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MB Trading Futures - Introduction

Hello !

I have a VPS connection and I place many limit orders through the MBT SDK on EUR/USD. I wanted to evaluate the time between my limit order submission and the reception of the "Live" message meaning that the order is visible and may be triggered on the market.
I measure times between 200ms and 300ms. In fast market conditions, 300ms is not so good, and that is why sometimes, I place limit orders and they are executed as market order, because the market moved during this 300ms.
I have an average latency of 9ms, so MBT servers need 191ms to 291ms to place a limit order on the market.
However, the MBT SDK sends orders through Desktop Pro, and it may be Desktop Pro that takes most of this 300ms to send the order to MBT servers. Because if I send simultaneously 10 orders with my API, I receive the "Live" message of the 10th order more than 2s later. Of course, MBT severs can handle 10 simultaneously orders, so it may be a Desktop Pro latency issue.
Any idea ?
Does anybody have ever measured the delay of his orders ?
Do you think it may be better with the Fix gateway ?
Quoting tradeoffice
Hello !

I have a VPS connection and I place many limit orders through the MBT SDK on EUR/USD. I wanted to evaluate the time between my limit order submission and the reception of the "Live" message meaning that the order is visible and may be triggered on the market.
I measure times between 200ms and 300ms. In fast market conditions, 300ms is not so good, and that is why sometimes, I place limit orders and they are executed as market order, because the market moved during this 300ms.
I have an average latency of 9ms, so MBT servers need 191ms...
My understanding is that the issue isn't latency. MB does not execute your trade. It gets routed out to banks (unless you hit a customer in house). Sometimes, it gets routed and that bank has already moved by the time your order gets there, so it comes back and then goes out to another bank. You aren't trading against MB, they aren't a desk, which is the whole benefit. They route your orders out, but that's what takes the time. You can't change that no matter what you do.
Hi Justin:
Just a quick questions, during the London session, right after the German announcement we got a big spike in the e/u charts. I ended up getting slipped approx 17 pips. I was just wondering if this is considered normal for MB during news announcements? Thanks for all the time you've invested in this board over the years, it is appreciated.

Jim
Quoting bigjim1958
Hi Justin:
Just a quick questions, during the London session, right after the German announcement we got a big spike in the e/u charts. I ended up getting slipped approx 17 pips. I was just wondering if this is considered normal for MB during news announcements? Thanks for all the time you've invested in this board over the years, it is appreciated.

Jim
bigjim1958-

Slippage is a function of how fast the market is moving and where the banks are truly available for a fill. I'd have to see the exact order ID (you can private message me) so I could check the time and market activity to know what happened.

Thanks
Quoting tradeoffice
Because if I send simultaneously 10 orders with my API, I receive the "Live" message of the 10th order more than 2s later. Of course, MBT severs can handle 10 simultaneously orders, so it may be a Desktop Pro latency issue.
Any idea ?
Does anybody have ever measured the delay of his orders?
So this can mean that Desktop Pro operates much like MT4 and handles only one order at a time, single tasked so to speak, which is unattractive. Possibly there is a "combine" function in DPro, so that several orders can be combined and handled as one?
Quote
Do you think it may be better with the Fix gateway?
Would guess so. FIX is designed for professional use — sending several orders in one "package" should not be a problem.
I just got this email recently acknowledging a service failure:

Quoting MB Trading Support
Dear Valued Client,

On Friday, September 14, 2012, at approximately 3:27 pm EST, one of our primary telco providers inadvertently disconnected a critical circuit of ours while conducting maintenance on a non-MB Trading switch. This disconnect caused many users to temporarily lose access to their accounts. The line was restored at 4:22 pm EST, and all issues were resolved from that point forward. All historical data was immediately restored, and we are working with customers on any executions that they attempted during this window.

Critical failures such as this are often rooted in hardware failure. However, in this case, the root cause was human error on the part of a telco provider, and we are exploring restitution and moving business away from this company in the immediate future.

We apologize for any issues that this might have caused.


MB Trading
That's a pretty big 'whoops'. I'm assuming that you were using a dedicated server OR shared hosting specifically designed for financial institutions, either would have had the necessary support plan to ensure near flawless execution. Can you reveal the server provider?

The email did not say which financial products were affected (stocks, futures, forex, etc, or was it all products on the same service provider switch?).

BTW, thank you MB for admitting this. It seems to be extremely difficult for most [forex] brokers to acknowledge their own mistakes to their clients. It's like brokers have their own cultural 'face' thing going.
Measure trends automatically with zero lag
"Service failure" on Friday? Try right now.

I love how MBT sends out messages about problems after the fact ... when in fact, they are not even resolved yet.
Hi Justin,
I can't login into destop pro (live mbt uk account, from VPS) since a few minutes, but on your website I see :
System Status


Current StatusLast Checked: 9/18/2012 7:59:24 AM (EST)StatusMessage
Normal
9/18/2012 7:59:24 AM
All systems normal
So what is the goal of the system status if it doesn't give the good information ?
Quoting tradeoffice
Hi Justin,
I can't loggin into destop pro (live mbt uk account, from VPS) since a few minutes, but on your website I see :
System Status


Current StatusLast Checked: 9/18/2012 7:59:24 AM (EST)StatusMessage
Normal
9/18/2012 7:59:24 AM
All systems normal
So what is the goal of the system status if it doesn't give the good information ?
I couldn't login my demo account either. I even thought of signing up a live account until I saw your post.

BTW, just got connected after 15 minutes' trying...
I didn't experience any issues today when logging into desktop pro so it must not have been too long. Hopefully it didn't cause issues for you.

Justin, I've enjoyed this thread and appreciate your input.
Hi, I asked support what time their MT4 server time is set too but I am not sure if they understood me. I want to know what time the daily candlestick closes? Is it 5pm EST time?

Cheers
GMT -4 Daily restart at Midnight EST on MT4
Quoting fxstevyboy
How much does IB pay in rebates?
Different IB's have different rebates options, I only check few like fxsolutions and forexmetal. I found forexmetal good in rebates as Rebates for active traders starting from 0.5 pip.
I received the folowing email last night....

------------------------------------ ------------------------------------ ----

Dear Valued Client,

Effective November 1, 2012, MB Trading Forex will change the fee for clients engaging in ultra-high frequency FX trading, also known as the HFT fee. This fee is incurred when an account has a high number of order message requests with minimal trade executions. The high frequency message fee is a pass-through fee that is related to a recent charge associated with trade reporting costs now enforced by the NFA. The vast majority of customers do not currently incur these fees.

The revised HFT fees will only apply to clients who have less than 20% executions of their total messages sent during a trading session (from 5 pm EST to 5 pm EST). These messages include: New, cancel, and change/replace order messages. Please note, this fee only applies to client side generated messages. Any messages which are generated by our servers, for example price changes on trailing stops, do not apply. The fee remains at $0.005 per request sent that day on symbols meeting the high frequency message criteria.

This fee will be assessed daily during the maintenance clearing process.
For example, if you submitted:

100 orders for a symbol + 60 change orders + cancel 40 of the orders = a total of 200 order messages for the day.

Of these 200 messages you received 20 executions (fills) on that symbol for the day, this would be an execution rate of: 20 Executions / 200 messages = 10%.

You would therefore not meet the minimum requirement of 20% fill rate; you would be subject to the $0.005/message fee computed as follows:

200 messages X .005 msg. fee = $1.00, applied on that day’s fee report for that symbol.


If you have any questions or concerns, please feel free to call our office 888-628-3001 or e-mail [email protected].

Regards,

MB Trading Forex

------------------------------------ ------------------------------------ -

I must not be understanding this correctly. This seems to imply that there is no minimum number of messages before this fee kicks in.

That would catch a lot of traders that have nothing to do with HFT.

Let's work through some scenarios for illustration.

Since the fee is assessed for less than 20% execution to fill that occurs on a clock time frame of 5 o'clock to 5 o'clock if you hold one trade through one rollover.... you have one fill during the 5 to 5 time frame....

The email seems to imply that you are allowed only 5 messages related to this one order.... including the entry order message.

You need 1 for the entry order.

You could easily burn through 2 more messages that don’t fill the first day setting a Stop Loss and a Take Profit

That leaves you only 2 more…. you only get two more messages for the very normal, very casual, absolutely nothing to do with HFT trade management of an open and working trade….
Only 2 chances to adjust your Stop Loss of Take Profit order….
What the hell does that have to do with HFT?

you need one message to enter the trade.... that leaves you only 4 more messages in 24 hrs to make normal trade management adjustments to the trade that you are not going to exit till the next day.

Four adjustments can occur in the very normal course of managing a trade for the most casual of swing traders..... far far from the HFT trader the fee is aimed at....

making an adjustment to the entry price on a limit order as the pace of the market changes as price approaches your order can take at least 1 maybe 2 messages.

Set a stop loss after fill..... that's another....
A Take profit after a fill…. that’s another…
Decide you want to split the take profit in two as you watch price action develop….. ooooops you just burned 3 more….


Now adjust the stop loss once or twice as the trade progresses.... wouldn't be abnormal during a 24 hour period...... and NOT HFT.

Can you see how the farthest thing from a high frequency trader can easily start accruing these fees?

What about the swing trader who holds a trade for 3 days....

on day one he has one fill to enter

on day two he has no fills.... but he gets charged for every stop loss and/or Take Profit adjustment he makes on the second day, before the trade matures and he exits on the third day.

Have I got the way this works right?

I sure hope not....

you've just slashed the pay for limits payout,

now I have to limit myself to no more than four messages (not including entry) after entry in the normal course of managing a trade if I hold through one rollover?

No more than eight (not including the entry and exit) for one trade entered and exited the same 5 to 5 trade session?
Quoting Crassius
I received the folowing email last night....
I must not be understanding this correctly. This seems to imply that there is no minimum number of messages before this fee kicks in.

That would catch a lot of traders that have nothing to do with HFT.
At $0.005 per request seems to me like you have to have a significant number of changes to your roundtrip orders for this to amount to any significant money. In the example provided changing an order around 200 times amounts to a $1 fee...
Quoting pipslvr
At $0.005 per request seems to me like you have to have a significant number of changes to your roundtrip orders for this to amount to any significant money. In the example provided changing an order around 200 times amounts to a $1 fee...

It isn't just changing... you can easily rack up 20 messages in the course of one trade .....

The fee is not scaled to order size....

worst case scenario.... 1000 unit EURUSD, 20 messages per trade is .10 cents....

that's a full pip in extra fees..... makes MB not competitive at all, or maybe you have to start saying... as long as you trade at least 10,000 unit chunks Mb's a good deal... else......

One may trade 10,000 units as a position, but leg in with smaller pieces of 10,000 units.....

The fact that the fee is small is the kind of excuse tax and spend politicians use.... Its just a little bit more... a tiny increase....

what about what we are already being charged? Why isn't that enough already? They just raised fees on Pay for Limit accounts. At some point the competition looks tempting.

What really get's my goat though is that this is called an HFT fee.... but as structured it has nothing to do with HFT.
Quoting Crassius
I received the folowing email last night....
I am a HFT trader, and I am tired that they change their trading rules so often, and they inform us only 48h in advance.
It is hard to respect this 20% rule because in desktop pro only canceled orders and filled orders are counted, not the modified orders. So you have to do your own count.
Furthermore, I have a UK account, and I didn't received any email ...
Quoting tradeoffice
I am a HFT trader, and I am tired that they change their trading rules so often, and they inform us only 48h in advance.
It is hard to respect this 20% rule because in desktop pro only canceled orders and filled orders are counted, not the modified orders. So you have to do your own count.
Furthermore, I have a UK account, and I didn't received any email ...

It doesn't go into effect until November 1.... so you have some time to shop other brokers
Quoting pipslvr
At $0.005 per request seems to me like you have to have a significant number of changes to your roundtrip orders for this to amount to any significant money. In the example provided changing an order around 200 times amounts to a $1 fee...
True, but perhaps there should be a certain minimum amount of daily free transactions....like 50 or 100 that are exempt from fees. then after that, start charging.

They are trying to avoid people who put a disproportionate amount of stress on trading servers, without contributing anything to mbt or other clients, which can only come with actual fills.
Measure trends automatically with zero lag
Quoting ybfjax
True, but perhaps there should be a certain minimum amount of daily free transactions....like 50 or 100 that are exempt from fees. then after that, start charging.

They are trying to avoid people who put a disproportionate amount of stress on trading servers, without contributing anything to mbt or other clients, which can only come with actual fills.

Yes that is exactly what they are trying to do, and I have no problem with charging true HFT traders something as they tax the resources more...
____________________________________________________________EDIT_____________________________________________________

Here is a post from the first time they imposed this class of fee....

As you can see they are requesting more revenue from a greater number of traders.... They doubled the fill ratio, and did away with daily threshold below which you are not charged.

Quoting jleblang
Signorx,

That is correct. The service charge is for clients engaging in ultra-high frequency FX trading, which results in a high number of order message requests with minimal trade executions. However, it is important to note, this is an NFA fee associated with trade reporting cost, not an MBT fee and we are merely passing it through.

The high frequency message fee only applies to clients who have less than 10% executions of the total messages sent and further that send in excess of 100 requests per symbol per day. These requests include: New, cancel, and change/replace order messages. This new fee is .005 per request sent that day on symbols meeting the high frequency message criteria.

Basically, for every 200 messages, you'll be charged a $1.00.
The fact that they are charged by the NFA is a red herring.... MB's expenses are MB's expenses whatever they may be....

What matters where the rubber hits the road is, What is the total cost to the customer, and what is available at other brokers.
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