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Help choosing an ECN...

  • #1
  • First Post: May 14, 2009 9:20am May 14, 2009 9:20am
All, not sure if someone can help out here. I've finely honed my strategy, somehow managed to keep profitable with a bucketshop spreadbetters, and now I want to start gradually increasing size (starting approx $20k).

1) There's 2-3 trades/day in this strategy so commission costs are an issue
2) I need an API to automate
3) I've never tried to program an API, and while I can handle a few nested IF statements in Excel, this might be stretching my skills a bridge too far. In which case, I'd need an API that marries some 3rd party software that could take my automation signals and translate into orders.
4) To know what kind of slippage to expect. I know - depends on liquidity, news etc, but my bucketshop to be fair doesn't slip me and instead charges a gigantic spread. Better the devil you know. Trades will be during London/US session on the majors only. Never within 5 minutes of news releases. I've seen some horror stories on here about ODL for eg, slipping 200 pips. That kind of thing would ruin this strategy instantly.

So, what recommendations would you make on the basis of cost, execution and API? It looks like Interactive Brokers or MBTrading so far. And am I being paranoid about the possibility of massive slippage?
  • #2
  • May 14, 2009 10:03am May 14, 2009 10:03am
Quoting triphop
All, not sure if someone can help out here. I've finely honed my strategy, somehow managed to keep profitable with a bucketshop spreadbetters, and now I want to start gradually increasing size (starting approx $20k).

1) There's 2-3 trades/day in this strategy so commission costs are an issue
2) I need an API to automate
3) I've never tried to program an API, and while I can handle a few nested IF statements in Excel, this might be stretching my skills a bridge too far. In which case, I'd need an API that marries some 3rd party software that could...
Interactive broker has low commission(half of MBT) and is a real good broker, it has also a plenty of good 3dr party platforms, instead MBT seems to have a better FIX API.

Lubo.
If I know how, I tell You!! Few but Good!!
  • #3
  • May 14, 2009 10:08am May 14, 2009 10:08am
Quoting triphop
All, not sure if someone can help out here. I've finely honed my strategy, somehow managed to keep profitable with a bucketshop spreadbetters, and now I want to start gradually increasing size (starting approx $20k).

1) There's 2-3 trades/day in this strategy so commission costs are an issue
2) I need an API to automate
3) I've never tried to program an API, and while I can handle a few nested IF statements in Excel, this might be stretching my skills a bridge too far. In which case, I'd need an API that marries some 3rd party software that could...
I don't know anything about API, but I can make a couple comments about MB Trading otherwise. Slippage was a bit of an issue for me, but nothing like 200 pips. More like 2-4 pips, mainly due to delays in execution. Of course those delays can also work for you and give you a better fill price, but that didn't seem to happen much.

MB Trading's commissions are $5/$100K per side, which is quite high in my opinion. You can get rebates by going through an IB that pays rebates (PM me if you want more info), but it still is high. If you trade GBP, the commision is very high as it's $5 per 100K USD, which is about $7.50 if you trade 100K GBP.

Anyway, the slow execution and the high commissions caused me to close the account, but if you can live with that, they are an honest broker that won't be trying to screw you at least...you might check out FXCM's non dealing desk account. In spite of their notorious reputation, I have a live account with them and have had no problems at all, and get excellent execution and spreads, much to my surprise actually
  • #4
  • May 14, 2009 10:26am May 14, 2009 10:26am
thanks both.
Lubo - what kind of slippage stories have you got? Have you been trading with them for long? I'm guessing the FIX API while better is going to scramble my brain, so IB's 3rd party software maybe preferable. You had much experience with their API? I read that Craig had found upgrades so hellish he gave up with them.

TCEast - I did see the NDD FXCM but in my mind it's a bit like a Gary Glitter starting a nursery. I don't feel they have my best interests at heart. Do they allow API access too?
And with MBTrading, I take it the slips were on market orders... did you have many limits that sailed past without being triggered?
  • #5
  • May 14, 2009 10:54am May 14, 2009 10:54am
Quoting triphop
thanks both.
Lubo - what kind of slippage stories have you got? Have you been trading with them for long? I'm guessing the FIX API while better is going to scramble my brain, so IB's 3rd party software maybe preferable. You had much experience with their API? I read that Craig had found upgrades so hellish he gave up with them.

TCEast - I did see the NDD FXCM but in my mind it's a bit like a Gary Glitter starting a nursery. I don't feel they have my best interests at heart. Do they allow API access too?
And with MBTrading, I take it the slips...

unfortunately I'm not a programmer, I have heard the FIX issue from discussion between Craig and Mikkom, but IB is real a great broker and there are some good platforms that do not cost a lot like Sierra Chart and AmiBroker, just to name a few, that allow automated trading.
For full list take a look here http://www.interactivebrokers.com/en...&ib_entity=llc.


Lubo.

P.s. If u like scalping or fast order execution, and automated too, take a look at Button Trader http://www.buttontrader.com/index.asp
If I know how, I tell You!! Few but Good!!
  • #6
  • May 14, 2009 11:03am May 14, 2009 11:03am
Ah, I came across that list last night and ploughed through them, although half seem have gone into liquidation since they compiled it.

Not looked at BT though, will give it a once over, thanks for that.
  • #7
  • May 14, 2009 12:08pm May 14, 2009 12:08pm
How much equity will be in the account?

You might want to consider Currenex API rather than some FCM's proprietary platform. This will allow you to apply your strategy at a number of different firms without having to completely reprogram the API for each firm.
  • #8
  • May 14, 2009 12:10pm May 14, 2009 12:10pm
Quoting BostonForex
How much equity will be in the account?

You might want to consider Currenex API rather than some FCM's proprietary platform. This will allow you to apply your strategy at a number of different firms without having to completely reprogram the API for each firm.
Just saw that you said you'd be starting with 20K -- Go with a good FCM offering CNX.
  • #9
  • May 14, 2009 1:50pm May 14, 2009 1:50pm
Boston, I've looked over a few Currenex brokers and just trying to get my head around it:
http://www.currenex.com/about_us_white_label.html
Seems like there are two types of Currenex broker:
http://www.elitetrader.com/vb/printt...threadid=84703
(pasting these for the benefit of anyone else looking...)

This guy reckons the true white labels that aren't MMs in their own right are: MAN, FC Stone, FIMAT, Capital Forex, PFG

That ring true with you? It's hard to find good quality info on these guys.
  • #10
  • May 14, 2009 1:55pm May 14, 2009 1:55pm
Quoting triphop
thanks both.
Lubo - what kind of slippage stories have you got? Have you been trading with them for long? I'm guessing the FIX API while better is going to scramble my brain, so IB's 3rd party software maybe preferable. You had much experience with their API? I read that Craig had found upgrades so hellish he gave up with them.

TCEast - I did see the NDD FXCM but in my mind it's a bit like a Gary Glitter starting a nursery. I don't feel they have my best interests at heart. Do they allow API access too?
And with MBTrading, I take it the slips...
I really don't know anything about API so can't help you there. But regarding FXCM, they do have a horrendous reputation, there's no getting around that. But I heard from others that it's much better there now instead of years ago when you heard all the horror stories, and my experience has been only good, so I can honestly share that. I don't fully trust any broker, and I'm not sure any truly have your best interests at heart; they have THEIR best interests at heart. It's kind of like the quote from "Wall Street"; pick the dog with the least fleas.

Re. MBT, those slips were on market orders and stop orders. But all a limit or stop order really is is an instruction to execute a MARKET order when "x" price is reached, so I doubt the type of order would make any difference re. slippage.

Anyway, hope that helps and best wishes to you...
  • #11
  • May 14, 2009 2:03pm May 14, 2009 2:03pm
Quoting triphop
Boston, I've looked over a few Currenex brokers and just trying to get my head around it:
http://www.currenex.com/about_us_white_label.html
Seems like there are two types of Currenex broker:
http://www.elitetrader.com/vb/printt...threadid=84703
(pasting these for the benefit of anyone else looking...)

This guy reckons the true white labels that aren't MMs in their own right are: MAN, FC Stone, FIMAT, Capital Forex, PFG

That ring true with you? It's hard to find good quality info on these guys.
Hey just saw this post. I did a lot of research re. Currenex last year so I might be able to help some. I had live and demo accounts. I used to have a live Currenex account with PFG, and they are very good. Regulated as a futures broker as well. Re. FC Stone, I think you need $250K minimum there, and I think it's similar for FIMAT also. Capital Forex's spreads not as good as PFG, similar with MAN.

From my experience, I'd recommend PFG. They state $50K account minimum, and $50/million commission, but I negotiated that down to $25K acct opening and $30/million commission, so you can probably do the same.
  • #12
  • May 14, 2009 2:15pm May 14, 2009 2:15pm
Fimat is nowadays called 'Newedge' - and they don't deal with individuals at all really.
  • #13
  • May 14, 2009 2:44pm May 14, 2009 2:44pm
Quoting triphop
Boston, I've looked over a few Currenex brokers and just trying to get my head around it:
http://www.currenex.com/about_us_white_label.html
Seems like there are two types of Currenex broker:
http://www.elitetrader.com/vb/printt...threadid=84703
(pasting these for the benefit of anyone else looking...)

This guy reckons the true white labels that aren't MMs in their own right are: MAN, FC Stone, FIMAT, Capital Forex, PFG

That ring true with you? It's hard to find good quality info on these guys.
That second link there has some good information on CNX for sure.

The only confusion I foresee is that all white labels are NOT necessarily market makers, although MANY white labels do have the ability (and exercise their ability) to take risk in house. No white label, however, simply uses CNX as a platform; they all must have some type of liquidity relationships with tier 1 banks or prime brokerages that they pass risk off to.
  • #14
  • May 14, 2009 3:08pm May 14, 2009 3:08pm
Quoting TC East
Hey just saw this post. I did a lot of research re. Currenex last year so I might be able to help some. I had live and demo accounts. I used to have a live Currenex account with PFG, and they are very good. Regulated as a futures broker as well. Re. FC Stone, I think you need $250K minimum there, and I think it's similar for FIMAT also. Capital Forex's spreads not as good as PFG, similar with MAN.

From my experience, I'd recommend PFG. They state $50K account minimum, and $50/million commission, but I negotiated that down to $25K acct opening...
Regarding FC Stone; you are correct. On that note, anyone who wants to trade directly with tier 1 banks or PB's must have some pretty deep pockets and good references...

Something that doesn't seem to be very well known in Forex is that Currenex is available to retail guys with as little as 20K. Since the bulk of the volume is being passed off, the broker you choose to get your CNX from cares more about volume than deposit. (Be wary of some brokers offering CNX for 10-15K, chances are their feed is awful, defeating the purpose of CNX)

Most brokers are looking to see at least 200 Million per month of notional volume (once again, not dependent on equity). So, for scalpers, CNX is a very viable option.

$30 per mio is decent pricing for less than 200-250 mio per month in notional volume, but costs can go much lower with higher volume.

Getting set up on Currenex for less than $50K is quite feasible, but keep in mind that in most cases it is very relationship-driven as to which $20K account is accepted and which is not.

I personally recommend CMS CNX and/or GFT CNX to scalpers and/or newstraders with $25K or more.
  • #15
  • May 16, 2009 5:31am May 16, 2009 5:31am
Lot of useful input on here, much appreciated all. My over-riding concern with all of them is huge slippage (or gapping really). I know I can protect with limit orders for entry, but I'll always be exposed on the stops once entered.

http://www.forexfactory.com/showthread.php?t=24672

Makes for grim reading. This all comes down to liquidity, but the problem is I'm not going to find out until live. Demos by their nature aren't going to show up these kind of problems. Then on the flip side, my account is peanuts in the scheme of things.

TCEast - one with the least fleas is right. Do I take it everyone here's not had these kind of wild rides?
  • #16
  • May 16, 2009 4:09pm May 16, 2009 4:09pm
Quoting triphop
Lot of useful input on here, much appreciated all. My over-riding concern with all of them is huge slippage (or gapping really). I know I can protect with limit orders for entry, but I'll always be exposed on the stops once entered.

http://www.forexfactory.com/showthread.php?t=24672

Makes for grim reading. This all comes down to liquidity, but the problem is I'm not going to find out until live. Demos by their nature aren't going to show up these kind of problems. Then on the flip side, my account is peanuts in the scheme of things....
As far as sliipage goes, I've never had anything more than a few pips (like 2-4) at any broker. Of course, if you were to enter a market order right at big news like NFP, then anything could happen of course.

There's a thread on here about someone who said he had a Currenex slip of 300 pips. I don't know the circumstances of that, but I can just say that I never had that happen to me with Currenex, and I did trade around the news even.

I think many times people hear one horror story and figure that's the norm, but it isn't. Maybe that 300 pip slip guy had a bad broker (it was ODL I think).

PFG Currenex was always good to me though, and they actually have their default orders on Currenex set to limit orders rather than market, so if you click buy, it's actually a limit at the price you click. The liquidity is so good though, that you almost always get filled at that price. If not, your order just hangs there unfilled. You can change that default to market orders, but I left it as it was and got goods fills...
  • #17
  • May 16, 2009 10:46pm May 16, 2009 10:46pm
I can testify to the slippage at ODL, I would see the spread widen during my trades and my profits thin. Sometimes I couldn't bring myself to open a trade. Needless to say I took my business elsewhere.
  • #18
  • May 17, 2009 8:56am May 17, 2009 8:56am
Sure. Because there doesn't seem to be many people here using Currenex, IB or any of the bigger brokers, you usually only get to hear about them when it goes t*ts up.
2-4 pips every now and then I can live with. Multiple that by 100 and I'm very annoyed.

Interestingly, both IB and CNX brokers now offer connection to their API via Excel DDE. Obviously, this isn't that robust, but this could do the job for now and save me having to draft in 3rd parties.

Cheers for the help all... see how it goes.
  • #19
  • May 19, 2009 10:07am May 19, 2009 10:07am
Quoting triphop
Sure. Because there doesn't seem to be many people here using Currenex, IB or any of the bigger brokers, you usually only get to hear about them when it goes t*ts up.
2-4 pips every now and then I can live with. Multiple that by 100 and I'm very annoyed.

Interestingly, both IB and CNX brokers now offer connection to their API via Excel DDE. Obviously, this isn't that robust, but this could do the job for now and save me having to draft in 3rd parties.

Cheers for the help all... see how it goes.
CNX API Demos are a bit tough to get, but let me know if you need any help...

Good luck!
  • #20
  • May 19, 2009 12:59pm May 19, 2009 12:59pm
Quoting TC East
But all a limit or stop order really is is an instruction to execute a MARKET order when "x" price is reached, so I doubt the type of order would make any difference re. slippage.
This better not be the case (for the sake of MBT). Now, are you really sure about this?

EDIT: To be more specific, a stop limit order should be optional to execute at market. A limit order should always be executed at specified price or rejected.
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