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How to understand the execution speed of LMAX?
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theHand

Biedrs kopš Sep 20, 2014  360 ieraksti theHand Feb 07 2017 at 11:15 (labots Feb 07 2017 at 11:23 )
And I have to say, if you're getting slippage it's just your broker **** with you. The fx is so liquid. Unless you're doing $10mil/$20mil per order you should not be getting slippage.

But the platform becomes really important. Forget about MT for this. Has to be API where the execution is handled their side, not your side.

BaldoN

Biedrs kopš Feb 12, 2016  429 ieraksti Baldo (BaldoN) Feb 07 2017 at 11:32
beebird posted:


[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?



Hello,
What I mean was that, if you trade with auto-click or similar software sending the order just milliseconds before the official notification of the release and / or arbitrage software, most probably you will get a call from them to close your account or, they will set all trades from your connection to be rejected. There is another option, to get delay with execution and some additional slippage.

As you explained you will scalp the market for a couple of pips and in this case I do not believe you will have an issue with LMAX.

beebird

Biedrs kopš Sep 11, 2016  18 ieraksti beebird Feb 07 2017 at 14:46
Thank you theHand and Baldo,

Hearing your advice, now I am feeling I should use LMAX and there should be no problem.
I will not use the news trade as like whaf you mentioned, will be using 10 lots ( 1 million ) at most.

Regarding the platform, what exactly happens if I use MT4 and how the impact on latecy would be?

Using API is necessary in the end I found.Then I think there would be additional issues, such as:
- what language should I use? - C# seems to be nice since it can be used in cTradef also?
- how the backtesting should be? - i think MT4 backtesterr is convenient and fast, variable spread testing canbe done with a plugin.


togr

Biedrs kopš Feb 22, 2011  3462 ieraksti vontogr (togr) Feb 07 2017 at 15:23
theHand posted:
And I have to say, if you're getting slippage it's just your broker **** with you. The fx is so liquid. Unless you're doing $10mil/$20mil per order you should not be getting slippage.

But the platform becomes really important. Forget about MT for this. Has to be API where the execution is handled their side, not your side.


well even reputable brokers like FxPro could have sllipage like 5000ms. They told me they have some algorithm which evaluated trade and proceed it 5000 ms later. Sounds like dealing desk to me. But overall I am satisfied with them

I like what I trade, I trade what I like
theHand

Biedrs kopš Sep 20, 2014  360 ieraksti theHand Feb 07 2017 at 20:29
@togr

Slippage can't be in time, it's in price and generally caused by there being no counter party to your trade, so you can't get a fill and need to look at wider prices for the fill. So the best way not to get slippage is to send and order with a 0 slippage parameter and run the risk of the order failing. Then you have to send it again.

@beebird

With MT 4 you have the internet between you and the broker, so every action is individual and you have to wait for a response. So lets say you're trying to close a trade as I outlined above, with 0 slippage and it fails it might take 2 or 3 tries, each time you wait 200 or 300 milliseconds for a reply and you can't move on to other pairs. You're stuck trying to deal with that pair.

With the API or MT 5 you can simply fire the order and move on, come back to that pair later see if I got it. No waiting for a response from the server. Also trying to close multiple trades you send a single order and they close at their best server speed, you don't have to handle each order individually and wait for a response.

I wouldn't worry about back testing mate. It's useless, certainly in MT, just test or you'll never know what the results were. Back testing is only of use to see if your code works.

togr

Biedrs kopš Feb 22, 2011  3462 ieraksti vontogr (togr) Feb 07 2017 at 21:22
theHand posted:
@togr

Slippage can't be in time, it's in price and generally caused by there being no counter party to your trade, so you can't get a fill and need to look at wider prices for the fill. So the best way not to get slippage is to send and order with a 0 slippage parameter and run the risk of the order failing. Then you have to send it again.

@beebird

With MT 4 you have the internet between you and the broker, so every action is individual and you have to wait for a response. So lets say you're trying to close a trade as I outlined above, with 0 slippage and it fails it might take 2 or 3 tries, each time you wait 200 or 300 milliseconds for a reply and you can't move on to other pairs. You're stuck trying to deal with that pair.

With the API or MT 5 you can simply fire the order and move on, come back to that pair later see if I got it. No waiting for a response from the server. Also trying to close multiple trades you send a single order and they close at their best server speed, you don't have to handle each order individually and wait for a response.

I wouldn't worry about back testing mate. It's useless, certainly in MT, just test or you'll never know what the results were. Back testing is only of use to see if your code works.

@theHand
I am surprised you dont understand this

I like what I trade, I trade what I like
theHand

Biedrs kopš Sep 20, 2014  360 ieraksti theHand Feb 07 2017 at 21:56
I actually got another lesson on it just the other day from a Bitcoin site of all things, so I'm quite sure I understand it, it's a function of price, not time as you claim.

How can you have slippage of 5000 ms? That makes no sense at all.

FYI

https://www.investopedia.com/terms/s/slippage.asp

togr

Biedrs kopš Feb 22, 2011  3462 ieraksti vontogr (togr) Feb 08 2017 at 07:10 (labots Feb 08 2017 at 07:30 )
theHand posted:
I actually got another lesson on it just the other day from a Bitcoin site of all things, so I'm quite sure I understand it, it's a function of price, not time as you claim.

How can you have slippage of 5000 ms? That makes no sense at all.

FYI

https://www.investopedia.com/terms/s/slippage.asp


OK so to be more precise
execution delay is 5000 ms
Time between I click sell or buy and trade is executed
This is of course causing slippage of price as you buy or sell at different price

I like what I trade, I trade what I like
beebird

Biedrs kopš Sep 11, 2016  18 ieraksti beebird Feb 08 2017 at 07:48
Thank you.

Slippage happens because of lack of counter parts. This happens if I trade the hige lots such as 10million right?
If my ordef is smaller than market depth (for example there are 10 million at the price I order in the market and I trade only 1 million) and order is executed immediately such as 5ms, there will be no alippage. My understanding is correct?

In terms of execution latency or slippage, APi and MT5 is equivalent? If so, switching to MT5 seems convenient in terms of the cost of learning a new language and the convenience of using a sophisticated platform.

Just concern i heard MT5 cannot control each order individually.

BaldoN

Biedrs kopš Feb 12, 2016  429 ieraksti Baldo (BaldoN) Feb 08 2017 at 08:00
beebird posted:
Thank you.

Slippage happens because of lack of counter parts. This happens if I trade the hige lots such as 10million right?
If my ordef is smaller than market depth (for example there are 10 million at the price I order in the market and I trade only 1 million) and order is executed immediately such as 5ms, there will be no alippage. My understanding is correct?

In terms of execution latency or slippage, APi and MT5 is equivalent? If so, switching to MT5 seems convenient in terms of the cost of learning a new language and the convenience of using a sophisticated platform.

Just concern i heard MT5 cannot control each order individually.


Hello,
That is correct. Just to add also that slippage described above have also another name: Price Adjustment. This means when you send order with 10 mil, it will be executed, but with few orders instead of 1 and on different prices and you will get the average price of execution. This is happened, because you see the best ask and best bid available, but this is just top of book, not the depth of market and usually, the top of book is tinny (some brokers may guarantee you certain level in average), but in fact no one will offer you tight spread with solid market depth.
If you intend really to trade large orders, would be better to contact them to create for you flow that will meet your order sizes. The flow will have a bit larger spread, but in this case the real slippage / price adjustment will not be away from what you see and your orders will be filled in milliseconds.

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