Maximum lot size question for all big players

Hello folks.

This question is not at all about Money Management.
Please only answer this question if you have some experience with this.
It's not that I'm anywhere nere, but I'm curious.

Question:
Which is the maximum lot size this is trade-able in real life?

I don't mean max size by the broker or for a micro account. I mean a size so that the market still can fill the order.

Is it anywhere around 100 or more like 10,000 - does it depend on the currency pair etc.

Thanks.
MikeFT

You don't have to be a "big player" to understand that the price your order fills at depends on the liquidity thats available to you at that time. Not sure what you mean by "...can fill the order". The market will always fill your order but price will slip once all liquidity is consumed at the current level. The maximum lot size thats trade-able depends on how much price can slip before it negatively affects your profit

edit: to clarify, the maximum trade-able size could literally be anywhere from 10 to 1000+ lots depending on market conditions and the particular inefficiency your trading.

edit2: Jhig makes a good point below. I only considered market orders.

Thanks. This clarifies a lot.

It'll be filled - but the question is the slippage.

Can anybody tell me about experience with slippage trading 100+ or 1000+ lots?

Thanks.
MikeFT

Not necessary 'slippage' because if you place a pending stop/limit order, your biggest problem is Partial Fills. Market makers will definitely partially fill order. I've seen market makers partially fill orders for a lot less than 100 Lots.

If you've got a Prime Brokerage trading account linked to a large credit line with the like of Goldman Sachs or similar I believe your order will go though as you're trading the real interbank market.

Slippage happens with small accounts traded with bucket shops because the broker is taking the over side of the trade.

Usually with things like this, by the time you need to trade that kind of size, you know the answer to all of this questions. So unless you are trying to understand some specific market mechanics, I don't think you need to worry about it.

In real life, most trading isn't done by what you see here on these forums. Most real life trading involves a physical product that facilitates business. For example, some of the largest trading companies in the world trade natural gas. And by trade, I mean that's really what they do - they buy the product and then sell it to a counterparty.

Lot size doesn't really make sense in that situation because if company x is looking for one million units of gas, the trading company can sell it to them for a small markup without moving the market a single tick. They just call up the company and the company says "we've got a deal", boom! Trade done, now just get the product there and try and get better prices for acquiring the product.

But to answer your question, you could probably:
-day-trade $10 million in currency without too much slippage. I'm looking at the FX level 2 right now and within the first 2 pips there's about $30 million in liquidity.
-day-trade 100 e-mini lots without too much slippage
-day-trade 50,000 shares of the SPY without too much slippage

THIS IS PART OF A CHAT ONLINE I HAD WITH AN OANDA REPRESENTATIVE WHEN I STARTED TRADING:

OANDA: Yes.
OANDA: We will email you once the funds are credited.
amb: ok one more question
amb: where can i find information on how Oanda hedge traders position??
OANDA: We do not give specific details on how our hedging system works, that is proprietary information.
amb: ok cause i was wondering i mean who losses when i win. im new to trading...
OANDA: Ok, well I will give you an overview.
amb: OK
OANDA: Now you place a trade, say you buy 100 units of EUR/USD, we sell you those 100 units. However this now means that we are short EUR/USD, if your trade lost, we would make a profit, if your trade profited, we would make a loss. Now this is not ideal for 1, we are open to swings in the market and 2, we would have some vested interest in the outcome of your trade. For both those reason we place the same trade with one of our banks, so in this example we would then buy 100 units of EUR/USD. We are left neutral to the outcome of your trade.
amb: so if i win you lose??????
OANDA: No.
OANDA: That would be the case if we did not hedge clients positions.
OANDA: That is why we hedge.
amb: so then your banks loses??
OANDA: Yes, however it is more complicated then that initially, they will also be trading on the market.
amb: does scalping affect your chance of hedging?
OANDA: No, we have a very advanced system.
amb: sounds to me that if im profitable i ll be quicked out...
OANDA: If you are profitable that is great. We rely on trading volume and the spread to generate funds. The more clients trade the more funds are generated by the spread. To increase trading volume we need to provide a fair and safe trading platform which allows clients to trade in a fair and open environment.
OANDA: That is also why we do not have fixed trade sizes. We fill that it is better for clients to trade with what they want and to be able to plan their trading rather than restricting them to fixed trade sizes.
amb: do you know any link that fully explain how it works? i mean not Oanda, all MM brokers??
amb: i mean the part you said gets complicated
OANDA: I'm afraid we do not have something that would cover all of that, however we have a lot on this section of our website: http://fxtrade.oanda.com/learn/intro-to-currency-trading/
amb: ok thanks a lot
OANDA: You are very welcome, please contact us if you have any other questions.

Anybody can answer me this: If i win then either Oanda or their clearing/bank loses, i believe is that simple so if i consistently win i ll be ask to leave????

Im new to trading as you can see so i ll be grateful if somebody can tell me how it really works.

Well, what market makers do is not so simple.

Once you ask opening a position, the market maker fit your order against other customer within their system (e.g. you short 1.0 EURUSD at same price other customer longs 0.8 EURUSD, therefore broker has to cover this difference of 0.2 lots of EURUSD at that price acting as supplier of your 0.2 EURUSD sell to you by buying directly from market --that is the way they are neutral to your trade.) Most of the time the broker cover one customer position by canceling it with other customer position in opposite direction, if there is a lack of positions to cover, the market maker should take the opposite direction directly from market in order to be neutral, or hedged, so they short/long to you your long/short position and long/short in market.

Some (if not all) fast growing market makers does not hedge the position the time you place the order, delaying seconds, minutes, and still hours to hedge in the market your position in such a way they are not neutral along this time waiting to achieve a better price --hedge shorting more expensive and hedge longing cheaper--, but this prediction is a grown men talk. When they can not get these prices they use defense mechanisms such as spread increase, re-quotes.

Closing your position is also a great deal: spikes, stop hunting, low beyond market's low, all these strange activities they claim to be normal market moving, I already saw these manipulations. Just in case, these three brokers (that I had open live account) --FXDD, GAIN (forex.com), and CMS (later bought by GAIN)-- it is clear in the contract they will act the counterpart of the trade not retailing by the exact market price, re-quotes may sometimes happen on high volatility pairs, and spread may increase/decrease accordingly to fast moving market moments. Scalping these brokers I believe it is impossible to have positive expected payoff along large time.

If you really want to trade using scalping strategies, elect ECN + STP brokers to test one by one along some weeks and choose the best suitable one for you. A decent broker may at least offer you fully ECN + STP execution, you should be billed through commission, and micro accounts (< $2,000) may not be allowed, once their maintenance are not profitable (commissions may not cover help desk, servers maintenance, etc).

$100m

I'm interested in this topic too.
Let me ask more deeply:

Every broker has maximum limit on the lot size of a symbol.
However, the live trade can't be proceeded if the lot size is too big.

Which below will happen if the lot size is too big according to your real experience?
1. the live trade can be proceeded only if the lot size is less than the maximum limit of the broker.
2. the live trade can be proceeded partly based on the live volume if the lot size is too big.
3. the live trade can't be proceeded if the lot size is too big.
Besides, how to tell a lot size is too big to proceed?
Thank you.

It depends on the currency pair (EURUSD is more liquid and can fill larger orders at one price than say ZARAUD) as well as the market conditions (if your a buyer during a market panic or a seller during a market euphoria, you could possibly accumulate a position size in the billions)

As a large trader though, it makes no sense to try to fill max size orders like this, because as soon as you put your order out there you will have all the other large players gunning for you. Staying hidden in the background and low key strategies are needed in order to get the best prices when you're trading large positions

I have been trading for some time but only in the last couple of years I have increased my lot size to a very large one (actually a few orders at at time that sums up to a very large one).
I can tell you that it mostly depends on your Broker, if it's a serious broker or just a bucket shop that trades against you.
I had large order filled partially with some brokers and other brokers just ignored them all together until I found a very reliable broker a while back.
At this moment I get my orders filled with no problems, with no slippage.
Anyway, I believe you need to have great experience and very good psychology to have large order sizes. You will understand what I mean when you'll get there. Is not the same trading 100 lots with trading 1 lot. I could say that emotions will come again when you will exceed your comfort money zone.

P.S. You'll know when your trade size is large enough, cause most probably you'll get a call from your broker

Dear Silver777, thanks for your comment.

May I try to ask this way:
When the lot size is too big, the live trade can not be proceeded because there is no sufficient real volume at the price that I set within a slippage(e.g. within the latest live spread). Correct?
However the lot size maybe hasn't reached the maximum lot size limit of a broker or market. Then according to what can I define a reasonable maximum lot size limit in my codes so that my live trades can be proceeded?

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 1-1.5 pips of slippage if you send a market order.

I regularly trade 100 lot positions, and I fill them in multiple clicks, 5 or 10 lots at a time, with around 1 sec between clicks. I also use slippage protection (it's called Maximum Deviation in MT4). But I don't trade through MT4, I have my custom front-end connected through FIX to the broker.

Yes, in regards to your first question.

I think Adal answered your 2nd question quite well and I agree. When putting on large positions I would break them up into multiple orders and not exceed 5 lots a clip, this can be increased to 10 or even (maximum) 20 lots for the most liquid pairs during times of higher volume, for example during the London / NY session overlap

But whatever you choose, it needs to be adapted to the overall strategy, for example Adal spaces orders out with 1 second in between, so he build his position within minutes. Where as I would want to space out my orders over several hours, days or even weeks depending on the currency pair and situation as I prefer to build my positions over a longer period of time

Dear Adal, Silver777,

Thanks a lot for your replies.
However, I'm still want to ask what will happen if I put maximum lot size, e.g. 50 lots to trade with my MT4 EA.
Can it not be fulfilled during low liquid period, or can it be fulfilled partly?
How shall I define the slippage in my EA?
How to control the slippage with OrderModify() as there's no slippage in that function?

This depends on your broker's execution policies and whether your orders are market orders or pending orders, it's nothing that I can answer. However if you place pending limit entry orders at a specific price then there shouldn't be any slippage and you may get partial fills, but check your broker's execution policies to make sure.

Have you actually tried to put on a trade of 50 lots (or whatever max size you want) manually and seen what happens? I'm afraid there is no one size fits all solution to this, there are too many unknown variables.

I personally would never trust this function to an EA without actually seeing the reaction from manual execution in each different pair at different times. But as I mentioned before, I would break 50 lots into 10 orders of 5 lots, for an EA it should make very little difference it is one order or 10.

Good luck!

I believe it is 1-2 bln. bucks with partial fill as were mentioned before. And moreover there could be a "your own " spike at the chart induced by your position on the market..something to be proud of..

I did bump into the max lot size limit, today and it is 999 with my current broker

I think (guessing) that most mainstream brokers limit simultaneous lots to limit the risk on their dealing desks? Am I wrong?