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How to understand the execution speed of LMAX?
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hedgescalp

Biedrs kopš Jan 31, 2017  10 ieraksti hedgescalp Feb 08 2017 at 10:54
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.

theHand

Biedrs kopš Sep 20, 2014  360 ieraksti theHand Feb 08 2017 at 13:13
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.


FxMasterGuru

Biedrs kopš May 04, 2012  1566 ieraksti FxMasterGuru (FxMasterGuru) Feb 08 2017 at 14:31
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.

Please click "Vouch" if you liked my post. If not, just put me on your Blocked list. :o)
togr

Biedrs kopš Feb 22, 2011  3468 ieraksti vontogr (togr) Feb 08 2017 at 14:41
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.

I like what I trade, I trade what I like
BaldoN

Biedrs kopš Feb 12, 2016  429 ieraksti Baldo (BaldoN) Feb 09 2017 at 07:54
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.

beebird

Biedrs kopš Sep 11, 2016  18 ieraksti beebird Feb 09 2017 at 08:14
Wow, great tips.

togr

Biedrs kopš Feb 22, 2011  3468 ieraksti vontogr (togr) Feb 09 2017 at 11:51
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

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

Biedrs kopš Sep 11, 2016  18 ieraksti beebird Feb 10 2017 at 07:59
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,

  

togr

Biedrs kopš Feb 22, 2011  3468 ieraksti vontogr (togr) Feb 10 2017 at 10:08
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

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

Biedrs kopš Sep 11, 2016  18 ieraksti beebird Feb 12 2017 at 07:19
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.

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