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MB Trading Futures - Introduction

  • #5,621
  • Jul 25, 2010 5:59am Jul 25, 2010 5:59am
Quoting ha-pattern
MBT's description of Navigator at their site says they have sell stop limits....
So in a fast market, you may have to wait an extra trend to fill some or all of one's sell stop limit; this'd break the original idea of the trade and also may never happen.
I understand there can be slippage in fast market, but here it's not a problem of slippage, but the problem of preventing live order from execution for almost 64 seconds when there were hundreds bids during that time as shown by Shrike here:http://www.forexfactory.com/showpost...postcount=5564
This sell stop was placed several hours before execution - it was a risk management sell stop for opened buy position.
  • #5,622
  • Jul 25, 2010 10:39am Jul 25, 2010 10:39am
Quoting pavikogm
I understand there can be slippage in fast market, but here it's not a problem of slippage, but the problem of preventing live order from execution for almost 64 seconds when there were hundreds bids during that time as shown by Shrike here:http://www.forexfactory.com/showpost...postcount=5564
This sell stop was placed several hours before execution - it was a risk management sell stop for opened buy position.
This is exactly my issue too, my stop wasn't executed and it was placed 45 min in.
  • #5,623
  • Edited 12:31pm Jul 25, 2010 12:14pm | Edited 12:31pm
Quoting pavikogm
I understand there can be slippage in fast market, but here it's not a problem of slippage, but the problem of preventing live order from execution for almost 64 seconds when there were hundreds bids during that time as shown by Shrike here:http://www.forexfactory.com/showpost...postcount=5564
This sell stop was placed several hours before execution - it was a risk management sell stop for opened buy position.
We have a miscommunication. I meant that slippage is a possible solution, not the problem, in a fast market. Big orders may be anywhere, so widening one's reach 4 or 8 pips to hit one helps.

The reason for the late fill, I'd think, summarizes as this --
It doesn't matter when a sell stop, which is a market order, is first entered, since it enters the lineup only when its price is first hit. (The link in your post refers to this.)
The sell stop opened from within a tiny order during a fast downtrend. It was competing with bigger-order sells; only wrong money would help your sell stop be filled, and they own less than big (thus presumedly smarter-money) orders do and thus big orders may take them first.

as a story --

Same-price FIFO leaves a more random and thus more fair chance at each price for a tiny trader to enter or exit. Only, other listing methods are said to also be used, maybe such as priority listing. Same-price priority listing would leave crumbs for smart, tiny money and instant fills for dumb money.
Compound this with consecutive price orders, which is a naturally FIFO event, and, in the smart/dumb money view, you get very late fills for well-meaning traders' stops:

 

  1. Dumb money bought, and thus got filled: A great way to enter or exit in a fast sell crowd.
  2. Big orders, which are more likely to be really smart money, sell in at a higher price;
  3. smart money on lesser sell orders using lagging-indicator crossovers get in next;
  4. and the minority, smart money that made a mistake, get the crumbs, since a stop, I'd guess, is usually placed less chart-strategically and more at a percent loss of one's own $, and thus would be in more random positions below the top of the drop.



Hope this helps you find an answer.

  • #5,624
  • Jul 25, 2010 2:22pm Jul 25, 2010 2:22pm
ha-pattern: there is no way in hell there is a legitimate reason for a marketorder to take 64 seconds to fill. Its a glitch of some sort. If Justin would comment on the issue, im sure he would tell you the same. The whole point of a market order is that it gets executed immediately. It gives up price certainty for execution certainty. Everything else is just wrong.
  • #5,625
  • Jul 25, 2010 3:29pm Jul 25, 2010 3:29pm
Hi,

This question is for Justin LeBlang, or anyone else who would like to respond. I recently opened a live account with MB Trading on the MT4 platform.

I have a question about some statements that appear in the “Risk Disclosure Statement – Over the Counter Foreign Currency Market" disclosure.

As I previously understood it, MB Trading is not a Market Maker and will not trade against my position, chase my stops, etc.

However, the following portion of this Risk Disclosure Statement seems to indicate MB Trading has the liberty to trade against my position, chase my stops, etc.

“You should be aware that MBTF and its affiliates may from time to time have substantial positions in, and may MAKE A MARKET in or otherwise buy or sell instruments similar or economically related to, foreign currency transactions entered into with you.

MBTF and it affiliates may also undertake proprietary trading activities, including hedging transactions related to the initial or termination of a foreign currency transaction with you that may adversely affect the market price or other factors underlying the foreign currency transactions entered into with you and consequently, the value of such transaction.”

It specifically says “make a market” above. What assurance do I have that MB Trading is going to actually pass through my orders to a liquidity provider instead of trading against my position, chasing my stops, etc?

Respectfully,

Duke
  • #5,626
  • Edited 5:36pm Jul 25, 2010 4:42pm | Edited 5:36pm
Quoting shrike
Unfortunately noone ever publishes a rule-book on the exact order-mechanisms - like exchanges do, and that creates a whole lot of questions and uncertainty about LP-privileges and so on(not just with MBT, but in general). Its also hard to dispute a fill when there are no clear rules, like in pa18's case.
Quoting jleblang
It’s more like, “There is a bid, but you have to get there before enough other people do to eat up that bid.” Just because you see a bid on a chart doesn’t mean you know how much size was there.
Not sure how you can say
Quoting shrike
Everything else is just wrong.
It could be this.
My first trading was with Internet Boom stocks between 1/16ths and decimals switches, the latter of which jleblang talks of. ARCA and Instinet increased electronic trading, which began to break down each trade for better matching. Even after then, though, I'd trade small stocks, where sometimes you'd have to call the broker to wake up the marketmaker!
"Priority listing" was merely a leap of logic from order flow. With this and the fact that the words came from my experience trading real, I understand why you say I'm wrong.

Like you said, you experienced a glitch.
The idea of avoiding such a thing recollected for me FXCM Micro's "close to price" (a paraphrase) option on its platform, which I found very useful. It filled my order around my price without calling it a strict limit order, which is at exactly one price, or a market order, which is at any price.
Investopedia.com notes a bastardization called "Market-With-Protection Order", which is the latter within a range until price breaks the range and the order turns into the former. And, MBT has for stocks "discretionary price range", which loosens the definition of a limit order.
So I asked the thread starter if MBT had anything for forex along these lines.

Best of trading to you, and I too look forward to the answer you speak of.


----------

edit:
I had a chat with MBT, and found an answer to my own question.

"Securities products are offered through MB Trading, member NASD, SIPC, MB Trading Futures, Inc. (MBTF) and 3DForex, LLC are CFTC registered FCMs and members of NFA.
You have been connected to MBT Ryan.
MBT Ryan: Hello, Welcome to MB Trading! How may I help you?
m: Hi, I've a basic question for you. How does a market order work? I thought that while a market order is first in line to be filled, it also can be filled at ANY price. Is this correct?
MBT Ryan: A market order should fill you at the bid/ask price displayed when you press your buy/sell button.
MBT Ryan: Exceptions being fast moving markets that are susceptible to slippage. Low liquidity can be a factor as well.
m: Your words support mine?
MBT Ryan: Yes, while explaining why a fill could occur at any price.
MBT Ryan: Typically any means very close to what you're seeing displayed at market, it should never vary much more than that.
m: Thank you. I was having a conversation earlier with a person whose market stop order jumped 70 pips away from the entered price.
m: I was also wondering if you provide with forex some kind of order type that is not so wide open as a market order nor restrictive as a limit order.
MBT Ryan: Could you be more specific with what exactly you're looking for?
m: Well, as noted, a market order can be filled anywhere; also, a limit order can be filled at exactly one place. Investopedia.com defines " Market-With-Protection Order" as a market order that, when price is within a certain range for that order, the order turns into a limit. (I think I got that right.) Another version is FXCM Micro's, where "close to price" (a paraphrase) fills an order near one's stated price without turning into a limit order.
m: MBT has something for stocks called " discretionary price range ", only whatever order-type solution you have for forex is probably fine.
m: The goal, of course, is to avoid a landslide loss if one's trade is the wrong way during a big vertical run/drop.
MBT Ryan: Ok, our Stop-Limit order sounds like it's what you're looking for.
MBT Ryan: When set you establish a stop price in which you trigger the order, but also a limit price which serves as the highest price you're willing to accept.
MBT Ryan: For example. You want the EURUSD at 1.2050 and it's trading at 1.2000 right now. You can set a stop-limit order with parameters of 1.2050 and 1.2060 giving you're self a 10 pip window of 'acceptable' prices.
MBT Ryan: Very useful for news events that incur fast price movement giving you what you want without the risk of unknown slippage.
m: Thank you very much. I'll use this.
MBT Ryan: Perfect.

Of course, even then the order could have trouble, the limit not being hit. It's better than no alternative.
  • #5,627
  • Jul 25, 2010 9:14pm Jul 25, 2010 9:14pm
Quoting ha-pattern
MBT's description of Navigator at their site says they have sell stop limits. What bothers me is it also says they don't allow a 'discretionary' price range for forex, and their competitor (unless MBT objects to this phrase) FXCM Micro does.
So in a fast market, you may have to wait an extra trend to fill some or all of one's sell stop limit; this'd break the original idea of the trade and also may never happen.
I guess what I'm saying is that if you had used a sell stop limit that had a reasonable area around the limit to exit the trade on, any...
You can totally use stop limit orders on MB like this. And you should. It's the only way to get into a trade that doesn't leave you exposed to massive slippage in a fast market. This is already covered many times on this thread. Stop limits are the way to go to control your execution.
  • #5,628
  • Jul 26, 2010 10:02am Jul 26, 2010 10:02am
Quoting shrike
ha-pattern: there is no way in hell there is a legitimate reason for a marketorder to take 64 seconds to fill. Its a glitch of some sort. If Justin would comment on the issue, im sure he would tell you the same. The whole point of a market order is that it gets executed immediately. It gives up price certainty for execution certainty. Everything else is just wrong.
Shrike,

There’s no glitch. Here’s how it works.

EURUSD bid 1.2810, ask 1.2812

You place an order to sell 20 EURUSD at market.

Our system snapsnots the market and analyzes who the buyers are at 1.2810. If there are buyers on the ECN (customer limit orders), it hits them first, instant execution. If not, we look at the banks. It sends a Fill or Kill order to sell 20 to a bank at 1.2810. They can only fill it at 1.2810 or send us a decline if they have already been hit and moved during that split second. If we get a fill, you are done. If we get a “kill” or reject, then the trade server takes another look at the current market and decides where to route your order.

We do NOT allow liquidity providers to slip or requote a trade. Either they fill it at the price that we requested or they reject. Why do we do that? Because in a stable market, what happens if we send an order to sell to a bank when the bid is 1.2810 and they decide to fill you at 1.2805, but there were other banks at 1.2809, 1.2808, 1.2807, 1.2806, etc? Can’t be done. We can’t allow an LP to just fill you at whatever market price they would be willing to take because our bids and offers that aggregate all of our LPs might be showing a better price than what one might fill you at. So, in the vast majority of market conditions, what does this mean? It means that you won’t get a fill under or above the market. It means that we hold the LPs to a higher standard than the games that they play. And it means that you won’t get a fill below the bid or above the ask.

So let’s take a stable market situation, but one where the particular LP already took a fill just as your order is sent to them. The bid is 1.2810. You want to sell 20 at 1.2810. We have three banks showing bids at 1.2810. We send your order to one of those banks. As we do it, they move because they already got filled from some other source. We get your order back and we then route it to another of the two remaining banks at 1.2810. We get filled. Done. Would it be better to say to the first bank, if you can’t fill at 1.2810, just fill at whatever price you feel like? And then the customer gets a fill back at 1.2805 even though there are higher bids?

That would not work.

Now, what happens in a fast market, like let’s say on 7/21 at 2 pm EST, not typically a time of day for news and movement, and Bernanke makes some comments that shock the market? All of the LPs are caught off guard and thin out their liquidity, but meanwhile, in one direction of the market, there is more activity than usual. In other words, more retail traders want to sell, but the buyers sense something happened and pull their liquidity. So instead of banks showing size every 2 or 3 pips each, which aggregates out to liquidity at every pip normally, suddenly they are dropping 5 or 10 pips at a print. So now what happens? We get a sell at market order and the bid is 1.2810. We route to a bank. It goes there and comes back because they were in the process of moving their bid down to 1.2790 as their next price of interest to buy. We don’t allow them to fill you at 1.2790. We get the rejection, and then we snapshot the market again. So let’s say there’s a bank left with a bid at 1.2801. We send your order to them. Same thing happens. And again, and again, with each route to a bank taking up time as the price moves. That’s a market order on an STP system. In that one particular instance, could you say that it would have been better to just let the first bank that we route to say “Sorry, no luck at 1.2810, but I’m filling you at 1.2790”? Sure. Because in the next 20 or 30 seconds that it takes to keep rerouting the trades, the price ended up lower. But that’s only in that one instance that lasts for a minute or two. The rest of the time, you don’t want the bank that gets the order to be able to fill you wherever they want when the market isn’t moving fast and other banks are showing better bids.

So just so we are clear, that is how a market order works on an ECN/STP system. It isn’t some fluid exchange, and our system is designed to protect you from bad fills in 99% of market conditions from a liquidity provider. But, in that case, we just keep getting rejections and keep routing the trade out until we finally get a fill. If the market conditions are such that everyone is running away from the market for 30 seconds, then yeah, it can take that long. It’s called a true market.
  • #5,629
  • Jul 26, 2010 10:33am Jul 26, 2010 10:33am
Quoting jleblang
Shrike,

They can only fill it at 1.2810 or send us a decline if they have already been hit and moved during that split second. If we get a fill, you are done. If we get a “kill” or reject, then the trade server takes another look at the current market and decides where to route your order.

We do NOT allow liquidity providers to slip or requote a trade. Either they fill it at the price that we requested or they reject.
What happens if you don't receive a reply from the LP? As in they don't fill or kill they just hold the order. How long before you guys reject the request internally on MBT's side, in sort of a "time out" manner so to speak and then re-route to another LP?
  • #5,630
  • Jul 26, 2010 10:51am Jul 26, 2010 10:51am
Quoting jleblang
There’s no glitch. Here’s how it works.
...
So just so we are clear, that is how a market order works on an ECN/STP system. It isn’t some fluid exchange, and our system is designed to protect you from bad fills in 99% of market conditions from a liquidity provider. But, in that case, we just keep getting rejections and keep routing the trade out until we finally get a fill. If the market conditions are such that everyone is running away from the market for 30 seconds, then yeah, it can take that long. It’s called a true market.
I can't agree, there is definitely something wrong with this kind of system and the example is given above - 64 seconds delay, 70 pips (700 points) worse price executed for stop loss. When you look at chart you can see that mostly on 7/21 at 2 pm EST the price was moving down with less that 1 pip step. If my order was rejected for 64 seconds because banks were moving price 1 pip lower every time and this cause 70 pips loose... Well it's a gamble and very dangerous system. I would never deposit 1 mln$ for investing with these kind of system, where banks can do anything they want... It only shows that these system is for kids wanting to play with their money.
There is a hole in this system. Maybe it should work a bit different for stop loss orders: my order was Market price so after first rejection it should agree on any next bid from bank.
This behavior doesn't protect from worse price as you describe ("to sell to a bank when the bid is 1.2810 and they decide to fill you at 1.2805") - almost 90% time the Market price is worse than you ask, so in 90% time its 1.2805 not 1.2810. So why wait for this worse price so long?
  • #5,631
  • Jul 26, 2010 11:04am Jul 26, 2010 11:04am
I don't think thats the best possible solution. When sending a market order, for me, that means i want a fill NOW, and im willing to accept slippage (fast market or not). If im not willing to accept slippage, i would send a limit, or if i would be willing to accept only a certain amount of slippage, i would send a marketable limit IOC instead of a marketorder. Your system appears to prevent instantaneous fills when you most need them.
  • #5,632
  • Jul 26, 2010 11:50am Jul 26, 2010 11:50am
Quoting shrike
I don't think thats the best possible solution. When sending a market order, for me, that means i want a fill NOW, and im willing to accept slippage (fast market or not). If im not willing to accept slippage, i would send a limit, or if i would be willing to accept only a certain amount of slippage, i would send a marketable limit IOC instead of a marketorder. Your system appears to prevent instantaneous fills when you most need them.
So you're saying that even in a normal market, if you send a Market order, you'd prefer if the system let the bank that gets your order fill you wherever they want even if there is plenty of liquidity around?
  • #5,633
  • Jul 26, 2010 12:01pm Jul 26, 2010 12:01pm
Well dont send a market order if you wont accept slippage, send a marketable limit.
  • #5,634
  • Jul 26, 2010 12:23pm Jul 26, 2010 12:23pm
Quoting shrike
Well dont send a market order if you wont accept slippage, send a marketable limit.
I don't send market orders entering a trade ever, I send marketable limit orders (more commonly stop limit orders) when entering a trade. However, stop limits are useless when you want to get out, so I do use regular stops there, which leaves me open to the problem of the real market when liquidity dries up. But, I've been trading with them (I use Nav, not Meta) for almost three years, literally thousands of trades, and prolly only had about 10 that took longer than 10 seconds to fill in fast conditions. I don't like the solution you suggested about just letting whatever bank gets the order fill it wherever they want on a market order (stops become market orders). I think fills on average would be much worse if the banks were given the privilege of being able to slip you at their will on every order. Even with a marketable limit, if they gave the bank discretion, do you think the bank would ever give you a better price than your limit? The whole point is that they take away the immediate slippage/requote factor and make the banks take the fills if they want the orders. I think the system should be set up to work optimally for normal conditions, which are 99% of the trading week.
  • #5,635
  • Jul 26, 2010 12:51pm Jul 26, 2010 12:51pm
Hey guys,

Just something ive noticed recently. I opened a live account with MBT a week ago and I've been trying to get a hang of it while I'm still waiting for it to be funded.
One thing i noticed during the slower market hours.. (after us close/ asia)
is that new candles dont seem to open exactly at the close of that sesion. I generally watch 5min bars, so sometimes ill see the 5min session end and it takes 5-7 sec for the new bar to open. Sometimes its been as much as 30-40 sec.
I wanted to make sure this wasn't because of my connection, so I compared it with a demo and also a live ibfx account. Both of which formed new candles exactly on the end of the 5min session.
So... it looks like it only happens for the live account. It seems like as a result of this, I get small gaps in between the candles. I know some of this is simply due to the price movement in between new candles forming, but I think that if the candles did form on time there would be less gaps.
Is it true that mbt waits for a new tick to form the new bar? because thats how its seems.

anyone else have the same issue?

Thanks
  • #5,636
  • Jul 26, 2010 1:46pm Jul 26, 2010 1:46pm
Yes, there are pros and cons. But the 64-second/70 pip slippage situation is unacceptable in my opinion. Maybe there should be an additional order-type or order-tag that specifies to immediatly take the first fill available from the LP that is on top of the book, regardless of price.
  • #5,637
  • Jul 26, 2010 1:47pm Jul 26, 2010 1:47pm
Quoting angus
What happens if you don't receive a reply from the LP? As in they don't fill or kill they just hold the order. How long before you guys reject the request internally on MBT's side, in sort of a "time out" manner so to speak and then re-route to another LP?
Angus,

The whole point of having a complex system is that we stay connected to them. If they have a technology issue on their end, then it becomes a stuck order, but that’s pretty uncommon. You’ve seen reference on these boards to the few times that any of our LPs have experienced an issue.
  • #5,638
  • Jul 27, 2010 4:02am Jul 27, 2010 4:02am
jleblang, I carefully read your post about market order handling. So I think how you treat the limit order. So if the ask was 1.2810 and I sent limit order to buy 20 with limit 1.2825, how is it handled in your system? Do you collect all the orders from your ECN customers upto price 1.2825 and only in case it is not enough you send the rest to be filled by banks or do you try find the best price among the banks and ECN customers?
  • #5,639
  • Jul 27, 2010 10:05am Jul 27, 2010 10:05am
Quoting Milan
jleblang, I carefully read your post about market order handling. So I think how you treat the limit order. So if the ask was 1.2810 and I sent limit order to buy 20 with limit 1.2825, how is it handled in your system? Do you collect all the orders from your ECN customers upto price 1.2825 and only in case it is not enough you send the rest to be filled by banks or do you try find the best price among the banks and ECN customers?
Milan ,

It works the same. Under your example, the trade server would buy whatever is available from sellers on the ECN at 1.2810, then hit banks at 1.2810. Then it would go to 1.2811. Etc. If for some reason the market jumped or spiked on news and it couldn’t get filled by 1.2825, then your order sits as a limit on the ECN to buy at 1.2825 until you cancel or until the price comes back down and fills you.
  • #5,640
  • Jul 27, 2010 12:25pm Jul 27, 2010 12:25pm
Quoting angus
What happens if you don't receive a reply from the LP? As in they don't fill or kill they just hold the order. How long before you guys reject the request internally on MBT's side, in sort of a "time out" manner so to speak and then re-route to another LP?
I'm curious to hear these details as well (and by details, I mean in milliseconds).

In light of this discussion, I'm just as curious to know the order handling rules of the rest of the retail ECN space (IB, Duka, FXCM ATG). Unfortunately, they don't seem as open as MBT is in this department.

It's a tricky situation, I can understand both MBT's logic as well as shrike's. The only solution I can see is if more ECNs adopt Hotspot's model (and that used in the exchange space) of directly marketable liquidity. Under the current model, the LPs maintain a significant advantage (latency of external round-trip execution, final say/"last look", etc).

60 seconds is indeed an eternity for a market order, but it's not MBT's fault, it's simply the fault of the execution model.
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