CAX seems to be defunct as it vanished from vcap's website, which is peculiar b/c they seemed to invest quite a bit into it. Another aggregator presumably similar to CAX is Integral's FX Grid: http://www.integral.com/products/fx_grid.htm
I'm sure there are some insitutional guys who use the futures, but they are less liquid than the spot. The big guys have relationships with many large institutional liquidity providers in spot FX, and will either ask for a price in size for a long term position (which the bank trader will quote and spread the risk between their spot dealers and the interest rate risk component) or will call out to different liquidity providers to do partial fills. I believe the latter is less common than it used to be. As another poster pointed out, wherever you get a fill on will affect offering prices at other venues. The LPs are providing you a service and the best way to burn bridges is to tell them that is your full size, they quote you, and then you run that size to 3 other venues after you get filled, making their job harder. The hedge guys often have a longer term macro view - better to take the trade to a trusted LP who will charge you a wider spread, but will give you the deal, than to try and work it yourself. As an individual trading up to 100 mio, when you get to that size, you either intimately understand where the market can take size or you get screwed till you learn. If you can read the market far enough in advance to justify that size, you know two or three locations to scale into your position before the move really kicks off. The last thing you want to do is chase a rising market with size...you need to accumulate before "trends" and sell into rising prices to get decent fills. You need to move out timeframes when your size gets large. The funds have to work orders for days at a time to get acceptable prices. You'll hear some of the bigger guys talk about the cost of putting capital to work during the first month of their fund, etc. You can't expect to establish massive positions in one go. That being said, you'll get as much as you can afford when you're wrong.
1. Stick a 100 lot limit in crossing the best bid / offer in front month 6E after 7.30 London time and see how you get filled. Be aware that if you do this with say 250 lots and trade the level out it will affect pricing in other venues also - as has been pointed out by someone more familar with this than me. No advantage in trying to do some in spot and some in futures. Japanese Yen futures are liquid, but not pound. The pound futures are really 3-4 wide in this sort of size - you'd be better off with a decent spot setup. 2. Would depend on the relationship you have with the LP and how you are trading. I can't give you specifics as I've never done this. 3. The quality of execution on EBS will depend on how you are set up and who is quoting you. So it appears your best option is to job in via IB or futures the times you can scale, but have access to the full quote from a bank the times you need the trade done immediately. The bank will charge you an extra spread for getting the size on. I wonder if it would not be as effective for you to take the first 25 close to the market - 1 point or so on Euro and pay up on the rest? You may get the remaining 15 or so 2 / 3 points higher for buys. As you'll know there are times you can scale in without the market getting away from you. The times you can't best just to pay up, as that is what other participants will be doing. If you are correct on this you'll still get most of your size on in time. Think about who is providing the prices you see, and how other large particpants get size on. You have distinguished between times when you can get it on in slices and times when the market will get away from you. In the latter case you need to pay up. Good pricing relationships will help with this, but you still need to pay up when the market will get away from you. The bank quoting you the deal in size is in the same position, and it will go against their book most of the time if you are right. I'll give you an example from an exchange traded market. Friday's natural gas. There was no meaningful supply left to enter the market. Sufficient inventory had been accumulated the prior day and the inevitable result was higher prices. Large players can read this. The objective is then to get as much as they can done while there is still some supply. Between 09:30 and 09:45 the remaining supply was absorbed. Traders wanting to establish or increase longs at this point have no choice but to pay up. A trader swept the book for 200 lots. Non marketable limit buys would not be filled at this stage, as there would be no more forthcoming aggressive sell orders. The only choice is to pay up. The trader got them all done within 10 ticks, and an average of 6 points away from the inside market at the time she swept the book. This is one of the times you need to pay up. If you put in an order and get 250 lots done in Euro, and need to pay up 3 ticks to get the other 250 done, there is no harm in doing this if you understand that is how you need to get them. In gas you had some time to get smaller lots filled after the sweep but you would have needed to pay above 3.975. Other participants are still trying to get long and add, so paying a wider spread to get the size done earlier makes sense if you can read the condition. Same goes for FX. Access to good relationships with liquidity providers can help a great deal, but in the end you are competing with other participants who are all after the same side of the market and will set their orders / quotes appropriately to the condition. I'm sure a little bit of the granny and eggs here, but certainly more to getting size on than the venues you are trading, and may be useful to others also. Do get back to us with your results, I'd be interested in seeing which approach you decide on.
traderhf, it seems clear that you are not yet trading in size. Therefore, I suggest this approach. Stick with IB at first since the spreads and liquidity are good, and it is easy to trade with them. You can, as another poster suggested, get them to raise your limits, but it doesn't really matter. Then, when you start running out of liquidity at IB you can add EBS and Reuters. Note that they are both expensive and take a long time (weeks or months) to establish. You have to have them both if you want to cover all of the majors. I find that I am willing to trade up to about 30 million at IB. Beyond that, I need other venues. To clarify an earlier point, yes, you can sometimes get a large trade such as 20 million done at EBS, but that is not the rule. More often you will get partial fills of much smaller size. It all depends on the state of the market at the time. Advantages and disadvantages of some of these venues: IB -- best spreads and liquidity, in general, in all pairs. Price improvement. Last look applies. Real-time, correct margin calculations, which none of the others have. EBS and Reuters -- very good liquidity, but only for a few pairs. Expensive to maintain. No price improvement, no last look. HotspotFXi -- worse liquidity, no price improvement, but no last look (I think). Currenex -- worse liquidity, but can be good at times. Price improvement, last look.
For comparison, here is a screenshotwith vwap of london capital group from last week (they go through jpm). Cant really comment on fills for that large size tho.
ccooper/Blotto/etc - if you have knowledge of them, could you also share advantages/disadvantages of FXall, Accelor/FXall, and Baxter-FX?
Blotto: elaborate please. You got any non-public information about them? Are you saying they make their own markets?
The screenshot show the qty is 1,5,10,15.......,that is not a real ecn platform with banks. There should be lcg mark on the currenex screenshot. I think this is not a screenshot of lcg currenex