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How to understand the execution speed of LMAX?
Iepriekšējās 1 2 3 4 Nākamais
beebird

Biedrs kopš Sep 11, 2016  18 ieraksti beebird Feb 12 2017 at 07:50

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.

togr

Biedrs kopš Feb 22, 2011  3469 ieraksti vontogr (togr) Feb 13 2017 at 07:37
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

I like what I trade, I trade what I like
MC85

Biedrs kopš Jul 09, 2015  48 ieraksti MC85 Feb 13 2017 at 11:08
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.

AlbertoCo

Biedrs kopš Aug 06, 2015  17 ieraksti AlbertoCo Feb 21 2017 at 07:27
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.

edinson

Biedrs kopš Sep 14, 2016  10 ieraksti edinson Feb 23 2017 at 15:46
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.?

fxmbs

Biedrs kopš Feb 27, 2011  1 ieraksti fxmbs Apr 18 2017 at 17:45
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!


The market will behave in the future exactly as it did in the past: erratically
BaldoN

Biedrs kopš Feb 12, 2016  429 ieraksti Baldo (BaldoN) Apr 19 2017 at 10:34
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.

 

MyNewBank

Biedrs kopš May 05, 2017  8 ieraksti MyNewBank May 07 2017 at 06:27
Thanks that is good information

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