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MB Trading Futures - Introduction

  • #6,301
  • Jan 25, 2011 3:58pm Jan 25, 2011 3:58pm
Quoting Trader KGB
Incredible news!...
KGB,

Thanks for the comments.

I follow the logic, but I don't know what the plans are along these lines at this time, but if it is going to help our customers, I'm sure it is something are developers are considering.
  • #6,302
  • Jan 25, 2011 3:58pm Jan 25, 2011 3:58pm
Quoting Crassius
I am very pleased with today's announcement, but I have to say Justin that the Market Depth in Desktop really SUCKS!!

Although I have solved that problem by switching over t0 NinjaTrader, which has a wonderful price ladder, someone over there at MB must get to work at improving your market depth window in your default software package.

Today's announcement can be a real goose to the liquidity we enjoy, as well as lowering trading costs....
Crassius,

I would be happy to pass along suggestions, but this isn’t something that I’ve heard before. How would you specifically like to see the Market Depth window improved and I will pass it along?

[email protected]
  • #6,303
  • Jan 25, 2011 4:04pm Jan 25, 2011 4:04pm
Quoting jleblang
I follow the logic, but I don't know what the plans are along these lines at this time, but if it is going to help our customers, I'm sure it is something are developers are considering.
Thanks.

If the previous example is too convoluted, it could be something as simple as a flag which rejects/holds limit-orders if they're not adding liquidity (like an order checkbox for 'add-liquidity only').
  • #6,304
  • Jan 25, 2011 4:23pm Jan 25, 2011 4:23pm
Quoting Trader KGB
Thanks.

If the previous example is too convoluted, it could be something as simple as a flag which rejects/holds limit-orders if they're not adding liquidity (like an order checkbox for 'add-liquidity only').
I agree, we need a way to control the cost by making sure that the (non-marketable) limit odrer will be canceled or somehow made inactive in case that by the time the oder arrives on server the order becomes marketable... something like "Non-marketable Limit".
I'm not insane; my mother had me tested.
  • #6,305
  • Edited 6:10pm Jan 25, 2011 5:59pm | Edited 6:10pm
Quoting tar
i want to demo MB with NT is it possible ?
You'll need an MB desktop account or demo account:


First you need to go here to download free NinjaTrader:

http://www.ninjatrader.com/download-registration

Next you need to follow exactly the connection guidelines, which include downloading and installing a special version of desktop. Here is the MB Trading connection guide.

http://www.ninjatrader.com/Connectio...tion-Guide.php

If you want to enter your orders through NinjaTrader you will have to either buy a license or lease the software, however it is free to use for charting, custom indicator development, full system, including automatic trade execution design and backtesting. It is possible to use the free version as a charting package and enter orders through Desktop.

One area that needs improvement is working with tick data, which has many advantages to time based data. Part of the problems are on Ninja's side... It could use some improvement in how it maintains a local database of tick price data.... If MB Trading would make historical tick data available in downloadable file format, just as Dukascopy, FXCM, Gain.... on and on... they seem to all do it but not MB.... tick data would be a lot easier to work with. You will inevitably have times where you need to repair your database ( due in part to NT) and MB is only providing 2 weeks worth on their server, and no historical files for download.

Hopefully as more people use NinjaTrader on MB, we can convince them to provide downloadable historical tick data files.
  • #6,306
  • Jan 25, 2011 6:19pm Jan 25, 2011 6:19pm
Quoting jleblang
LookDeeper-

SNIP--------SNIP------------SNIP--------------SNIP

Even a stop limit where the stop is one price and the limit is set just beyond that to control slippage is a “marketable” order which would not qualify for the Pay for Limits scenario.
Hope that helps.

SNIP---------SNIP----------SNIP--------------SNIP
Just for clarity Justin, what about a stop limit that has the stop and limit price exactly the same? I use that a lot so that I can place my order and let the market come to me.
  • #6,307
  • Jan 25, 2011 7:44pm Jan 25, 2011 7:44pm


Wow is liquidity that bad at MB that they now have asked the traders to Assist the liquidity creation process.

What next trader remorse forgiveness program
"Look Left Think Right"
  • #6,308
  • Jan 25, 2011 8:08pm Jan 25, 2011 8:08pm
Quoting CurrencyAnalyst


Wow is liquidity that bad at MB that they now have asked the traders to Assist the liquidity creation process.

What next trader remorse forgiveness program

If you fail to see how this innovation benefits traders perhaps you would be better off betting on horses, and forgetting about FX altogether.

That way, instead of blaming your failure on your broker, your IB, your platform, your internet connection etc. you can blame your losses on the jockeys, the ponies, the groomes, the track surface, anything except where your losses really come from.... your own actions.
  • #6,309
  • Jan 25, 2011 11:40pm Jan 25, 2011 11:40pm
@ Crassius : Thanks mate , in the price ladder i dont c orders size ?
  • #6,310
  • Jan 26, 2011 2:56am Jan 26, 2011 2:56am
Hi Justin,

Let's consider such example (one-side trade): my eligible Limit order, which is only buy below the current ask or sell above the current bid (correct me if I'm wrong please) gets filed, then I get paid $1.95 for every 100k of base currency traded (correct me if I'm wrong please #2 ). Will I pay you $2.95 per 100k USD traded routing fee as usual or is it a commision free trade in such case?

Thanks in advance for your answer.

Regards,
"hey hey what can I do"
  • #6,311
  • Jan 26, 2011 3:13am Jan 26, 2011 3:13am
Quoting roldreth
Hi Justin,

Let's consider such example (one-side trade): my eligible Limit order, which is only buy below the current ask or sell above the current bid (correct me if I'm wrong please) gets filed, then I get paid $1.95 for every 100k of base currency traded (correct me if I'm wrong please #2 ). Will I pay you $2.95 per 100k USD traded routing fee as usual or is it a commision free trade in such case?

Thanks in advance for your answer.

Regards,
Justin will answer u , but i will say u pay for market orders and stop orders only , and u will get paid for your limit orders ...
  • #6,312
  • Jan 26, 2011 3:59am Jan 26, 2011 3:59am
Quoting tar
@ Crassius : Thanks mate , in the price ladder i dont c orders size ?
ps. limit to sell orders on NT ladder ( demo ) is working fine , but i think there is a problem with limit to buy orders seems my buy order gets filled when the bid touches it ?! if u have a solution i would appreciate ...
  • #6,313
  • Jan 26, 2011 4:06am Jan 26, 2011 4:06am
Quoting jleblang
...A stop order is a market order by definition. The server waits for the price that you have selected as a stop and then fires a market order. Trailings stops are market orders. Even a stop limit where the stop is one price and the limit is set just beyond that to control slippage is a “marketable” order which would not qualify for the Pay for Limits scenario. So at the end of the day, at a minimum, one side of a trade must be a market order. The only question is, was the liquidity at the other side (by definition, a Limit) something that...
I don't quote follow how a stop limit order is still a market order. It's actually 2 orders. One stop order and one limit order. Once the stop is hit, the resulting limit order is what is sent to the (market) ECN, correct? So it is a limit order at the time the order is routed to the ECN?

I think some further elaboration would be needed how MB handles the order on the ECN server. Do stop limit orders get routed and sit on the ECN, visible to all ECN participants and then converted from the stop-limit to limit after the stop price is reached? Or is the stop 'half' of the stop limit SIMULATED (but not visible to other ECN clients) until the stop price is reached, and then the order becomes visible on the ECN as a limit order?

If the stop-limit order sits on the ECN, which price would be shown in the level 2....the limit price or the stop price? I'm guessing the limit price, and if simulated it wouldn't show until after the stop price is reached.

A common way in the futures (or forex market) for a customer to get around this would be to simulate the stop order on the client end. In other words, have your Expert Advisor or third party software watch the market and when your "stop" price is hit, automatically place the limit for you. I'm not sure if MB's proprietary trader can simulate stop limits from the client side.

Quote
.....
The more trades that we have that are customer-to-customer, the faster and more efficient the flow of executions will be because it is all handled on our ECN and does not need to “route out” to a bank.

Hope that helps.

This is 100% true. A lot of traders who are caught up in avoiding the Market Maker forex brokers miss this important point. The fewer people that are used in the order chain, the faster your fill will be and likely at a better price. Just because your order is sent to another liquidity provider outside of the brokerage does not guarantee a fast, or better price fill. In fact, this will help make tigher spreads.

I think there will be some savy programmers who will become "micro market makers" if they have api access and are willing to play the game of liquidity provider. Aggregation does have its risks, but I think this would be even safer, because you have no up front costs. And you can test it on a small basis and see if it works or not. If only MB opens up in Australia or non USD market and allow higher leverage. Either way, there are a lot of applications for this spread rebate incentive.

Quoting RoBiK
I agree, we need a way to control the cost by making sure that the (non-marketable) limit odrer will be canceled or somehow made inactive in case that by the time the oder arrives on server the order becomes marketable... something like "Non-marketable Limit".
I discussed above how one could get around that with programming. But for manual execution, the MB proprietary platform would need a checkbox or option for "non-marketable limit" or "kill if marketable". In this way, the trader could have the ECN server auto-reject if the market has moved between the time that he sent the order and when the order reaches the ECN market. Perhaps also separate coloring or a ** or something on the chart if trading on the chart is applicable.

Also, the API would need something to confirm this also. Can you confirm that the API has a separate coding to send and identify and report "non-marketable limit" orders and fills?

Related question: Will the level 2 be able to show the aggregate lot sizes amounts for these marketable limits? If your level 2 differentiates between different liquidity providers, will there be a separate column for "MB Trading customers". Could you provide a screenshot of this on your platform?

I see this unlikely in the MT4 platform. Unless there was a way to login to the MB client backoffice and manually checkmark "auto-reject limit orders if not marketable." Or one workable alternative would be to place something in the "comments" block of each order that could be picked up by the server automatically?

I hope these points are making sense from a logical standpoint that the engineering dept can understand. I gave you a lot of stuff to work with here as my mind started going all over the place.
Measure trends automatically with zero lag
  • #6,314
  • Jan 26, 2011 6:40am Jan 26, 2011 6:40am
Quoting tar
ps. limit to sell orders on NT ladder ( demo ) is working fine , but i think there is a problem with limit to buy orders seems my buy order gets filled when the bid touches it ?! if u have a solution i would appreciate ...
First, remember that unless you are using the paid version and placing orders through NinjaTrader, when you trade on the free version you are trading in a SIM account.

Second, there is a very vibrant support community located here, that has NT support personnel answering support questions, as well as many developers sharing custom indicators/systems.

http://www.ninjatrader.com/support/forum/index.php

Another great location where some top notch NinjaTrader programming is discussed and shared is:

http://www.bigmiketrading.com/
  • #6,315
  • Jan 26, 2011 6:54am Jan 26, 2011 6:54am
Quoting Crassius
First, remember that unless you are using the paid version and placing orders through NinjaTrader, when you trade on the free version you are trading in a SIM account....
Yeah i know it is simulated account , thanks i will check it out ...
  • #6,316
  • Jan 26, 2011 9:14am Jan 26, 2011 9:14am
Quoting roldreth
Hi Justin,

Let's consider such example (one-side trade): my eligible Limit order, which is only buy below the current ask or sell above the current bid (correct me if I'm wrong please) gets filed, then I get paid $1.95 for every 100k of base currency traded (correct me if I'm wrong please #2 ). Will I pay you $2.95 per 100k USD traded routing fee as usual or is it a commision free trade in such case?

Thanks in advance for your answer.

Regards,
Roldreth,

You only pay us 2.95 per 100k for market orders. You only get paid 1.95 per 100k for Limit orders. There is no fee and then a credit for Limit orders, it is just the credit. If we were charging you 2.95 and then crediting you 1.95, that would be a net 1.00 charge and we wouldn’t be able to say that you are getting paid for the Limit orders. Yes, your descriptions of what count as a Limit order are correct.
  • #6,317
  • Jan 26, 2011 9:16am Jan 26, 2011 9:16am
Quoting ybfjax
I don't quote follow how a stop limit order is still a market order....
Ybfjax,

Let me clarify. The most common use of a Stop Limit by our traders is to set a price that triggers the trade and then to control slippage. For example, let’s say EURUSD = 1.3000 by 1.3001. I want to buy if it breaks out over 1.3010, but in case this triggers in a fast market on a news spike, I don’t want to get filled over 1.3012. I would place a Buy Stop Limit with a stop at 1.3010 and a Limit at 1.3012. What that means is that once the price hits 1.3010 (my stop), the ECN routing engine receives an order to buy up to 1.3012. Since the price is 1.3010, that is “marketable” at the time. It tries to buy at 1.3010, 1.3011, and 1.3012 (and the tenth of a pips in between, I’m just simplifying). Therefore, since the order never rested on the ECN, it is a marketable Limit and you would not get paid. Now, you could also say in the same example, if price is 1.3000 by 1.3001, I want to buy if it gets up to 1.3010 but I don’t want to pay over 1.3008. So your Stop is 1.3010 and your Limit is 1.3008. In this case, by definition, when the price hits 1.3010, you try to buy at 1.3008 which is, by definition, below the market at the time. Therefore, that Limit is not marketable, it goes to the ECN for all to see, and you can get hit on a short pullback. In that scenario, you would get paid for the trade instead of paying a commission. However, just understand that if the market hits 1.3010 and just keeps going up, you get no fill at all. That is not how most of our traders use a Stop Limit order. They use it like the first scenario, to control slippage in a fast market.

Regarding your second point, yes, I would agree that given a short period of time (since people will have to program this), we will see exactly this use of the system, and I will have other good news about the points you made soon…very soon…

For the third point, the API does not yet have coding to only send non-marketable limits, but when you get a positive commission credit instead of a fee, you know you had one. The Level 2 shows total size at each price for all participants (i.e. our customers, our banks (up to the amount that they display, most of them are good for larger size than they show), etc.) So at one price, you see one line and the MINIMUM size that would be filled there. You are correct that MT4 can’t show depth of market. However, we always recommend for a few reasons, including messaging and accounting, that you keep the Desktop or Desktop Pro platform open for your account at the same time that you run MT4. Those that run MT4 can only place trades on MT4, but they can view their accounts and all message in Desktop, including Market Depth. I don’t know that we will be able to send any messaging through to MT4 (it is very limited in this sense), so the only way you will know that it was a Limit order that got hit is the positive commission (instead of negative) column.
  • #6,318
  • Jan 26, 2011 10:14am Jan 26, 2011 10:14am
Quoting jleblang
Roldreth,

You only pay us 2.95 per 100k for market orders. You only get paid 1.95 per 100k for Limit orders. There is no fee and then a credit for Limit orders, it is just the credit. If we were charging you 2.95 and then crediting you 1.95, that would be a net 1.00 charge and we wouldn’t be able to say that you are getting paid for the Limit orders. Yes, your descriptions of what count as a Limit order are correct.
indeed guys, you @ mbt are exceptional and it's simply a great news
only free big macs could presently compare to yours I guess
good to you and thanks for that improvement once again
"hey hey what can I do"
  • #6,319
  • Jan 26, 2011 1:49pm Jan 26, 2011 1:49pm
Now if you could only solve your reliability issues

I'm not sure about real, but your demo Quote API disconnected 18 times during the last 30 minutes (think FOMC), after 20 hours of working flawlessly (no disconnect).
  • #6,320
  • Edited Jan 27, 2011 11:41am Jan 26, 2011 3:49pm | Edited Jan 27, 2011 11:41am
Quoting jleblang
your descriptions of what count as a Limit order are correct.
no longer have any questions regarding MB.
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