Let's assume that you want to enter a 50mm EURUSD Long position in less than 5 seconds. All goes well and there is an open position of 50mm. Now what you do if the EURUSD Price is starting to go down and is moving against you? Do you wait and hope the Price will go up or do you get out immediately?
It's an article from Richard Olsen, creator of OANDA, he is also the co-authors of the first book about High Frequency Trading written 11 years ago when probably most of us didn't even knew what HFT is. He has done a lot of research, his reflection of the empirical side on the market are quite impressive. Here is the link: http://bit.ly/c1CSaL I don't know much about LMAX so I can't express any opinion. Hope it helps.
Would be very interesting to know what size moves EURUSD by say 1 pip nowadays during the European session.
Last look or not, their just an MTF/ECN.. the whole 'exchange' bit is just good marketing. Plus, the "general members" who stream prices to LMAX are some of the same banks and liquidity providers you'd find elsewhere. Seriously, look up their MTF website... General members provide passive liquidity, meaning they can't fill each other if their quoted orders match. That's no different than banks and LPs on a retail STP or retail ECN setup posting quotes and trying to capture retail order flow. I'm not saying they are a bad broker** I'm sure they are fine as far as brokers go.. but I'm just sick of people barfing up their marketing speak around the net without actually understanding what they promote. **and don't even start with me with "LMAX is not a broker", they totally are a broker in the legal sense if you have an account with them... and their reps have confirmed it with me in writing, again the 'not a broker on their site' is just their marketing spin.
The difference is that they are actually matching orders on-site like an exchange (price/time-priority) and not "route" out orders and just wait and see what comes back from LPs like MB Trading and such. This, and the existance of an actual rulebook, is a noteworthy difference in my opinion, and by and large constitutes what in general is expected of what happens on an exchange. Even tho, the term 'exchange' does not exist in the european regulatory framework. There are 'regulated markets' (=exchange, more or less), MTFs and soon to be OTFs. Lmax probably is not the right venue to get a 50mm order done quickly. But what i find funny is that when you look at the institutional level multibank platforms, i cant help but notice the distinctive lack of documentation about thier microstucture, order execution policy, let alone a rulebook. All you get is a salesrep telling you all the things you want to hear, but no clear cut docs anywhere.
Not quickly ? Why Not ? As quickly or quicker as your order would get executed on an exchange like the CME when you execute a cuurency future