At what lot size/account size do you have scale issues? | Forex Factory

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At what lot size/account size do you have scale issues?

  • #1
  • First Post: Mar 24, 2017 9:56am Mar 24, 2017 9:56am
Hey all,

I'm wondering if anyone can share: at what dollar size account or lot size do you start to have issues with slippage, orders not filling, brokers complaining about risk, etc?

IE:
*Have you experienced issues with your broker in being able to fill orders over a certain lot size?
*Did you start to run into issues once your account size grew to over $50,000 or 100k or 300k in value or something similar?

If you have not gotten your account to a large enough size for this to be an issue, then no worries: You can also provide "speculation and hearsay", but when you post something that you do not know yourself to be 100% the truth, please mention that this is the case. I'm in the same boat on this...

And to the negative people who are ever present in this world: I realize that very few have probably made it to the level where this would be an issue ($50,000+ account size and/or "big lot" trading). But please try to keep the "is this possible - this is not possible" discussion out if you can.

Thanks everyone for your help/input!
  • #2
  • Mar 24, 2017 10:26am Mar 24, 2017 10:26am
The lot size issue is highly dependent on a few factors:
* Pair
* Trading style (is momentum involved in your decision making?)
* Time of day
* How would you define an acceptable bid/ask difference? What is too wide?

Please be also aware that it's not only about getting into a trade, getting out can be a bigger issue especially for short term trades. If you need to get out because the market started to move fast against you then a few hundred lot can be a bit of an issue. You can chose to ignore an entry but you can't afford to ignore an exit.
  • #3
  • Mar 24, 2017 10:36am Mar 24, 2017 10:36am
Depending on your broker, somewhere between 10 and 30 lots. You can reduce the slippage, if you buy on downmoves and sell on upmoves.

Below that lotsize, if you don't trade during illiquid periods, slippage shouldn't be really a problem.
Price and volume reveals everything. The market moves on supply and demand.
  • #4
  • Mar 24, 2017 11:56am Mar 24, 2017 11:56am
Just check out realtime prices of Lmax VWAP.
It shows exactly what you have to deal with when trading bigger size.
  • #5
  • Mar 24, 2017 11:58am Mar 24, 2017 11:58am
fx is the biggest international market of the world.

you can easily buy or sell 100 lots (10 millions) and not move the price at all, not even of one pip.

as long as you are not trading billions, you should not care about scalability issues.
  • #6
  • Mar 24, 2017 3:34pm Mar 24, 2017 3:34pm
Thanks guys! I appreciate your info.

Some more info about what I run in case it helps:
*15:1 max leverage
*Positions turn over only 1-4 times per trading month. So they last 1 trading week to 1 trading month.
*Usually make 2:1 to 7:1 profits to my usual risk amount.
*My system does not need to rely on being "fast" really to work.
*I usually transact during the trading day... but I have code and a VPS going that can transact 24/7.
-You can see that I'm not sure if slippage will be a huge issue for me or not due to how long of an interval I work on and hold.

One of my other big concerns:
If you have an account that is a million or over (or maybe even $500,000), will you have trouble trying to remove some of the money and cash out from the broker? Will the brokers cut you off from trading when you hit a certain size? Suppose I should just go for it and see... and not worry until I get there. haha!

This admittedly would be a great problem to have! =D
  • #7
  • Mar 24, 2017 4:21pm Mar 24, 2017 4:21pm
It seems you're not a short term trader/scalper and probably also no news trader so I don't see why slippage is of any concern to you. I'd also assume that your winnings are higher than single digits so you're extremely unlikely to hit any position size issue at all. Tunera is quite right in saying that it is a very liquid market - it isn't always for people who look for smaller trades on the 1m like me but that seems to be an entirely different story from yours.

Quote
One of my other big concerns:
If you have an account that is a million or over (or maybe even $500,000), will you have trouble trying to remove some of the money and cash out from the broker? Will the brokers cut you off from trading when you hit a certain size?

Your broker would be pretty dumb to treat you bad. The more money you deposit and the bigger your trades, the more important you are as a LONG TERM customer. People here just complain because they love to deposit their hard earned money with bucket shops who advertise with half naked ladies on fast cars. That said, I wouldn't go to the typical retail "brokerages" with those account sizes. With 1 million or even less you can get better, probably also in the US (but I'm not an expert on your regulatory requirements ...). Your leverage is quite low, so that shouldn't be an issue too - high leverage can be one if you hold over night or esp. over the weekend.

Quote
Suppose I should just go for it and see... and not worry until I get there. haha!

Yes! No offence but a lot of people here think "oh my god, 10 lots, you're moving the market". Newbie bullshit. One million (that is 10 lot) is where some brokers start quoting - it's the minimum size to appear in the price feed. With 20 lot your spread will widen a bit, with 50 a bit more - a bit, not dramatically. You're still well in the top half of the ladder.
  • #8
  • Mar 24, 2017 6:28pm Mar 24, 2017 6:28pm
Quoting skillz16
One of my other big concerns: If you have an account that is a million or over (or maybe even $500,000), will you have trouble trying to remove some of the money and cash out from the broker? Will the brokers cut you off from trading when you hit a certain size? Suppose I should just go for it and see... and not worry until I get there. haha! This admittedly would be a great problem to have! =D
With that money no sane person would trade forex. He would go to centralised markets, where properly regulated brokers are, currency futures, stocks, etc.
Price and volume reveals everything. The market moves on supply and demand.
  • #9
  • Mar 26, 2017 10:39am Mar 26, 2017 10:39am
Quoting Darastonius
{quote} With that money no sane person would trade forex. He would go to centralised markets, where properly regulated brokers are, currency futures, stocks, etc.
I will eventually look to FX futures and possibly options.

My issue though partly is that I have this all automated. I'd have to convert all the code to C- which is not bad. I'd then have to learn Interactive Brokers API- would be bad.

I'd prefer to not need to be tied into any one broker's API. After I make some money though I might consider this:
1.)
a. Write the needed IB code myself.
b. Write the interface to make it generic.
c. Then hire others to write the background code for any other brokers I need using the interface I wrote as the "spec."

2.) Just hire it all out giving them a description of how my MT4 interfaces currently work to keep things generic and focused on things like order management, position management, time management, etc.

3.) Work at it without using code. *I really don't want to go this way. So I'd not want to convert before I have the code up.

Long story short: once I have FX profit, I probably will go the way you suggest.

*BUT wanted to mention: I think some FX traders do not appreciate how valuable having a common language like MQL4/5 is... Like how you can switch brokers across countries really easily. But I do agree with what you have said and your sentiments. But yeah, the brokers for MT4 can be bucket shoppish....

But for now, I will just focus on managing and deploying my system and let applied these other "problems" I have created out of the way for the time being. Thanks for all of the input on this thread guys! =D
  • #10
  • Mar 26, 2017 10:59am Mar 26, 2017 10:59am
Quoting skillz16
Hey all, I'm wondering if anyone can share: at what dollar size account or lot size do you start to have issues with slippage, orders not filling, brokers complaining about risk, etc? IE: *Have you experienced issues with your broker in being able to fill orders over a certain lot size?...
I don't know if my experience was an isolated incident but I started experiencing trades not closing when the lots were 50+ but, (1) this was on a demo server where they're not likely to allocate their robust resources and, (2) these few consecutive attempts to close trades all occurred on the same day so it's possible they had server problems. This was last Friday, I'll know more this coming week about whether closing trades of larger lot sizes is just problematic in nature or it was an isolated incident last Friday.
  • #11
  • Mar 26, 2017 11:27am Mar 26, 2017 11:27am
Quoting TGS
{quote} I don't know if my experience was an isolated incident but I started experiencing trades not closing when the lots were 50+ but, (1) this was on a demo server where they're not likely to allocate their robust resources and, (2) these few consecutive attempts to close trades all occurred on the same day so it's possible they had server problems. This was last Friday, I'll know more this coming week about whether closing trades of larger lot sizes is just problematic in nature or it was an isolated incident last Friday.
Nice friend. Let me know how this issue proceeds for you if you have a chance. I appreciate your info.

My other thought once I get to bigger size would be to just have a price I'm willing to transact around and just chunk the order up in pieces using an algo I will write. Would you be interested in something similar? If so and you give me.more.info, I'd be willing to write and share the code. BUT: I can understand if that does not work with your system.

I should also be greatful- I might be sitting pretty with the fact that I usually get a decent amount of times to transact at the prices I need so far.
  • #12
  • Mar 26, 2017 11:35am Mar 26, 2017 11:35am
Quoting skillz16
...and just chunk the order up in pieces using an algo I will write. Would you be interested in something similar? If so and you give me.more.info, I'd be willing to write and share the code...
I think splitting it into pieces is what actually creates a bit of a problem for the broker server because by doing so, there would be more open trades and working orders for the broker to keep track of. Currently, the broker limits the number of max trades and orders to a fixed number because if it were limitless, it would burden their servers as there would now more to keep track of.
  • #13
  • Mar 26, 2017 11:54am Mar 26, 2017 11:54am
Quoting TGS
{quote} I think splitting it into pieces is what actually creates a bit of a problem for the broker server because by doing so, there would be more open trades and working orders for the broker to keep track of. Currently, the broker limits the number of max trades and orders to a fixed number because if it were limitless, it would burden their servers as there would now more to keep track of.
Ah, great point here.

My other thought would be to have only one order out of say a tenth of the total amount at a time. Then once you see that has been filled, put a request in for another. Basically you keep track of what is filled and what needs to be done on our own side as opposed to sending many to the broker. Basically the broker would only deal with one at any time. But yeah, would have to be careful are not sending way too many "messages" over a short period of time.

Who was your broker? - if you don't mind me asking. Otherwise no worries.
  • #14
  • Mar 26, 2017 12:00pm Mar 26, 2017 12:00pm
Quoting skillz16
{quote} Ah, great point here. My other thought would be to have only one order out of say a tenth of the total amount at a time. Then once you see that has been filled, put a request in for another. Basically you keep track of what is filled and what needs to be done on our own side as opposed to sending many to the broker. Basically the broker would only deal with one at any time. But yeah, would have to be careful are not sending way too many "messages" over a short period of time. Who was your broker? - if you don't mind me asking. Otherwise...
We're both safer if we don't know that lol. I'm kidding but I'd rather not say. I will say though that it's a legitimate and regulated broker that I'm demo testing with.

I guess the question is, with your method, what is the actual problem with lot sizing that you're trying to solve?
  • #15
  • Mar 26, 2017 12:03pm Mar 26, 2017 12:03pm
Above 10 lots I would start getting slipped.

So when I would enter/exit the market, I would do it in 10 lot chunks (1 mil market orders). Sometimes I would need to wait 1-2 sec for the liquidity to replenish. Putting on a 50 lot position would take me around 10 seconds. Sending it all in one order would slip me by 1-2 pips (which at this size is a few $K).

It was one of the biggest brokers, account size >$100k.
  • #16
  • Mar 26, 2017 12:05pm Mar 26, 2017 12:05pm
Quoting TGS
{quote} We're both safer if we don't know that lol. I'm kidding but I'd rather not say. I will say though that it's a legitimate and regulated broker that I'm demo testing with. I guess the question is, with your method, what is the actual problem with lot sizing that you're trying to solve?

Basically the problem I'm trying to solve is two fold:
1.) There is an eventual limit of 100 lot orders. So anything over that needs to be broken up somehow.

2.) If one uses lot sizes that are too big, you might "walk the book" or create slippage on yourself.
*With FX since the market is soooo big, I'm really not sure that 2 is even a problem after all.

The other part I was thinking of is that I usually have windows of time I can transact in. So if I ever got big enough, I might want it randomly broken up so I can hopefully avoid slippage and other bad stuff.

But yeah... just my musings here. I'm not at this stage but wanted to put some feelers out to start gathering info. And yeah, I'm not trying to create problems that I do not have or should not have. The human tendency. =D
  • #17
  • Mar 26, 2017 12:06pm Mar 26, 2017 12:06pm
Quoting 000
Above 10 lots I would start getting slipped. So when I would enter/exit the market, I would do it in 10 lot chunks (1 mil market orders). Sometimes I would need to wait 1-2 sec for the liquidity to replenish. Putting on a 50 lot position would take me around 10 seconds. Sending it all in one order would slip me by 1-2 pips (which at this size is a few $K). It was one of the biggest brokers, account size >$100k.
Did these issues occur in general throughout the day or at particular sessions or specifically, at certain on the clock hours?
  • #18
  • Mar 26, 2017 12:12pm Mar 26, 2017 12:12pm
Quoting TGS
{quote} Did these issues occur in general throughout the day or at particular sessions or specifically, at certain on the clock hours?
I traded relatively rarely (around once per week), so I don't have enough statistics.

And it wasn't on EUR/USD, where liquidity is bigger, it was a different pair (still a major).

But the broker was honest, I had L2 access (depth of market), and you could see that there is only 1 mil at the top of the book. So if you would hit it with more, by necessity you would be slipped. So I would take the 1 mil at the top, wait one sec for it to appear back, take it again, and so one. Of course, sometimes the price would move (sometimes in my advantage, othertimes not).
  • #19
  • Mar 26, 2017 12:17pm Mar 26, 2017 12:17pm
Quoting skillz16
{quote} Basically the problem I'm trying to solve is two fold: 1.) There is an eventual limit of 100 lot orders. So anything over that needs to be broken up somehow. 2.) If one uses lot sizes that are too big, you might "walk the book" or create slippage on yourself. *With FX since the market is soooo big, I'm really not sure that 2 is even a problem after all. The other part I was thinking of is that I usually have windows of time I can transact in. So if I ever got big enough, I might want it randomly broken up so I can hopefully avoid slippage...
The particular problems were on this day with 426.66 lots where I was consecutively experiencing terminal freezing, unfavorable slippage and when I would eventually come out of a freeze after a few seconds, I would manually switch servers on the lower right corner of the terminal in order to get connection.

With my demo broker, there is one server in particular that seems to work better than their other servers. If problems persist this coming week, I'll manually block connection to the other servers in order to force a continued connection with the better server.
  • #20
  • Mar 26, 2017 5:39pm Mar 26, 2017 5:39pm
Are you guys aware of that thread? https://www.forexfactory.com/showthread.php?t=525741
In my opinion, a good broker is more than happy to help you how to best place big orders. I don't want to say all MT brokers are bucket shops but just the required bridge (which is frequently sourced out) means the broker gives up control. It is certainly not the best environment to max things out.
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