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  • #1,061
  • Jan 14, 2016 3:21am Jan 14, 2016 3:21am
Quoting skenobi
lasty answered well. I'm gonna add some bank trader perspective here as well. 1. Bank traders deal in non-standard amounts of real money, not lots of imaginary sizes. 2. The real money equivalent of 100 lots of, say, USDJPY, is 10 million USD. In the institutional world, 10 million of anything should clear within seconds if not a split second. 3. If a retail trader actually has the sophistication to trade 100 lots, then perhaps he shouldn't really be executing thru a standard retail broker. 4. lasty's answer was great, but the only real way for...
I've never had a requote or slippage of any kind with Oanda on 10 lots. 100 probably wouldn't either.

Perhaps this is because Oanda is taking the other side, then hedging it with the real market (other speculators).

So perhaps Oanda itself gets a little slippage when they offset the trade, but I never do.

I don't really know the dynamics (you probably do)

Also, EBS and Reuters only do 230 billion a day in business (they print the daily averages every month). Where do you suspect the other 95% of the volume comes from? I read that 500 billion is done over the phone, but that still leaves a substantial amount of volume unaccounted for.
Be hopeful in a winning position, and fearful in a losing position.
  • #1,062
  • Jan 14, 2016 4:20am Jan 14, 2016 4:20am
This seems like a newb question but why does my limit order get positive price slippage? I thought by design limit orders only fill at the exact price of the limit? As a market maker, how could my price be any different than what I am offering to sell it for to the market taker? Could someone with more experience answer this?

82.29 fills at 82.292
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Be hopeful in a winning position, and fearful in a losing position.
  • #1,063
  • Jan 14, 2016 4:58am Jan 14, 2016 4:58am
My understanding is that there shouldn't be any slippage on limit orders.
  • #1,064
  • Jan 14, 2016 5:09am Jan 14, 2016 5:09am
A limit order in retail Fx is not a guarantee of exact price.
All it is, is an order that; when the price reaches your specified level, a market order is executed.
The lag effect between the order submission and the order accept means that prices can and do change from the moment your limit order is triggered.
if you are with a decent broker...there is a healthy mix of positive and negative slippage.
If you always get negative slippage...perhaps consider a change.
Wealth comes from what you keep, not what you earn
  • #1,065
  • Jan 14, 2016 6:54am Jan 14, 2016 6:54am
Quoting trader34
A limit order in retail Fx is not a guarantee of exact price. All it is, is an order that; when the price reaches your specified level, a market order is executed. The lag effect between the order submission and the order accept means that prices can and do change from the moment your limit order is triggered. if you are with a decent broker...there is a healthy mix of positive and negative slippage. If you always get negative slippage...perhaps consider a change.
What you describe applies (as far as I know) only to Oanda which uses market if touched (MIT) orders and calls them limit orders in FXTrade for manual entry. If you place trades through Oanda's API, a limit order is indeed a true limit order where you are filled at your price or better with zero slippage, the same as every other broker.

So Oanda has set up its manual order entry in FXTrade to work against manual traders in terms of slippage.

Quote
My understanding is that there shouldn't be any slippage on limit orders.

You're exactly correct for real limit orders this should be your expectation. FX brokers that run B-books have a conflict of interest with their clients and as a result may engage in practices such as offering something that they call a limit order, but that is really just a disguised market order so that they can presumably make more money off the inevitable slippage.

Since the NFA looks into asymmetrical slippage they can't take as much advantage of this game as they used to, but to my knowledge the NFA in its audit doesn't look at trade size in relation to asymmetrical slippage. So Oanda is likely still slipping larger orders that are placed manually much more than smaller orders placed manually as a sort of profit center, and as a way to skate past NFA oversight. Caveat trader!
  • #1,066
  • Edited 7:20am Jan 14, 2016 7:07am | Edited 7:20am
I think FXCM was actually fined for unfairly applying negative slippage. It shows the broker has a lot more control over execution than they would have you believe.


But, I'm pretty sure I am correct.

A limit order in FX once triggered becomes a market order, and is therefore momentarily at the mercy of the current fluctuations. The limit order price only executes the order, in the same relative time as a manual market order, except it is done at broker level, cutting out the submit time of a manual order.

Anyone who has traded an ECN account with a limit order left on during a news event can vouch for this. I was stung this way hard once, a limit order being filled 15 pips past my price!
When i asked the broker why my order was not filled at my price, the explanation they gave was what I said above.

There is a difference between a limit order available to retailers, and a PTM order (pegged to market) which we can't access on MT4.

**Edit**
After contacting my broker again to clarify, with limit orders, yes they become market orders upon trigger, but in theory you should always achieve your price or better when the limit is executed.
The caveat is: the broker terms and conditions state that; in fast moving/volatile markets your limit orders may not be at "best price" due to lack of quotes at the specified price at that time.


Pretty much a green light for them to slip.
Wealth comes from what you keep, not what you earn
  • #1,067
  • Jan 14, 2016 7:27am Jan 14, 2016 7:27am
FXCM HIGHLIGHTS:

  1. 76.2% of all orders had NO SLIPPAGE.
  2. 13.5% of all orders received positive slippage.
  3. 10.2% of all orders received negative slippage.
  4. Over 58% of all limit and limit entry orders received positive slippage.
  5. 52% of all stop and stop entry orders received negative slippage.

    Interesting that FXCM actually advertise they have 52% negative slippage on stop orders.
    Implies that this is better than most! ha!

And this is just funny:

USE LIMIT AND LIMIT ENTRY ORDERS
We recommend opening and closing trades using limit and limit entry orders in most cases, which guarantees your requested price or better without negative slippage. Remember that, although limit orders guarantee price, they do not guarantee execution, making order types an important consideration in any trading decision.

Wealth comes from what you keep, not what you earn
  • #1,068
  • Jan 14, 2016 7:46am Jan 14, 2016 7:46am
Quoting trader34
I think FXCM was actually fined for unfairly applying negative slippage. It shows the broker has a lot more control over execution than they would have you believe.
Yes FXCM got caught with asymmetrical slippage and their hand was slapped, but Oanda was too cagy to be caught. Either Oanda changed its fill algorithm in light of the action against FXCM or cooked its books. Now the NFA requires symmetrical slippage or they get fined. Since these brokers are providing the pricing and fills they have a lot of control over slippage. Writing an algo that divides up slippage evenly would be very trivial. Writing an algo that fools the NFA while asymmetrically slipping larger orders more than smaller orders would also be trivial, and highly profitable. I'd be highly surprised if they all taking advantage of this highly lucrative profit center.
  • #1,069
  • Jan 14, 2016 7:47am Jan 14, 2016 7:47am
Quoting trader34
I think FXCM was actually fined for unfairly applying negative slippage.

After contacting my broker again to clarify, with limit orders, yes they become market orders upon trigger, but in theory you should always achieve your price or better when the limit is executed.
This is about FXCM http://www.financemagnates.com/forex...-clients-back/

The limit order are not executed as market orders after the price is reached. A market order is executed at the best available price, while the limit order should be executed at the stated price or better. Stop and MIT orders are executed as market orders after they are activated.
  • #1,070
  • Jan 14, 2016 8:25am Jan 14, 2016 8:25am
So, in this case exit orders can be considered stop orders, and slipped accordingly.

Still, this is in the small print on my broker:

A pending limit order has no impact on your account totals and can be cancelled at any time. If the conditions of a limit order are met, the pending order is executed and becomes an active market order.
Wealth comes from what you keep, not what you earn
  • #1,071
  • Jan 14, 2016 6:00pm Jan 14, 2016 6:00pm
Quoting srmfx
{quote} FX is a decentralized market and the dealers at the large banks have some advantages (size, info, etc.). If you learn how they think and act could be only beneficial for you. At least it is for me.
Yes, please keep learning and by the way do not forget why to learn.
We are in this game for making money eventually, i think.
  • #1,072
  • Jan 14, 2016 6:13pm Jan 14, 2016 6:13pm
Quoting skenobi
{quote} Neither. For more color to this answer, I think you will find it in the first 5 pages of this thread. {quote} My two cents (because others will have their own opinions, naturally): This is not really a valid comparison, is it? The financial markets isn't exactly a small village road. But anyway, to answer your question directly: No. {quote} It doesn't matter to me if it has or hasn't. I accepted that the market continually evolves into a different animal every few years, and we all have to adapt or have bad days. {quote} 1. It's been...

I LIKE ALL ANSWERS YOU POSTED HERE, SKENOBI.

i just like to put my own opinion that trying to copy others in trading is more harmful than helpful. I believe there are many professors who know every little thing about trading fx, stocks, options,... who can stand to give lengthy lectures and train others, but they cannot even trade them selves profitablly. They do make money by teaching and selling their courses, books....

There are also traders who know only one or two things about the market they trade and they do make consistent profit. But if these "lucky" traders can manage big account or not, it is a totally different question.

Indeed, i keep reading your all interesting answers here. Thanks
  • #1,073
  • Jan 15, 2016 9:06am Jan 15, 2016 9:06am
Quoting Rag2RichesFX
{quote} I've never had a requote or slippage of any kind with Oanda on 10 lots. 100 probably wouldn't either. Perhaps this is because Oanda is taking the other side, then hedging it with the real market (other speculators). So perhaps Oanda itself gets a little slippage when they offset the trade, but I never do. I don't really know the dynamics (you probably do) Also, EBS and Reuters only do 230 billion a day in business (they print the daily averages every month). Where do you suspect the other 95% of the volume comes from? I read that 500 billion...
http://www.reuters.com/article/bis-s...0GZ34R20130905

Over 1/2 of the total 5.3 trillion ADV is done with fx swaps and other forward contracts. Spot Fx was about 40% Or 2,000 billion. Not sure if non-bank MMs are included and if internalized flow is included. Perhaps Skenobi can provide some more insight as to how the ADV is spread out in the markets.
Measure trends automatically with zero lag
  • #1,074
  • Jan 17, 2016 1:10pm Jan 17, 2016 1:10pm
Quoting trader34
A limit order in retail Fx is not a guarantee of exact price. All it is, is an order that; when the price reaches your specified level, a market order is executed. The lag effect between the order submission and the order accept means that prices can and do change from the moment your limit order is triggered. if you are with a decent broker...there is a healthy mix of positive and negative slippage. If you always get negative slippage...perhaps consider a change.
In futures and cash stock trading this is not the case.

Only in retail FX, a limit order isn't a true limit order? But a trigger to enter market order?

So we can never be true providers of liquidity, only takers of liquidity?

Perhaps I'll open an account with Reuters when I have 1 million USD.

Do any inter dealer brokers (EBS, Reuters, HotSpot, etc) offer margin (even 5:1) or is it purely cash trading?
Be hopeful in a winning position, and fearful in a losing position.
  • #1,075
  • Jan 17, 2016 5:14pm Jan 17, 2016 5:14pm
Quoting Rag2RichesFX
{quote} In futures and cash stock trading this is not the case. Only in retail FX, a limit order isn't a true limit order? But a trigger to enter market order? So we can never be true providers of liquidity, only takers of liquidity? Perhaps I'll open an account with Reuters when I have 1 million USD. Do any inter dealer brokers (EBS, Reuters, HotSpot, etc) offer margin (even 5:1) or is it purely cash trading?

To my knowledge, interdealer brokers offer no margin.
I don't think we can access interdealer brokers as individuals. Only institutions. But Others here will confirm or correct that.

Not really sure why anyone would want to go interdealer anyway, especially with as little as $1m.
A decent retail broker can easily handle balances twice that amount, with leverage 1:100, or 1:200.
There are prime brokerage options if balances are looking more serious but most will max out at 1:50.
Wealth comes from what you keep, not what you earn
  • #1,076
  • Jan 17, 2016 6:18pm Jan 17, 2016 6:18pm
Quoting Rag2RichesFX
Only in retail FX, a limit order isn't a true limit order? But a trigger to enter market order? So we can never be true providers of liquidity, only takers of liquidity?
Maybe I'm mis-reading your post. But why are there question marks? Do you really not know this!

Some of us have been arguing with you about how retail traders make no impact on the market, and you keep talking shit about "the market wouldn't exist without retail traders" which is fertilizer. And now you are asking this super basic question?

How can you NEVER have noticed that your "limit" orders ALWAYS cross the spread? What part of crossing the spread has ever suggested to you that you are providing liquidity, instead of taking liquidity?

Do you now understand why maybe you should shut up, sit down, and do some reading and pay some attention? Seriously.
Congratulations ScalaFX for coming out of the closet!
  • #1,077
  • Edited 11:36pm Jan 17, 2016 11:10pm | Edited 11:36pm
Quoting trader34
{quote} To my knowledge, interdealer brokers offer no margin. I don't think we can access interdealer brokers as individuals. Only institutions. But Others here will confirm or correct that. Not really sure why anyone would want to go interdealer anyway, especially with as little as $1m. A decent retail broker can easily handle balances twice that amount, with leverage 1:100, or 1:200. There are prime brokerage options if balances are looking more serious but most will max out at 1:50.
An institution starts with an individual. You could start one if you wanted

It doesn't seem realistic that a retail broker would offer 50:1 to someone with a 10 mil balance. Unless that account had other funds in bank accounts that were committed to covering negative balance should that ever occur

Although someone with that much capital wouldn't use that much leverage anyway
Be hopeful in a winning position, and fearful in a losing position.
  • #1,078
  • Edited 11:41pm Jan 17, 2016 11:24pm | Edited 11:41pm
Quoting nubcake
{quote} Maybe I'm mis-reading your post. But why are there question marks? Do you really not know this! Some of us have been arguing with you about how retail traders make no impact on the market, and you keep talking shit about "the market wouldn't exist without retail traders" which is fertilizer. And now you are asking this super basic question? How can you NEVER have noticed that your "limit" orders ALWAYS cross the spread? What part of crossing the spread has ever suggested to you that you are providing liquidity, instead of taking liquidity?...
I can tell by your attitude you make no money.

I never said the market wouldn't exist without retail. I said our orders matter to liquidity. It's not like we are trading in demo and make no impact.

Occasionally my limit orders get positive price slippage but not always.

On any centralized market, limit orders do not cross the spread. This is only the case with FX.



My education has nothing to do with my ability to trade.
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Be hopeful in a winning position, and fearful in a losing position.
  • #1,079
  • Jan 17, 2016 11:26pm Jan 17, 2016 11:26pm
Quoting ybfjax
{quote} http://www.reuters.com/article/bis-s...0GZ34R20130905 Over 1/2 of the total 5.3 trillion ADV is done with fx swaps and other forward contracts. Spot Fx was about 40% Or 2,000 billion. Not sure if non-bank MMs are included and if internalized flow is included. Perhaps Skenobi can provide some more insight as to how the ADV is spread out in the markets.
The report is from 2013. It's a snapshot report that changes every time a snapshot is made. And the component numbers change for various reasons that are not really important in the pursuance of trading profits.

It's probably only useful to interdealer brokers to figure out their entertainment budget for the year going forward, and probably to Banks in figuring out which interdealer brokers to squeeze for entertainment.

Quoting trader34
{quote} To my knowledge, interdealer brokers offer no margin. I don't think we can access interdealer brokers as individuals. Only institutions. But Others here will confirm or correct that.
Interdealer brokers broker deals between Banks who trade real money, and not imaginary lot sizes. Interdealer brokers earn from per deal commissions. They do not provide margin services.

EBS, Reuters, and Bloomberg are not interdealer brokers (or brokers of any kind). They provide Bank-to-Bank electronic trading platforms which bypass interdealer brokers altogether.

Quoting nubcake
Do you now understand why maybe you should shut up, sit down, and do some reading and pay some attention? Seriously.
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I'm not trying to convince anyone. I'm not in the "convincing" business.
  • #1,080
  • Jan 17, 2016 11:33pm Jan 17, 2016 11:33pm
Quoting Rag2RichesFX
{quote} I can tell by your attitude you make no money.
Because you have been right about so much so far

Quote
On any centralized market, limit orders do not cross the spread. This is only the case with FX. My education has nothing to do with my ability to trade.

Which part of FX is centralized? Please do tell! :nerd:

You have no education, that's the problem. You've half-read bits and pieces from places and formed your own conclusion which is nothing but a Frankenstein's monster of misinformation that you are glad to perpetuate. Don't!

Enough is enough. You really are ridiculous with the things you claim with such a straight face and nothing but naive honesty. I'm not sure you've ever had a post that wasn't flawed in one way or another, or completely. You have nothing to prove here, so stop proving you know nothing. If you are making profits then good luck with that - maybe you are a good example of selection bias.

Now that Skenobi has you on ignore I'm not going to continue a back and forth with you and fill this thread with arguing with you over the dumbest shit when he could be filling it with more interesting things of merit. You should have a think about why Skenobi didn't bother replying to you and just threw you on ignore instead. Really, HAVE A THINK.
Congratulations ScalaFX for coming out of the closet!
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