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LMAX = revolution?!?

  • #1,241
  • Jul 17, 2012 8:26am Jul 17, 2012 8:26am
Quoting TradingGurus
Hi Ian,
I've used that sort of thing in anger too, and without resorting to FIX, but it's rather messy. I haven't delved into the depths of "position in queue" issues as yet for example.

Cheers,

Jim
Not the old cancel/re-enter, eh ?

That's the only other way i could imagine doing it
  • #1,242
  • Jul 17, 2012 8:36am Jul 17, 2012 8:36am
Its not even possible in FIX, since they dont support the OrderCancelReplaceRequest message..

They had a raw, XML-based webapi (which is used by the official frontend i suppose), but it appears its gone now.
  • #1,243
  • Jul 17, 2012 8:45am Jul 17, 2012 8:45am
Quoting shrike
Its not even possible in FIX, since they dont support the OrderCancelReplaceRequest message..

They had a raw, XML-based webapi (which is used by the official frontend i suppose), but it appears its gone now.
I do not think it is gone... it might be undocumented and unsupported but it is still there because the java and .NET libraries still in the end use XML over HTTP to communicate with the server. The source code for these libraries is available so the XML protocol could be easily reverse-engineered if necessary. Of coarse that helps only with the functionality that is implemented in the libraries and if stop orders are not implemented then we are out of luck.
I'm not insane; my mother had me tested.
  • #1,244
  • Jul 17, 2012 8:49am Jul 17, 2012 8:49am
No....using your own Multicharts is not considered API access....so monthly charges and volume minimums do not apply ....this is what they said to me via customer service live chat one month ago....you can use even the free MCDT version.

But...the real problem imho is ...trading with simulated stop losses...

Quoting Traderji
I think that is not correct. Looking at the LMAX website under Account Comparison there are separate charges for API access and Multicharts. Each separately is $60 per month unless you do minimum number of trades.

So even if you bring your own Multicharts if you do not trade at 250 lots per month you will be charged $60 for API access. If you don't have your own Multicharts and use the LMAX license then it will be $60 + $60 = $120 for both.
ΕΣΟ ΕΤΟÎΜΟΣ
  • #1,245
  • Jul 17, 2012 8:56am Jul 17, 2012 8:56am
this is the live chat session one month ago....
Attached Image (click to enlarge)
Click to Enlarge Name: lmax live chat 1.PNG Size: 45 KB
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  • #1,246
  • Jul 17, 2012 9:09am Jul 17, 2012 9:09am
Quoting trader65
this is the live chat session one month ago....
Thanks. I was going to contact them about this myself as I found it weird that they would still charge you if you already have a Multicharts license.

Good to know the volume requirements don't apply either.
  • #1,247
  • Jul 17, 2012 9:16am Jul 17, 2012 9:16am
Hi Guys!


just made a Demo account on Fastbrokers a question,
is there LMAX feed and OpenBook (FXscalperbook) the exact lmax market ?

if so , who does trade inside the Bid and Ask? (as this is only possible via limit orders) and none of us is that fast! ..

so to me it does look like either or both (LMAX and Fastbrokers) are working as specialists in does markets ? can someone confirm this ? or am i wrong ?

thnx

attached two pics .. to show u the trades going off within the bid and ask 99% of the time..

see pic one we stand Bid@933 and Ask@936
http://www.forexfactory.com/attachme...1&d=1342541686

on pic two a Print goes off @934 (inside the bid and ask) as it has done before as seen on the TS
http://www.forexfactory.com/attachme...1&d=1342541699
Attached Image(s) (click to enlarge)
Click to Enlarge Name: pts1.PNG Size: 263 KB
Click to Enlarge Name: pts2.PNG Size: 265 KB
  • #1,248
  • Jul 17, 2012 9:21am Jul 17, 2012 9:21am
Quote from live chat conversation I would kindly have to ask you to send us your lifetime licence number, so that we can cross check

WTF??? Why would Lmax need to cross check anything? BTW, it should not matter whether one has bought a lifetime licence or is leasing MC from the developer on monthly or yearly basis.
  • #1,249
  • Jul 17, 2012 9:35am Jul 17, 2012 9:35am
Quoting PrymeTyme
is there LMAX feed and OpenBook (FXscalperbook) the exact lmax market ?
Sorry no idea what that is, and quick googling did not help.

Quoting PrymeTyme
who does trade inside the Bid and Ask? (as this is only possible via limit orders) and none of us is that fast! ..
Algorithmic/high frequency traders. It's a good thing as they provide liquidity and tighten the spreads.

Some of us are that fast. Some of us are them, lol. I'm not interested in that style of trading but you can do it if you know what you're doing and can rent servers that are as close as possible to the LMAX servers (for minimum latency).

Quoting PrymeTyme
so to me it does look like either or both (LMAX and Fastbrokers) are working as specialists in does markets ? can someone confirm this ? or am i wrong ?
Sorry not sure what you mean.

First of all Fastbrokers is only acting as an IB for LMAX (simply speaking, that means it just connects you to the LMAX exchange and collects commissions, that is all).

If you mean is LMAX doing any of the algorithmic/high frequency market making? No, LMAX is an exchange. The company provides and maintains the infrastructure and technology, it does not trade/make the market. It's market participants (liquidity providers and liquidity consumers) that do the trading.

Quoting PrymeTyme
attached two pics .. to show u the trades going off within the bid and ask 99% of the time..
Yeah, that's liquidity being provided and consumed at high frequency.

Welcome to real markets.
  • #1,250
  • Jul 17, 2012 9:39am Jul 17, 2012 9:39am
Quoting Karl_Vosp
WTF??? Why would Lmax need to cross check anything?
To provide him with the free MC access to his LMAX account I presume.

Do you expect they'd just give him the free access just because he said he has a lifetime MC license?

PS. I'm assuming you already understand that this is a business partnership/agreement between LMAX/MC, not just random policies.
  • #1,251
  • Jul 17, 2012 9:50am Jul 17, 2012 9:50am
Hey Marv!

thnx for ya reply


The ScalperBook is the name of the DOM in FastBrokers Pathfinder platform

yea sure HFT trading is possible .. but i may think that LMAX does flash orders
to there liquidity providers .... as i guess u and anyone else (retailers) arent trading 10+lots per clip and even more.. as ive seen pretty fast and Lotsa volume been traded within the BID/ASK... no no .. deffenetly no retail action..

so i thought that Flashing or internalizing is going on on that Xchange
but have to do more research on Flashing, Internalization.. etc..

well as FastBrokers is well u guessed it a bröker .. then they could work a specialist as they know the book and what there clients are doing and could either frontrun or take the opposite position.. etc.. and that action can be seen on the Tape! etc..
  • #1,252
  • Edited 12:34pm Jul 17, 2012 10:49am | Edited 12:34pm
Quoting trader65
this is the live chat session one month ago....
She says API fees are seperate from Multichart fees. You should clarify this with them again. It's laid out pretty clearly on their website

Multicharts uses the LMAX API to connect to LMAX. There is no desktop client app that you download and install like Interactive Brokers or MB Trading. It is all via the LMAX API. That is why I think they will charge you $60 for API access even if you bring your own Multicharts.
We're all stories in the end. Just try to make it a good one.
  • #1,253
  • Jul 17, 2012 11:51am Jul 17, 2012 11:51am
PrymeTyme: Flashorders? Where do you get these ideas from?

Look at their MTF site, there are all the specs/rulebooks and so on published - as well as the FIX specs for LPs. There is nothing sinister there.

http://mtf.lmax.com/membership/document-library

BTW, they don't publish traded volume. Whatever Fastbroker displays, its something else.
  • #1,254
  • Jul 18, 2012 2:00am Jul 18, 2012 2:00am
Hi Ian,

Quoting ianj1
Not the old cancel/re-enter, eh ?

That's the only other way i could imagine doing it
Not exactly. As others have suggested it's possible to update a MetaTrader style "built-in" stop/target using undocumented features of the "XML API". However you end up with a brand new order number to keep track of, which rather suggests you've lost your place in the queue as an undesired side effect.

Ray Robot doesn't try to work at close to the speed of light though, so this is all entirely satisfactory for his current needs.

Jim
  • #1,255
  • Jul 18, 2012 2:30am Jul 18, 2012 2:30am
Quoting PrymeTyme
Hey Marv!

thnx for ya reply


The ScalperBook is the name of the DOM in FastBrokers Pathfinder platform

yea sure HFT trading is possible .. but i may think that LMAX does flash orders
to there liquidity providers .... as i guess u and anyone else (retailers) arent trading 10+lots per clip and even more.. as ive seen pretty fast and Lotsa volume been traded within the BID/ASK... no no .. deffenetly no retail action..

so i thought that Flashing or internalizing is going on on that Xchange
but have to do more research on Flashing, Internalization.....
Until I see proof of something like that, this is just conspiracy theory to me.

The behavior you see in the DOM is very normal for any HF environment.
  • #1,256
  • Jul 27, 2012 8:27am Jul 27, 2012 8:27am
Quoting trader65
1.Lmax doesn't support native stop orders...so MC emulates them sending a market order when your stop price gets triggered...you realize the risk to this with your stop loss orders....datafeed also isn't good ...too many spikes in MC charts...
2.You can use your MC if you are an owner...is this case you don't have to pay for API monthly fees.

Just my 2 cents...
Fastbrokers just released a new version of Pathfinder (2.6) and they now support stop orders on LMAX, so you can place entry stops and stop loss and let LMAX handle them natively. You can also modify order with drag and drop via charts and scalperbook, which has a really impressive order management.
  • #1,257
  • Jul 30, 2012 1:02am Jul 30, 2012 1:02am
Quoting Yosefx
Just my 2 cents...
Fastbrokers just released a new version of Pathfinder (2.6) and they now support stop orders on LMAX, so you can place entry stops and stop loss and let LMAX handle them natively. You can also modify order with drag and drop via charts and scalperbook, which has a really impressive order management.
Thanks for the update. Will take look at this.
  • #1,258
  • Jul 30, 2012 3:18am Jul 30, 2012 3:18am
Quoting Marv
So the new liquidity providers Armada said it is adding (on top of LMAX) are in place, and their spreads are now a bit lower than LMAX's. You can see them in their homepage under the LMAX ones. They're more between 0 and 0.3 now as opposed to LMAX's 0 - 0.5 (EURUSD active hours). lol

I don't notice a decrease in execution speed (but I have no quantitative data). What about you guys, can anybody confirm this?


The question is - is it of any use during active trading? Even the demo is a laugh when you step into priceaction. It just cannot (doesn't want to?) keep up with it. I have been stepping in and out of the momentum on Friday's news with direct lmax over and over again with market / tp / sls and every single one of them no matter how brutal momentum was executed on the fractional pip without any funky things. Just gotta love it when you are already up a shitload the moment the interface starts to display your executed trade. That's how it's supposed to be. Duka... i know you don't want to... but watch and learn suckers. Only thing that bothers and still makes me clear through other venues is off market spread/liquidity.
  • #1,259
  • Jul 30, 2012 1:38pm Jul 30, 2012 1:38pm
Quoting Marv
lol that's what I'm saying.

Btw, forgot to mention I was told by Armada that they're indeed serious about providing their own API and that it will be available sometime in the 4th quarter of this year. Meanwhile you can use the LMAX API through them but you'd still need to meet most of LMAX's requirements (10k deposit, $25 commission etc.) not Armada's. Once their proprietary API is available though you'd be able to use it with Armada's conditions (i.e. $20 commissions, better leverage, etc)....
Great information, thanks. Those conditions are excellent, think about it: API trading. Cheap commissions for retailers. Very flexible leverage conditions. Narrower spread because of adding additional liquidity providers.

This all sounds very good. When the proprietary API comes, I will definately open an account with them
Forex is a losers game.
  • #1,260
  • Jul 30, 2012 1:39pm Jul 30, 2012 1:39pm
If they only had a FSA license..
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