20-50mm size in FX with IB
- Thread starter traderhf
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According to Oanda, a $1b order will move EUR/USD around 130 pips in liquid hours or 260 pips in less liquid ones. So in your case 30-40mm can move the market, more than just a pip, but by at least 5-10 pips.
The market can be moved with less than what most people think.
If you ever have to manage the execution of a 50mm sized order that MUST be done within a few seconds then you'd understand how ONLY a pip or so of slippage is ok (in fact, rather good all things considered.)
Just a thought, but some brokers who act as a market maker can fill such orders without too much additional cost.
For example, Oanda will do so up to 10 million per fill at their inside quote. Your total cost of trading will be a bit wider than the ECNs, ~1.2 pips during liquid times on the EUR/USD for instance, but you can toss out a few orders and get fills at 10mm a shot vs a few million at a time with other exchanges.
No matter what though, you're going to run the price a little. There's no way around that. Even if the market maker hedges their position on your trade in another market or with another type of instrument it's going to hit the market one way or another. So this really comes down to timing and liquidity.
I'd suggest not sticking to just one execution pattern. Some markets, some limits, various sizes, mix it up a bit. Not saying to be paranoid but obviously that size is going to get noticed somewhere along the way...
For example, Oanda will do so up to 10 million per fill at their inside quote. Your total cost of trading will be a bit wider than the ECNs, ~1.2 pips during liquid times on the EUR/USD for instance, but you can toss out a few orders and get fills at 10mm a shot vs a few million at a time with other exchanges.
No matter what though, you're going to run the price a little. There's no way around that. Even if the market maker hedges their position on your trade in another market or with another type of instrument it's going to hit the market one way or another. So this really comes down to timing and liquidity.
I'd suggest not sticking to just one execution pattern. Some markets, some limits, various sizes, mix it up a bit. Not saying to be paranoid but obviously that size is going to get noticed somewhere along the way...
10M is their maximum order size, but they don't guarantee a fill of 10M at the current quoted spread (i.e., their quoted spread is not 10M deep on both sides at the top of the book). Just talk to any Oanda traders, they can get slipped on virtually any order size.
Isn't Oanda a Dealing Desk broker?
Now do you really want to be seding those size orders to Oanda on a regular basis
I would much rather prefer an ECN broker
Quote from MoneyWalks:
According to Oanda, a $1b order will move EUR/USD around 130 pips in liquid hours or 260 pips in less liquid ones. So in your case 30-40mm can move the market, more than just a pip, but by at least 5-10 pips.
The market can be moved with less than what most people think.
Do you have a link to the Oanda site for this article ?
What about LMAX ?
Mm... they used to instant execute up to 10 Million at the screen quoted rate. I knew this to be true and verified it with them about two years ago..
I can't find it on their site now, and the only reference to "10 Million" is their order sizes. How odd. I suppose they changed their execution policy.
In that case, my mistake for not double checking if anything had changed.
When I used Oanda I don't recall getting slipped more than 0.1-0.2 pips except maybe a few rare cases in fast market. Traded less than 10M size, but nevertheless.
That's an interesting question overall what maximum size can EURUSD process quickly and without slippage during the liquid hours (London session).