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How to understand the execution speed of LMAX?

beebird
Feb 05 2017 at 07:30
18 posts
Hi traders,

I am considering to use LMAX, since I have heard the execution speed is quite high.

On its website, LMAX says the execution speed is less than 5ms. Then how can I understand this figure?

If the latency from my VPS to LMAX server is 4 ms, then the time from order send to be implemented would be: 4ms + 5ms = 9ms. This calculation is correct?

For example, now I am using another ENC broker and when I see my trade records, it seems it takes about 600ms from sending OrderModify to receiving 'order was modified' message. Can I understand the 600ms will be 9ms if I use LMAX? or I am missing some key items?

Thank you.

BaldoN (BaldoN)
Feb 06 2017 at 09:18
522 posts
beebird posted:
Hi traders,

I am considering to use LMAX, since I have heard the execution speed is quite high.

On its website, LMAX says the execution speed is less than 5ms. Then how can I understand this figure?

If the latency from my VPS to LMAX server is 4 ms, then the time from order send to be implemented would be: 4ms + 5ms = 9ms. This calculation is correct?

For example, now I am using another ENC broker and when I see my trade records, it seems it takes about 600ms from sending OrderModify to receiving 'order was modified' message. Can I understand the 600ms will be 9ms if I use LMAX? or I am missing some key items?

Thank you.


Hello,
If the execution time between registering the order in the LMAX system and filling the order is for 5ms, and the latency from your VPS is 4ms until the order reaches LMAX system, then your calculation should be correct.

From the example above I assume that perhaps currently you are using MT4 - and due to the trader server in MT4 env. the latency for order execution cannot be less then 300ms - to 400ms. On top of this, if there is a bridge provider between your broker and the LP or LPs, then you will have some additional delay in terms of ms.

If you are trying to find faster execution, just have in mind that LMAX does not like post news trades (spike trades) or latency arbitrage. :)

beebird
Feb 06 2017 at 09:54
18 posts

Thank you Baldo. Helpful explanation. I understand a lot.
If that is the case, I think switching to LMAX has a huge advantage to reduce slippage. I am using a lot of stop orders and stop loss order. These seem to tend to slip a lot, and undermining my EAs.

[quote/]
If you are trying to find faster execution, just have in mind that LMAX does not like post news trades (spike trades) or latency arbitrage. :)


The comment above makes me a little concerned. If they do not like, what exactly happens? They would stop trading?


theHand
Feb 06 2017 at 11:45
365 posts
LMAX is fast, but apparently very expensive to hold positions over night. Might want to factor that in.
 

beebird
Feb 06 2017 at 12:55
18 posts
Thank you, theHand!

You mean, the overnight interest rate is high, right?
Then LMAX want traders to do shorter trades rather than longer trades?

theHand
Feb 06 2017 at 15:45
365 posts
I wouldn't know why they do it, it's just what they do.

I don't suggest over complicating the issue either. LMAX is expensive at night, but fast. This broker is this and that broker is that. You will never find the perfect broker.

Just choose what works mostly for you.

But honestly I don't see why speed is an issue. You never mention why. There is no strategy you could possibly have that requires that kind of speed or you'd be paying brokers $100 000 000 a year just for the feed. And if you could do that you wouldn't be posting here.

So why the haste ?

beebird
Feb 07 2017 at 08:24
18 posts
I did not know about the $ 100 M, for just for having feed. This is a huge money..

My strategies are kind of scalping, and takes 2-3 pips for profit. Using current broker, the execution speed is not super fast, may be due to Last Look, and there are about 1+ pips negative slippages for each trade in average. I feel if I can reduce this slippage, the profit of the strategies will be double, triple or more. This is the reason I am seeking the speed.


hedgescalp
Feb 07 2017 at 09:40
10 posts
Hello,

Getting direct account with LMAX is good but it depends upon your requirements. According to me open an account with LMAX has the only advantage of “ low Latency”.

However, open an account with LMAX is not an easy, they do have minimum capital requirement to open an account.
 In addition to that they do have maximum leverage restriction, according to what I heard from colleges, the maximum leverage they can provide is 100X in some currencies, 50X in some and 33X in some.

And also with LMAX, you wouldn’t get the custom trading benefits that you can easily get with the other forex brokers like higher leverage, Deposit bonus, Lower Stop out levels, low account opening balance requirement and lower swap charges.

beebird
Feb 07 2017 at 11:04
18 posts
Thank you, hedgescalp.

I understand I need to consider various aspects as you mentioned. At least it seems that low latency seems to be a firm advantage.

As for stop out, of LMAX, it seems to be zero when I see Demo.

theHand
Feb 07 2017 at 11:08
365 posts
@beebird

You can also reject a trade. Remember that. For what you're describing once your initial conditions are met I'd put the thing in a loop and check for the rest of the conditions before I send the order. Especially exits.

There's no reason why you can't code conditions, I want to be out at + 1 pip at spread x - keep trying till I get it.

O is your broker. They will never reject a trade or re-quote but their spreads are dynamic.

But I do this all the time, I tell the computer how I want to exit or enter, and you might find price moves around the levels all the time, doesn't matter, machine sits there and looks for it and when it's right it executes. You'll likely find what you're looking for doesn't just exist once, but many times before the market moves away from the level.

But I have to say on 2 or 3 second trades the broker makes more from it than you. Is it really worth it ?

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