class API design; this conversion will
    be possible through minimally changing our core software
    platform, HyperScalper.

    I'll be sure to report back what we find, but it is looking like
    for "minor Forex crosses" that LMAX offers spreads that are
    sometimes 2/3 to 1/2 that of Dukascopy. The CRITICAL factor
    will be how much "retail activity" is on the Exchange, which
    will be able to satisfy "us liquidity providers" seeking to gain
    price advantage through competing with others on the
    limit order book :)

    We are finding that Dukascopy is relatively "dead inside the spread"
    and are actually speaking with the COO on Monday to complain
    about it; but in the meantime, we will be chasing "liquidity inside
    the spread" at LMAX. Can't do that with Demo, so have to establish
    a Live account...

    powered by HyperScalper
     
    #10     Aug 8, 2014