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Limit order book?

  • #1
  • First Post: Sep 18, 2012 1:01am Sep 18, 2012 1:01am
I dont get it why only limit order book exists, and stop order book doesnt.
  • #2
  • Sep 18, 2012 6:26am Sep 18, 2012 6:26am
I guess because stop losses are executed as market orders, not limit orders.

So they don't represent a waiting order at an exact price, but rather "if this price is hit, execute order at market" hence you can get negative slippage where a limit order cannot.
"Don't Panic..."
  • #3
  • Oct 21, 2012 9:08pm Oct 21, 2012 9:08pm
(This reply may be a bit late, but never too late to correct a misconception.)

Quoting chartfan
I dont get it why only limit order book exists, and stop order book doesnt.
Why do you say stop order books don't exist? Only because you've never seen one?

As a former market-maker, I can tell you order books (for both stops and limit orders) do exist.

The reason why you've probably never seen one is because it's NONE of the retail traders' business to know. Some retail traders (I'm not saying you're one of them) seem to think they have a right to know what orders are out there in the wild.

Knowing order book particulars is a privilege, NOT a right. If you know, then you just know. (and if you know WHICH order flow info to TRUST, then you're a great trader!)

If you don't know , then it's just something you have to live with.
I'm not trying to convince anyone. I'm not in the "convincing" business.
  • #4
  • Oct 21, 2012 10:43pm Oct 21, 2012 10:43pm
[quote=skenobi;6119954](This reply may be a bit late, but never too late to correct a misconception.)



Why do you say stop order books don't exist? Only because you've never seen one?

As a former market-maker, I can tell you order books (for both stops and limit orders) do exist.

The reason why you've probably never seen one is because it's NONE of the retail traders' business to know. Some retail traders (I'm not saying you're one of them) seem to think they have a right to know what orders are out there in the wild.

Knowing order book particulars is a privilege, NOT a right. /quote]

Hi Skenobi!

I asked this because everyone talks about limitorder book, so I thought stop order book doesnt exist. Thank you for the correction.

I see a lot of orderbook provider on the market, who will share a limit order book for monthly fee. How these works? They collect data from brokers?
Are these limit books valid?
If they can offer this, why dont they offer stop order book too?
  • #5
  • Oct 21, 2012 11:12pm Oct 21, 2012 11:12pm
[quote=chartfan;6120045]
Quoting skenobi
(This reply may be a bit late, but never too late to correct a misconception.)



Why do you say stop order books don't exist? Only because you've never seen one?

As a former market-maker, I can tell you order books (for both stops and limit orders) do exist.

The reason why you've probably never seen one is because it's NONE of the retail traders' business to know. Some retail traders (I'm not saying you're one of them) seem to think they have a right to know what orders are out there in the wild.

Knowing order...
Here's a story my broker was ATC brokers who is an IB for fxcm. I used ATC since they offered fxcm ecn feed without the need for 10k capital. So anyway when trading a pair even without an sl sometimes I would work my way up from a few k to say 20k in a month using mostly using baskets.. However when I started trading gold I noticed funny stuff. For one I used mental Sl because I would trade when I'm on screen. I always noticed that price would run for my margin call or sl if I did set it during say start of Asia or London or ny.. For gold ny afternoon fix as well.. It always hit my sl or margin and then reversed.. I was pissed but it was profit anyway.. However it kept happening ESP with gold.. Even nfp it would go just far enough to hit my random sl or margin and then Move opposite... So basically fxcm I believe sells my margin sl TP info to the manipulators who choose which way to hunt everyday before the real move. I was usually right but my sl would get hit to the pip and then reverse. it couldn't be coincidence because otherwise it would be 50/50 and about 90% of the time it happened it reversed within a few pips.. My sl was always a random place too because I thought I couldnt affect the market. Sad thing is retailers are generally right about direction. But they are hunted.Well fxcm does this everyday by selling the info as they would get paid more on balance than the commision.

Retail market is a big ponzu scheme. Best bet is to trade other retailers or start with higher capital on an institutional feed.

Using baskets however made it harder for them since they have to manipulate more markets to shake u so it works better
  • #6
  • Oct 21, 2012 11:22pm Oct 21, 2012 11:22pm
Quoting chartfan
I asked this because everyone talks about limitorder book, so I thought stop order book doesnt exist. Thank you for the correction.

I see a lot of orderbook provider on the market, who will share a limit order book for monthly fee. How these works? They collect data from brokers?
Are these limit books valid?
If they can offer this, why dont they offer stop order book too?
Wow! Honestly, I've heard these vendors existed but I didn't know there were so many of them! LOL

They specifically mentioned "limit" orders only? If that's the case, then I can't guess why they don't provide stop order info as well, because it doesn't really make any difference.

Anyways, I suppose the brokers (if not the market makers themselves) are the ones providing the data to these order flow vendors.

I won't say such limit book info is "invalid". But consider this: any such information is INCOMPLETE at best, as it only represents information from people WILLING to provide the info. There is no central clearing house where ALL orders in the known Universe are collated and the information distributed.

You forget that there are other (more ethical) counterparties that would not divulge such confidential information as it affects their relationship with the traders who left orders with them in the first place.

So my question is: Even if you know the stop order book info (which is only from CERTAIN counterparties, not ALL), so what?

If you acted on the info, and the market turns against your trade, are you going to say, "this order flow info provider is full of sh!t"?
I'm not trying to convince anyone. I'm not in the "convincing" business.
  • #7
  • Oct 21, 2012 11:38pm Oct 21, 2012 11:38pm
Quoting skenobi
Wow! Honestly, I've heard these vendors existed but I didn't know there were so many of them! LOL

They specifically mentioned "limit" orders only? If that's the case, then I can't guess why they don't provide stop order info as well, because it doesn't really make any difference.

for example this: http://orderbookfx.com/howitworks.html only limit orders
(to admins: I dont want to advertise anything ,so plz delete the link if it is against the forum rules)


Quoting skenobi
So my question is: Even if you know the stop order book info (which is only from CERTAIN counterparties, not ALL), so what?

If you acted on the info, and the market turns against your trade, are you going to say, "this order flow info provider is full of sh!t"?
i know that it would only partial info.
I dont say I want to buy some service and make profit from that day. lol
I just want to learn deeply how these orderflow thing (and the market) really works.
So this orderbook just an other tool to learn.
I know that on centralized markets everyone uses that, but not sure about FX.
  • #8
  • Oct 21, 2012 11:42pm Oct 21, 2012 11:42pm
Quoting sidhujag
Retail market is a big ponzu scheme. Best bet is to trade other retailers or start with higher capital on an institutional feed.
Yeah I hear rumors everyday and really dont know what to do we them (lack of XP).
I know that different market particioners are playing against each other, its just part of the game imo.
What I want to avoid is a true cheat like withdraw withholdig or suspicious order activations when the price wasnt there
  • #9
  • Oct 21, 2012 11:46pm Oct 21, 2012 11:46pm
This might be interesting for some of you:

http://fxtrade.oanda.com/analysis/forex-order-book

Shows limit and stop limit orders by % of total (instead of a volume amount,) for Oanda's client base.

There's a few ECN's or ECN-like shops that show "depth" but that's not quite the same as an order book since liquidity from an LP kinda obscures things. That's why I pointed out Oanda's order book since it's just their client orders and positions, and stop limits which isn't a common thing to see posted by brokers.
FXGears.com
  • #10
  • Oct 21, 2012 11:58pm Oct 21, 2012 11:58pm
Quoting Jack_Larkin
That's why I pointed out Oanda's order book since it's just their client orders and positions, and stop limits which isn't a common thing to see posted by brokers.
Good example... which highlights the fact that the info comes only from some sources and not all.

Quoting chartfan
I just want to learn deeply how these orderflow thing (and the market) really works.
So this orderbook just an other tool to learn.
I know that on centralized markets everyone uses that, but not sure about FX.
Well, it's a good enough tool to learn from, but not to be relied upon to put food on the table. (this message is not for you, of course, as I'm sure now you already know this, )

Maybe FX futures exchanges might have such things, but in spot FX, if such info is "available", it should be viewed with a pinch of salt, if not highly suspect.
I'm not trying to convince anyone. I'm not in the "convincing" business.
  • #11
  • Oct 22, 2012 3:10am Oct 22, 2012 3:10am
Quoting skenobi
Good example... which highlights the fact that the info comes only from some sources and not all.
Would it make sense to conclude from the small part that what happen on the big picture?
For example, you get orderbook only from one retail broker and you see orders like this:
BID ASK
1.2200 55 1.2220 110
1.2190 40 1.2230 50

Can we make this conclusion? :
At this broker the price has easier way to clear up the liquidity towards down because has less limit orders under the current price than above .
So maybe this ratio is true at all other brokers.

Like the women vote in chicago and the result is that 70% of them like the red shoes, so this ratio can be true in the whole USA.

Or it is more compex than that?
  • #12
  • Oct 22, 2012 3:11am Oct 22, 2012 3:11am
Quoting Jack_Larkin

http://fxtrade.oanda.com/analysis/forex-order-book
Thanks ! it looks great!
  • #13
  • Oct 22, 2012 3:18am Oct 22, 2012 3:18am
Quoting chartfan
Would it make sense to conclude from the small part that what happen on the big picture?
The short answer is No.

Quoting chartfan
Can we make this conclusion? :
At this broker the price has easier way to clear up the liquidity towards down because has less limit orders under the current price than above .
So maybe this ratio is true at all other brokers.

I'm really sorry, but that last sentence is not true. I wish it were otherwise.


Quoting chartfan
Or it is more compex than that?

It's not complex at all. Simply put, one broker's order book is not representative of the Market.
I'm not trying to convince anyone. I'm not in the "convincing" business.
  • #14
  • Oct 23, 2012 1:08am Oct 23, 2012 1:08am
Quoting skenobi

Simply put, one broker's order book is not representative of the Market.
So it doesn't worth to use at the spot FX? I must forget it on uncentralized markets?
  • #15
  • Edited 1:42am Oct 23, 2012 1:29am | Edited 1:42am
Quoting chartfan
So it doesn't worth to use at the spot FX? I must forget it on uncentralized markets?
The short answer is Yes, it's not worth using. And Yes, forget about using it in Spot FX.

If you really insist on using something similar, you're much better off using aggregated sentiment indicators like the ones on FF's Trades page (or something similar), where you have stats showing how many FF members are long or short a currency pair. This is FAR more useful than any order flow info from a single broker.

Personally, I don't use these.

Back when I was still trading for Banks, I sometimes use FX options vol surfaces to check the sentiment of the interbank FX options traders, and even then, only when I'm trading a longer-term view.

Now that I'm a "private citizen", I prefer to trade and fade short-term breakouts using horizontal support and resistance lines that I draw myself. And from my experience, the orders that you're so keen on looking for are (usually) never that far away from these horizontal lines. In the end, I never really needed order flow info which was more like an unnecessary crutch to me.
I'm not trying to convince anyone. I'm not in the "convincing" business.
  • #16
  • Oct 23, 2012 1:39am Oct 23, 2012 1:39am
^^ thanks your help Skenobi
  • #17
  • Oct 23, 2012 1:50am Oct 23, 2012 1:50am
Quoting skenobi
The short answer is Yes, it's not worth using. And Yes, forget about using it in Spot FX.

If you really insist on using something similar, you're much better off using aggregated sentiment indicators like the ones on FF's Trades page (or something similar), where you have stats showing how many FF members are long or short a currency pair. This is FAR more useful than any order flow info from a single broker.

Personally, I don't use these.

Back when I was still trading for Banks, I sometimes...
how does sampling the FF pool of trades differ from sampling one brokers pool of trades? they are both just portions of a larger whole, so i don't see why one has more meaning than another. you either trust that after a certain amount of data points you have a sample that is somewhat representative of the larger whole, or you don't.

what am i missing?
Congratulations ScalaFX for coming out of the closet!
  • #18
  • Oct 23, 2012 2:19am Oct 23, 2012 2:19am
Quoting nubcake
how does sampling the FF pool of trades differ from sampling one brokers pool of trades? they are both just portions of a larger whole, so i don't see why one has more meaning than another. you either trust that after a certain amount of data points you have a sample that is somewhat representative of the larger whole, or you don't.

what am i missing?
Well I'm sure different pollsters will have their own preference as to their sampling method. This is just my own preference. YMMV, of course.

If I absolutely HAVE to use a sentiment indicator (and I don't), I'd trust an aggregated pool sample (which I assume comes from a more worldwide audience using a variety of brokers) more, rather than one broker's pool of trades, which I imagine (rightly or wrongly) is probably derived from a more "targeted" demographic i.e. traders who actually use that ONE broker.

Plus, some brokers, I think, have a certain geographical bias (correct me if I'm wrong). GoMarkets, for instance. So on an intuitive level, I don't think I can trust order flow info from GoMarkets (for instance) to be representative of global sentiment. (assuming GoMarkets even provides such information)

Disclaimer: By "aggregated pool sample" I mean by any FX portal, not just FF. I was speaking in general.
I'm not trying to convince anyone. I'm not in the "convincing" business.
  • #19
  • Last Post: Jan 3, 2013 5:29am Jan 3, 2013 5:29am
Hi everybody , and Happy New Year, am a junior member I wish I can start a new thread but hope this thread can help , I have a question that hope it will help other fellows when correctly explained

1- I have been investigating ECNs for a while and I noticed that the Limit Order Book (Market Depth ) is totally different from one broker to another broker why? (is it because they have different liq providers ?)
2-What does this order book really reveal ? (is it their liq providers limit orders with their customers limit orders ?)
3- I have noticed that specifically one broker (FxPro) has almost always a balanced limit order book to almost all pairs I have looked at ? is this NORMAL? what does it mean ? are they hedging their customers positions ???
4-how one can tell if the ECN provider limit order book is REAL and TRANSPARENT ( in terms of the position sizes really reflect their providers and customers) and not manipulated ?
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