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Where Can I Find Deep Liquidity in FX?

  • #61
  • May 15, 2015 3:32am May 15, 2015 3:32am
Quoting cabeltrader
{quote} I should be looking to use last-look liquidity as this results in an improvement from the pricing
This is what every bank/PB/PoP wants you to believe. Last look is intended to protect their bottom line, not yours.

Last look is on its last legs, it will be regulated away soon enough, while the CME (and perhaps one day LMAX) continues to clean up in the institutional space.
  • #62
  • May 15, 2015 5:59am May 15, 2015 5:59am
Quoting Trader KGB
{quote} I'm of the viewpoint that if one is trading any strategy where swap rates are critical, then you should be trading FX futures, where you'll receive an implied swap rate far more competitive than any bank or broker will offer (and for US traders, far more tax advantageous too).
True for swaps, unfortunately with futures you also get:

- Higher spreads & higher commissions
- lower liquidity
- lower leverage
- fixed odd size contracts (EUR125K, GBP62.5K)
- contracts that expire every 3 months so you'll have to pay again 2x the spread & commissions to stay invested

I live in Dubai so there's no tax...
  • #63
  • May 15, 2015 4:40pm May 15, 2015 4:40pm
Quoting M967
{quote} Which broker are you now trading with?
I would rather not disclose it, but it is a more institutional type venue with access to major ECNs.

Quoting PoundTrader
http://www.admd.com/ https://www.intlfcstone.com/ https://www.jpmorgan.com/mdapi/08BSI..._MD_intro.html
Thanks, I've filled that JPM form in the past but no one contacted me.

Are the volumes I mentioned enough to do business with them?
  • #64
  • May 15, 2015 4:54pm May 15, 2015 4:54pm
Quoting Trader KGB
{quote} This is what every bank/PB/PoP wants you to believe. Last look is intended to protect their bottom line, not yours. Last look is on its last legs, it will be regulated away soon enough, while the CME (and perhaps one day LMAX) continues to clean up in the institutional space.
Thanks for the answer.

Isn't that a way too simplified model of reality? For more serious brokers it shouldn't make any difference if I trade last-look or non last-look, actually, they have incentives to give me good execution (last-look or non last-look, whichever is best for my profile) and so to keep me happy as a customer.

The liquidity on last look when compared to non last look is usually very different. I've talked with people that have access to all ECNs and multiple LPs, and that is what I was told. I also checked LMAX and HotSpot non-last look feeds, and they are very far away from the prices I get on last look feeds. So far away that even if I am being somewhat badly executed, it is still worth to be in those last look feeds.

There are no saints in this business, and everyone is looking to make the most amount of money possible (not everyone is short-sighted though, although there is a lot of it), but I see very clearly why some players would be willing to tighten spreads if you do not pose a threat to do lat arb or other kind of exploits, which last look helps to avoid. And this is why last-look should enable LPs to improve spreads over non-last look.

If you have execution data that displays better pricing on non-last look over last-look, I am very interested in those. And the more details the better.

Thanks!
  • #65
  • May 16, 2015 1:47am May 16, 2015 1:47am
Quoting cabeltrader
{quote} I would rather not disclose it, but it is a more institutional type venue with access to major ECNs. {quote} Thanks, I've filled that JPM form in the past but no one contacted me. Are the volumes I mentioned enough to do business with them?
try the phone next time , your not serious
  • #66
  • May 16, 2015 3:54am May 16, 2015 3:54am
Quoting cabeltrader
{quote} I also checked LMAX and HotSpot non-last look feeds, and they are very far away from the prices I get on last look feeds.
Care to post a comparison screenshot of these alleged "very far away" prices?
  • #67
  • May 16, 2015 5:04am May 16, 2015 5:04am
Quoting cabeltrader
{quote} I would rather not disclose it, but it is a more institutional type venue with access to major ECNs.
So... You've been asking everyone for feedback on their brokers experience but you would rather not disclose your own? That's pretty lame...
  • #68
  • May 16, 2015 12:49pm May 16, 2015 12:49pm
Quoting Bicarus
{quote} forget about all these prop brokerages, go directly to bloomberg's trading platform. suite everything u are asking of.
They dont provide leverage
  • #69
  • May 16, 2015 12:52pm May 16, 2015 12:52pm
Don't use FIXI, they've been sold off to AXI Corp
  • #70
  • May 16, 2015 12:53pm May 16, 2015 12:53pm
Quoting cabeltrader
{quote} Thanks for the answer. Isn't that a way too simplified model of reality? For more serious brokers it shouldn't make any difference if I trade last-look or non last-look, actually, they have incentives to give me good execution (last-look or non last-look, whichever is best for my profile) and so to keep me happy as a customer. The liquidity on last look when compared to non last look is usually very different. I've talked with people that have access to all ECNs and multiple LPs, and that is what I was told. I also checked LMAX and HotSpot...
If you want I know a 1 Billion dollar CTA who started a prime of prime brokerage, with spreads at CTA liquidity, 15 M euro would be less than a pip and cable at 1.5m. If you are interested, send me your email on PM and I'll make an introduction. They charge very low commissions too.
  • #71
  • May 16, 2015 1:45pm May 16, 2015 1:45pm
Quoting plotinus82
{quote} If you want I know a 1 Billion dollar CTA who started a prime of prime brokerage, with spreads at CTA liquidity, 15 M euro would be less than a pip and cable at 1.5m. If you are interested, send me your email onPM and I'll make an introduction. They charge very low commissions too.
What about execution, partial or not on 15m order ? What platform? Margin level? Commissions size? Website?
  • #72
  • May 16, 2015 1:49pm May 16, 2015 1:49pm
Quoting actalis
{quote} So... You've been asking everyone for feedback on their brokers experience but you would rather not disclose your own? That's pretty lame...
Exactly, I am willing to share a lot, and if you read my posts, you will see that. But, obviously, I will not share something that may harm my relationships and much less my business, which could very much be a consequence of disclosing who my broker is and the quality of services provided.

And of course I do not expect to people to share information at the expense of their relationships or their business.
  • #73
  • May 16, 2015 2:01pm May 16, 2015 2:01pm
Quoting Trader KGB
{quote} Care to post a comparison screenshot of these alleged "very far away" prices?
Sure, it will have to wait until markets open though.

Quoting PoundTrader
{quote}try the phone next time , your not serious
Thanks!

Quoting plotinus82
{quote} They dont provide leverage
A PB is needed to trade with Bloomberg? Could you provide more details about trading with them?
  • #74
  • May 16, 2015 3:23pm May 16, 2015 3:23pm
Quoting M967
{quote} What about execution, partial or not on 15m order ? What platform? Margin level? Commissions size? Website?
PM me if you're looking to set up with them, I'll make an email intro, it's easier and will get you better comm levels.
  • #75
  • Edited 3:26pm May 19, 2015 3:15pm | Edited 3:26pm
Quoting Trader KGB
{quote} Care to post a comparison screenshot of these alleged "very far away" prices?
Screenshot is below:

Attached Image (click to enlarge)
Click to Enlarge Name: Screenshot1.png Size: 54 KB


In terms of volume: 100 on the left = 1 on the right

VWAP spreads for 25M: ~3.5-4 pips on the left vs ~1.6 pip on the right
  • #76
  • May 20, 2015 1:08am May 20, 2015 1:08am
Quoting cabeltrader
{quote} Screenshot is below: {image} In terms of volume: 100 on the left = 1 on the right VWAP spreads for 25M: ~3.5-4 pips on the left vs ~1.6 pip on the right
Thanks for posting. When you said the "pricing was off" I wasn't sure if you were directly referencing relative book depth. But in terms of comparing relative book depth of LL vs non-LL, it's a bit of apples to oranges. The LPs aren't going to post the same size on a non-LL feed for fear of being picked off on a latent move. Similarly, there's a reason average institutional trade size in FX has been declining precipitously over the past few years (3M and falling last I checked).

On a limit order at LMAX, you'd likely be able to fill 25M at the same or superior spread, as the algos fill you piece by piece. I've been monitoring 10M-25M order sizes on LMAX and the slippage on getting that size done on market orders is quite negligible (preferably broken up as smaller orders of course, not one large market order).
  • #77
  • May 20, 2015 1:23pm May 20, 2015 1:23pm
Quoting Trader KGB
{quote} Thanks for posting. When you said the "pricing was off" I wasn't sure if you were directly referencing relative book depth. But in terms of comparing relative book depth of LL vs non-LL, it's a bit of apples to oranges. The LPs aren't going to post the same size on a non-LL feed for fear of being picked off on a latent move. Similarly, there's a reason average institutional trade size in FX has been declining precipitously over the past few years (3M and falling last I checked). On a limit order at LMAX, you'd likely be able to fill 25M...
Thanks for the answer!

I imagine that what you said is also applicable on a LL feed, that is, you can also improve your execution if you do it piece by piece. If that is the case then this is not a discussion of whether non last look is better than last look, but about execution strategies and algos. Could you comment on this? Is there a reason why executing in small chunks is (or should be) superior on NLL vs LL?

LMAX has execution algos built into it?
  • #78
  • May 20, 2015 1:57pm May 20, 2015 1:57pm
It also depends how exactly LL is practiced. Some impose maximum rejection rates, also it matters how long a LP is allowed to sit on an order, before it is filled or rejected. If LL privileges aren't policed at all, its a license to print money. Unfortunately noone ever publishes this information (but i would be wary of Dukascopy in this department).
  • #79
  • May 20, 2015 7:17pm May 20, 2015 7:17pm
Quoting cabeltrader
{quote} Thanks for the answer! I imagine that what you said is also applicable on a LL feed, that is, you can also improve your execution if you do it piece by piece. If that is the case then this is not a discussion of whether non last look is better than last look, but about execution strategies and algos. Could you comment on this? Is there a reason why executing in small chunks is (or should be) superior on NLL vs LL? LMAX has execution algos built into it?
The Lp's have speed humps built into their pricing.
Your pricing above on the right although it shows very deep liquidity could infact have the same LP pricing in different amounts.
By the time you have hit their first 2 layers you can bet their other layers will disappear.
The Lp's arent aware of who else is in the aggregation so they will have safe guards to prevent being machine gunned in their pricing mechanism.
Liquidity can be mirrored and this can also set off a chain of events causing slippage,price rejection etc.

The art of the trader who wants to trade in large amounts is to massage not rupture the lp's pricing.
Tier 1 brokers (brokers who have Prime brokers) can set up a pricing stream with one or two banks specifically for pricing in large amounts.

Banks/Lp's prefer to quote in full amounts rather than being part of an order.
  • #80
  • May 20, 2015 9:48pm May 20, 2015 9:48pm
I totally agree with lasty as i have had that same experience with LPs. They have high reject rate for lower levels of depth so essentially order book is virtual and doesn't guarantee execution at those displayed level.

Cabletrader, your broker platform ( it is Integral if i a not wrong ) might be displaying those volumes but i bet when you hit them you wouldn't receive the executions at those levels. But do let us know where your journey to find deep and reliable liquidity leads to ?
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