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Where Can I Find Deep Liquidity in FX?

  • #81
  • May 20, 2015 10:57pm May 20, 2015 10:57pm
Quoting cabeltrader
{quote} 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?
It really just boils down to the fact that the MM algos that the LPs are employing are set to limit their risk exposure at any given price level (esp on NLL due to latency risk). Thus, if you were to 'sweep the book' on a NLL platform by executing in one large market order, you're ultimately hurting yourself by not allowing time (milliseconds) for the algos to replenish liquidity at the existing (or nearby) price levels.
  • #82
  • May 29, 2015 11:51am May 29, 2015 11:51am
This thread looks like it is dying like all other threads with discussions about brokers for higher deposit traders.
Cabeltrader, did you find anything good yet?
  • #83
  • May 29, 2015 12:22pm May 29, 2015 12:22pm
Quoting cabeltrader
Dear all, Currently I am on the middle of a quest to find a new broker. I trade G10, make a few trades a week, and with relatively large clips. I usually hold positions for a few hours and never less than a few minutes. I trade manually through a GUI and don't have preferences in regards to platforms, anything that enables me to do market and limit orders suits me fine and to see market depth (doesn't even need to be on the same piece of software), being able to see VWAP prices is good too. I do not need research, I do not need charts, I do not...
Hi dear sir

i see interactivebrokers and baxter as better choices for you
have a nice day please
focus while relaxed to see better
  • #84
  • Jun 4, 2015 1:08pm Jun 4, 2015 1:08pm
Quoting Trader KGB
{quote} It really just boils down to the fact that the MM algos that the LPs are employing are set to limit their risk exposure at any given price level (esp on NLL due to latency risk). Thus, if you were to 'sweep the book' on a NLL platform by executing in one large market order, you're ultimately hurting yourself by not allowing time (milliseconds) for the algos to replenish liquidity at the existing (or nearby) price levels.
Typically, going direct to the primary MMs (most will employ some form of last-look) will get you a lot better pricing and execution than the ECNs (mostly non-last look). Primary reason is that dark pool ECNs don't allow the primary MMs to cater to your flow - rejections are usually higher on ECNs as well. It's the same guys providing the bulk of liquidity on ECNs, they're not going to suddenly be 'better' on a non-direct venue...

CabelTrader was on the right track - for the vast majority of liquidity seekers, going direct is much better, regardless of last-look. The only exception would be ultra HFTs and arbs or latency snipers ("Toxic") etc. etc. For those lot, you go to a dark pool and hope the skews put on by the MMs reduce your overall spreads in times you want to trade.

Don't even talk about Futures, just two words will suffice - 'Cost Prohibitive'

Bloomberg, currenex (plenty of re-sellers if you can't go direct), integral, should be able to cater to your needs, CabelTrader.
  • #85
  • Jun 4, 2015 5:36pm Jun 4, 2015 5:36pm
Quoting Pirotechnic
{quote} Typically, going direct to the primary MMs (most will employ some form of last-look) will get you a lot better pricing and execution than the ECNs (mostly non-last look). Primary reason is that dark pool ECNs don't allow the primary MMs to cater to your flow - rejections are usually higher on ECNs as well. It's the same guys providing the bulk of liquidity on ECNs, they're not going to suddenly be 'better' on a non-direct venue... CabelTrader was on the right track - for the vast majority of liquidity seekers, going direct is much better,...
Tier1 brokers have the ability to work with Lp's for special institutional client requests.
This could be a specific price feed for certain currencies and transaction size.
Tier1 brokers can offer better leverage than a prime broker or bank.
Tier1 brokers have access to hedge fund liquidity ( non bank ) as well as their own pricing pool from their own clients.

As yourself this question .. Why do banks use brokers and not direct relationships like in the past ?
  • #86
  • Jun 8, 2015 12:55pm Jun 8, 2015 12:55pm
Quoting lasty
{quote} Tier1 brokers have the ability to work with Lp's for special institutional client requests. This could be a specific price feed for certain currencies and transaction size. Tier1 brokers can offer better leverage than a prime broker or bank. Tier1 brokers have access to hedge fund liquidity ( non bank ) as well as their own pricing pool from their own clients. As yourself this question .. Why do banks use brokers and not direct relationships like in the past ?
I'm not sure what your argument here is, and who you consider a 'Tier 1' broker. What position are you defending??

However, I will comment on some of what you said. If you're talking "Tier 1" FX brokers, like FXCM, GAIN, IG, SAXO, OANDA etc. then:

 

  1. Yes, the top FX brokers have multiple feeds from LPs to segregate out their flow (multiple is not really that many - LPs always bitch about the cost to set up a third/fourth price stream)
  2. They offer 'better' leverage simply because they take on more credit risk and have more stringent margin rules. A second major factor is that LPs are dealing with NOPs in the 100s of millions, where liquidating a position that size will take time, whereas most brokers are no where near that exposure for a single client, enabling them to 'margin call' and liquidate before the account goes negative (most of the time, hah)
  3. Lol - the 'pricing pool' from their own clients is small ticket size stuff that sits in their A or B book. Once you get over 100-200K in ticket sizes, the internal pool becomes insufficient. Hedge fund liquidity is another joke, they can only beat out a primary MM on price if they have a massive skew on to de-risk...they get an insignificant portion of the hedge volume from any Tier 1 broker. Hedge funds are actually a lot more valuable to Tier 2 brokers and downwards, as they'll deal with smaller firms whereas the primary MMs balk at that tranche because of credit exposure issues

  • #87
  • Jun 8, 2015 4:42pm Jun 8, 2015 4:42pm
Quoting Pirotechnic
{quote} I'm not sure what your argument here is, and who you consider a 'Tier 1' broker. What position are you defending?? However, I will comment on some of what you said. If you're talking "Tier 1" FX brokers, like FXCM, GAIN, IG, SAXO, OANDA etc. then: Yes, the top FX brokers have multiple feeds from LPs to segregate out their flow (multiple is not really that many - LPs always bitch about the cost to set up a third/fourth price stream) They offer 'better' leverage simply because they take on more credit risk and have more stringent margin rules....
Tier 1 brokers those who have prime brokers can choose what price engines to have.
They can also have direct relationships with banks as well as dark pools whereby a broker needs a PB to access.
In other words they dictate where their liquidity is coming from.

Tier 2 brokers are restricted somewhat.

Broker internalization with its own clients reduces latency.

Hedge fund skewing is preferable as it closes the spread.

Dealing with hedge funds with a 4 way give up is a prime broker bank risk. I dont see an issue here
  • #88
  • Jun 28, 2015 11:22pm Jun 28, 2015 11:22pm
Quoting shrike
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).

Could you elaborate on why would you be wary of Dukascopy?
  • #89
  • Jun 28, 2015 11:44pm Jun 28, 2015 11:44pm
Quoting lasty
{quote} 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.


I am not too sure about the feed on the right, but I think that what you have said is likely to be the case, as they (FC Stone) recommended me to go to RFQ mode once ticket size gets large.

Quoting lasty
{quote}The art of the trader who wants to trade in large amounts is to massage not rupture the lp's pricing.


What do you mean by not rupturing the LP's pricing? Could you elaborate on that?

Quoting lasty
{quote}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.


I am having some objections of people not wanting to build similar kinds of feeds for me, as they see me as a prospect that is not very likely to sign up with them, which is not inaccurate, but which turns a lot more accurate once they reject to do it. It is a self-fulling prophecy.

Can you recommend any providers that are willing to show these full amounts feeds? I am specially interested in feeds that have banks competing to execute the full amounts instead of only one bank streaming the full amount at all times.
  • #90
  • Jun 29, 2015 12:07am Jun 29, 2015 12:07am
Quoting cabeltrader
{quote} I am not too sure about the feed on the right, but I think that what you have said is likely to be the case, as they (FC Stone) recommended me to go to RFQ mode once ticket size gets large. {quote} What do you mean by not rupturing the LP's pricing? Could you elaborate on that?

You hit for 50mio GBP/USD in a retail price stream and you will be slipped as the price maker is quoting you in smaller business parcels.
If you massage the order ie trading it in small amounts then the slippage wont be as bad.
The skill of the trader is to know...
Banks don't want to compete when hitting large amounts. They want all or nothing. They want to be in control not partially.

To set up a large amount aggregated price stream is not possible on some systems as the price stream is shared with other parties and therefore they are reluctant to build it.

Only certain brokers who have individual FIX API to Lp's may do it, if at all.
Hence that's your problem.
  • #91
  • Jun 29, 2015 12:18am Jun 29, 2015 12:18am
Quoting cabeltrader
{quote} I am not too sure about the feed on the right, but I think that what you have said is likely to be the case, as they (FC Stone) recommended me to go to RFQ mode once ticket size gets large. {quote} What do you mean by not rupturing the LP's pricing? Could you elaborate on that? {quote} I am having some objections of people not wanting to build similar kinds of feeds for me, as they see me as a prospect that is not very likely to sign up with them, which is not inaccurate, but which turns a lot more accurate once they reject to do it. It...
And don't even think about MT4 ..
No one will set up a special MT4 server for this business which it needs to isolate small size volume
  • #92
  • Jul 1, 2015 12:20am Jul 1, 2015 12:20am
Cabletrader,

Having work as the liquidity manager at one of the larger FX brokers there are options.
Lasty is correct you will need to set up a fix API to get all the pricing feeds you will need.
the banks will not compete for your trade they will be publishing each price at each liquidity amount.
  • #93
  • Jul 2, 2015 6:33am Jul 2, 2015 6:33am
Quoting cabeltrader
Dear all, Currently I am on the middle of a quest to find a new broker. I trade G10, make a few trades a week, and with relatively large clips. I usually hold positions for a few hours and never less than a few minutes. I trade manually through a GUI and don't have preferences in regards to platforms, anything that enables me to do market and limit orders suits me fine and to see market depth (doesn't even need to be on the same piece of software), being able to see VWAP prices is good too. I do not need research, I do not need charts, I do not...
just open an ecn account.where you donot have an intermediary.that's where the real action is.you arenot going to find a broker that fits ALL of your requirements.there has to be trade offs
  • #94
  • Jul 7, 2015 11:25pm Jul 7, 2015 11:25pm
currenex.com
I have used them in the past. Best option.
  • #95
  • Last Post: Edited 8:26am Sep 6, 2015 7:57am | Edited 8:26am
Is Pepperstone just out of consideration? I love both Pepperstone and Dukascopy but it seems Pepperstone gives better and consistantly low (stable) spread (including minor pairs) than Dukascopy. (Dukas' spread more fluctuates.) Even though many people hate MT4, i still feel it's convenient compare to JForex and haven't found any serious drawback till now. (Please help me understand why MT4 is not for serious people.) Also, Pepperstone has deeper historic price data. See Weekly or Monthly charts, and you find Dukascopy charts don't draw as many candles as Pepper's. Max lot size of one click is 'only' 10M but i think you can make speedy mouse clicks to quickly make multiple entries, so it's not a big deal. Seriously, is there anyone who dare to open single 100M lot despite of all the slippage and risk of being stop hunted? When i have that huge account, i'd rather use a multiple entries/multiple exits strategy....
Simplicity is the ultimate sophistication - Leonardo da Vinci
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