At the top of the book most brokers have only 1-2 mil (10-20 lots). So if you trade above 10 lots you'll almost certainly be slipped at least 0.1 pips. The first 10 levels of book depth have around 25 mil (on EUR/USD), so you can fill 250 lots with ...

Is it just me, or are the spreads terrible lately? I'm constantly seeing 1.4 on EUR/USD during London/NY.

Financial data compresses very well. So I only need 50 GB per month to store it.

You should see the FXCM level 2 feed. Only 55 instruments, but with 10 levels on each side that's 40 GB per day My financial feeds in total are pulling 1600 GB per month.

Ticks are quotes, not trades. To see, open the Real Volume indicator on a less traded instrument, and you'll see that the ticks are happening even with zero trades.

Jason, I'm seeing a massive increase in the average number of ticks per day at FXCM (blue line in picture). For example half a million ticks per day on EUR/JPY. Maybe you could give some info on why this happened? I'm not implying not that is a bad ...

I'm curious, why do you test with data going back to 1991? Trading 1991 data with 2014 methods is not fair. To give an example, if you were to do dispersion trading on 1990 stock market data, you would win massive amounts. The problem is that ...

I had a VPS with FXColo and it was 1 ms away from FXCM servers. In the picture you can see 1 ms ping time from inside the VPS (through Remote Desktop Connection) compared with the 127 ms ping time from my home computer. This is with TS2 or FIX ...

Don't know, but remember that forex is a numbers game. Every LP will have winning trades and losing trades. And if you have a lot of losers it means that your market making algo is not very good. A few profitable clients do not matter, unless they ...

Then the other LPs should pack up and leave (remember that LPs WANT retail flow). No, I don't. But I wouldn't expect that. If your flow is toxic (latency arbitrage, ...), I believe they with just ask you to leave, instead of doing shenanigans. Here ...

I also remember something like this, but not sure if it was about FXCM or LMAX. FXCM has 15+ LPs. This means that any one of your trades could be open with an LP, and closed with another. So for them to build an accurate profile of you they would ...

I see a lot of inverted spreads on FXCM tonight: image

FXCM is now quoting 1.2035/1.2041. You can view the pre-market quotes live on their TS2 software (not on that garbage of MT4) or on their website here (little box in the middle) - url

Regarding LMAX suspending markets, they have this concept of "trusted spread". Any time the spread is larger than the "trusted spread", the market is automatically suspended and no trading can be done. More interesting, you can't even cancel/modify ...

Open a small OANDA account. Then you can get Reuters/Dow Jones news with 1-2 sec delay. image

More noise means that the coastal length of the market is longer. If EUR/USD would move in a strictly linear rate, with 0 retrace, from 1.28 to 1.25, you can make 300 pips. But if after each 100 pips it retraces 50, you can make 300 (original move) ...

Not really. As they say, the market can stay irrational longer that you can stay solvent. Ie: your cow can die, but the currency may not drop and in fact it could increase because for example someone else who holds it launches a rumor that you have ...

The VOLUME of the FX market is 5 trillion (not 8), not the AMOUNT OF MONEY. If I have 1 USD and you Prox have 1 EUR, and we swap them between us, we have just done 1 unit VOLUME of EUR/USD trading. But we can do this swap ten times in the same day. ...

The highest quality free data available that I know of is from FXOpen ( url ). They stream real-time level-2 order book data (10 levels on each side), and also have historical order-book data (but only 5 levels on each side) going to around 2011. ...

You are just plain lying here. I have accounts with LMAX, FXCM and Dukascopy, and they all forbid latency arbitrage: FXCM: image LMAX: image Also search for "latency" on this page: url Dukascopy: image