How to understand the execution speed of LMAX?

5000 ms slippage is huge. Generally, you will not get this much of delay in execution. It takes usually couple of 100 ms from the time you place the order and it is executed. If you say 5000 ms slippage is ok, I don’t buy and I strongly believe in this case there is high probability that your broker can be a market maker.

@beebird

Slippage depends on three things according to my knowledge:
- Liquidity in the market which means availability of counter trades. If markets are highly liquid the slippage factor would be insignificant.
- Your trade size- if you are trading in small quantity then possibility is less that you would face less issue of slippage
If you are trading in bigger quantity then slippage could be there
- broker: it depends upon your broker also, whether he is giving you fair execution or not

And in terms of execution latency or slippage, MT5 and API are not equivalent. they are two different things.

For LMAX, I have also heard of many cases in which trade price got changed even after the order is executed and filled and there was cancellation of executed trades. As they clearly define in their trading terms and conditions that they have full authorisation to cancel your trades if they find them illegitimate without providing you any reason. The best case is you can proceed with LMAX and one good forex broker and you can test your strategies on small account and whichever you find conformable, you can proceed with that.

You can't measure slippage in time. It's got nothing to do with time. Wether there are buyers or not is never measured in time, always in price. Period. That is not debatable.

If your broker is delaying your orders by time it either means his servers aren't adequate for the client base or in many cases they will simply delay you because they have higher priorities. Nothing to do with slippage. And just for the record on exchanges there are special order types which won't have the delays. Privileged clients have privileged order types. Only the riff raff gets delayed.

You guys seriously need to lift your game if you're going to do this. At 5000 ms I've already been trying to re-connect for ages.

Details gentleman, it's all about the details.

Lets be realistic. Not everybody can afford API connection ($1000 setup fee + $1000/month according to my last info).

Nevertheless, should the average order execution, i.e. turnaround time be > 200 ms with an MT4 running on a redundant capacity DEDICATED server (forget about VPS if considering serious trading) then the broker is a ''parasite plugin'' using crook.

FxMasterGuru posted:
Lets be realistic. Not everybody can afford API connection ($1000 setup fee + $1000/month according to my last info).

Nevertheless, should the average order execution, i.e. turnaround time be > 200 ms with an MT4 running on a redundant capacity DEDICATED server (forget about VPS if considering serious trading) then the broker is a ''parasite plugin'' using crook.

I am trying to say that even reputable broker like FxPro with good average execution has some trades delayed up to 5000 ms.
The only explanation I have is dealing desk or some plugin.
Thats perhps why we see so gig fines for brokers sometimes.

togr posted:

FxMasterGuru posted:
Lets be realistic. Not everybody can afford API connection ($1000 setup fee + $1000/month according to my last info).

Nevertheless, should the average order execution, i.e. turnaround time be > 200 ms with an MT4 running on a redundant capacity DEDICATED server (forget about VPS if considering serious trading) then the broker is a ''parasite plugin'' using crook.

I am trying to say that even reputable broker like FxPro with good average execution has some trades delayed up to 5000 ms.
The only explanation I have is dealing desk or some plugin.
Thats perhps why we see so gig fines for brokers sometimes.

Hello,
It is easy to understand whether the broker have dealing desk and or plugin.

If you call them and speak with representative of the company offering MT4 by phone and you hear specific noise like small shots, or short bells rings (MT4 Manager sound) then be sure the noise is coming from the dealing desk.

When you send trade order or when try to modify order, if the time delay is equal for any type of order you request - then they use plugin.

Wow, great tips.

BaldoN posted:

togr posted:

FxMasterGuru posted:
Lets be realistic. Not everybody can afford API connection ($1000 setup fee + $1000/month according to my last info).

Nevertheless, should the average order execution, i.e. turnaround time be > 200 ms with an MT4 running on a redundant capacity DEDICATED server (forget about VPS if considering serious trading) then the broker is a ''parasite plugin'' using crook.

I am trying to say that even reputable broker like FxPro with good average execution has some trades delayed up to 5000 ms.
The only explanation I have is dealing desk or some plugin.
Thats perhps why we see so gig fines for brokers sometimes.

Hello,
It is easy to understand whether the broker have dealing desk and or plugin.

If you call them and speak with representative of the company offering MT4 by phone and you hear specific noise like small shots, or short bells rings (MT4 Manager sound) then be sure the noise is coming from the dealing desk.

When you send trade order or when try to modify order, if the time delay is equal for any type of order you request - then they use plugin.

you cant be serious

Dear Traders,

I am testing LMAX in Demo account with MT4, and facing two problems. Need your help how to solve them.
The program is on VPS near LMAX server, and the latency is quite small (< 5 ms) .


1) Latency issue

When I execute order, all the orders take about 40 - 60 ms. I thought the latency will be less than 10 ms because execution time LMAX mentions is 4 ms and the ping from VPS to their server is <5 ms, therefore I feel the latency is much longer than expected.
  
Causes and Solutions: This latency is caused by using MT4? Using FIXAPI will shorten the time? Do you know exact mechanism why using MT4 would make latency?



2) Slippage issue for stop order

 When I open order with Stop Order, I found there are a lot of slippage with several pips. For example, when I open Sell Stop order at 113.100, the order would be activated at 113.040, 6 pips in this case. I am quite surprised since I have never seen this kind of slippage before.

How do you think about the reasons behind, and what solutions could be expected?


3) Slippage issue for stop loss

Same for the slippage for stop order. I feel every time I close order with stop loss, I found there is about 1 pip negative slippage. This is much higher than I expect with other brokers.

Do you think why this happens and what solutions are there?

 
Thank you,

  

beebird posted:
Dear Traders,

I am testing LMAX in Demo account with MT4, and facing two problems. Need your help how to solve them.
The program is on VPS near LMAX server, and the latency is quite small (< 5 ms) .


1) Latency issue

When I execute order, all the orders take about 40 - 60 ms. I thought the latency will be less than 10 ms because execution time LMAX mentions is 4 ms and the ping from VPS to their server is <5 ms, therefore I feel the latency is much longer than expected.
  
Causes and Solutions: This latency is caused by using MT4? Using FIXAPI will shorten the time? Do you know exact mechanism why using MT4 would make latency?



2) Slippage issue for stop order

 When I open order with Stop Order, I found there are a lot of slippage with several pips. For example, when I open Sell Stop order at 113.100, the order would be activated at 113.040, 6 pips in this case. I am quite surprised since I have never seen this kind of slippage before.

How do you think about the reasons behind, and what solutions could be expected?


3) Slippage issue for stop loss

Same for the slippage for stop order. I feel every time I close order with stop loss, I found there is about 1 pip negative slippage. This is much higher than I expect with other brokers.

Do you think why this happens and what solutions are there?

 
Thank you,

  

Change the broker, e.g. @FXPIG does not suffer from sllipage

Thank you.

Could I know why FXPIG does not suffer from slippage?

I would like to understand the mechanism of slippage the solution based on the understanding. Maybe trying another broker is good, but would like to avoid take actions with blinded eyes.

Now I have a hypothesis: the depth of liquidity at LMAX is much thinner than ECNs?

I found the slippage at LMAX is quite a lot, thought their execution speed is so fast.
From this I guess that their liquidity is not much at LMAX. 'No Last Look' is not good for Liquidity Providers, so it can be understandable if LPs do not provide enough amount of liquidity to LMAX.

Maybe I need to confirm.
Even if the liquidity is thin currently, if it liquidity is increasing, that would be ok in the long run.

beebird posted:
Thank you.

Could I know why FXPIG does not suffer from slippage?

I would like to understand the mechanism of slippage the solution based on the understanding. Maybe trying another broker is good, but would like to avoid take actions with blinded eyes.

Dont know why but I did test it with my system

Hi guys, normally slippage should be part of how the markets work. If the broker sends all your orders to the market, the chance to have a slippage always exists. But it can be both negative or positive. If your slippage is constantly negative, this could be a red signal about the broker having a dealing desk.
As far as I know, LMAX acts like a virtual exchange where all participants are anonymous. The No last look setup affects more the spreads, rather than the slippage. Based on the volume of your order, the traded instrument (major, minor or exotic currency pair) and the time you place it, you can have a slippage.

beebird posted:
I found the slippage at LMAX is quite a lot, thought their execution speed is so fast.
From this I guess that their liquidity is not much at LMAX. 'No Last Look' is not good for Liquidity Providers, so it can be understandable if LPs do not provide enough amount of liquidity to LMAX.

What was the size of your orders? If you had a huge slippage with small trades this could be quite weird. Maybe the no last look option speeds up the execution of the orders, but I am not sure.

togr posted:

beebird posted:
Thank you.

Could I know why FXPIG does not suffer from slippage?

I would like to understand the mechanism of slippage the solution based on the understanding. Maybe trying another broker is good, but would like to avoid take actions with blinded eyes.

Dont know why but I did test it with my system

Hi! And what was its result, after trying it with your system.?

beebird posted:
Dear Traders,

I am testing LMAX in Demo account with MT4, and facing two problems. Need your help how to solve them.
The program is on VPS near LMAX server, and the latency is quite small (< 5 ms) .


1) Latency issue

When I execute order, all the orders take about 40 - 60 ms. I thought the latency will be less than 10 ms because execution time LMAX mentions is 4 ms and the ping from VPS to their server is <5 ms, therefore I feel the latency is much longer than expected.
  
Causes and Solutions: This latency is caused by using MT4? Using FIXAPI will shorten the time? Do you know exact mechanism why using MT4 would make latency?



2) Slippage issue for stop order

 When I open order with Stop Order, I found there are a lot of slippage with several pips. For example, when I open Sell Stop order at 113.100, the order would be activated at 113.040, 6 pips in this case. I am quite surprised since I have never seen this kind of slippage before.

How do you think about the reasons behind, and what solutions could be expected?


3) Slippage issue for stop loss

Same for the slippage for stop order. I feel every time I close order with stop loss, I found there is about 1 pip negative slippage. This is much higher than I expect with other brokers.

Do you think why this happens and what solutions are there?

 
Thank you,

  

Hi,

Did You read the trading manual at Lmax regarding MT4 related trading? Because there are important issues there regarding the process involved in LMAX MT4 Trading:

Orders submitted by the MT4 client terminal (No matter that are Market Orders, or Limit/Stop orders) first are sent to the MT4 server! The MT4 Server then transmits the order request to LMAX Exchange. And Only there will be dealt if the order will be accepted, on what price level will be accepted etc. And everything will go back to your client terminal the other way around.

Furthermore every other order (Limit, Stop, Take Profit, Stop Loss ...) are kept in a similar way only on the MT4 server, and they are sent to the LMAX Exchange only when they are triggered (or cancelled. btw they can be canceled in case if there is insufficient liquidity to fill all of your order quantity too)! And when they are triggered, they will have to travel the aforementioned route. Which can be fast alright, but the price can change a lot in the mean time!

Hello beebird,

1) When trade via MT4 terminal you always will see a bit delay. The reason is that all trades passes via MT4 trade server - as fxmbs said in his post. It does not matter of the order type, all of them passes for execution first in MT4 server and this cannot be avoided (if you trade with MT4).
Trading via FIX API connection could make the execution faster and this needs to be connected to LMAX environment, but avoiding MT4 at all. (just have in mind, LMAX does not like news/spike trades and arbitrage traders)

2) With LMAX you may get average price. I mean when you send order for example 500K, but the Top of the Book is just 100K, in order to execute your request of 500K, the first 100K are executed on the price you see, then the next sitting orders on different price /next sitting prices and etc. until your order is filled. In overall you see executed order with slippage, but this in fact is most likely averaged price of all executed orders up to your request of 500K - and this is depending from the market depth of the traded symbol.

3) The reason to see execution of stop loss with slippage could be the same or similar as described in point 2.

I am not sure whether is possible their MT4 accounts to have related LMAX platforms accounts where you may compare the trades, but with sure if you have LMAX account you will see the partial execution of the larger orders.

Have in mind LMAX is electronic exchange and your order often matches for execution other retail client's orders in the ECN, which most likely could explain the point 2 and 3, because LMAX is not just a broker like others either to send orders for execution in third party (ECN/STP) or MM broker.

I hope this will help.