20-50mm size in FX with IB

Pippi436 · Oct 28, 2012

Not because its to slow, but what makes you believe that there are even 50mm in the book?

Peternam · Oct 30, 2012

Quote from Pippi436:

Not because its to slow, but what makes you believe that there are even 50mm in the book?

On the CME , you have on average 50 million 5 levels ( 1 pip increments )deep for the EUR/USD

On Lmax there is on average 10 million 5 levels deep (0.1 pip increments), also for the EUR/USD

Peternam · Oct 30, 2012

LMAX just told me there will be no significant difference between a 1 or 10 million order in the EUR/USD

cornix · Oct 30, 2012

Checked LMAX site, very interesting what order can they realistically execute without slippage of 1+ pip.

HurricaneUS · Oct 30, 2012

Quote from Peternam:

On the CME , you have on average 50 million 5 levels ( 1 pip increments )deep for the EUR/USD

On Lmax there is on average 10 million 5 levels deep (0.1 pip increments), also for the EUR/USD

Excuse my ignorance but CME is futures...so are you saying there are 50 million futures contracts on average on CME for EURUSD

cornix · Oct 30, 2012

Regarding CME it's likely 50MM worth of notional, equivalent to 400 cars offered. Most of the time there's at least 100+ not further than 1 pip from the market, but experienced people say 50/60% of that is algos so they are pulled if market moves towards them, which means you better cut your realistic 6E liquidity expectations by about half. Still HFT contributed quite nicely to FX liquidity during last couple of years which is a very good news for us traders unless we try to compete with HFT algos in their own game.

HurricaneUS · Oct 30, 2012

Quote from cornixforex:

Regarding CME it's likely 50MM worth of notional, equivalent to 400 cars offered. Most of the time there's at least 100+ not further than 1 pip from the market, but experienced people say 50/60% of that is algos so they are pulled if market moves towards them, which means you better cut your realistic 6E liquidity expectations by about half.

Yeah, actually after I thought about it I figured that's what he meant. I was going to edit it but you got to it first

cornix · Oct 30, 2012

Quote from HurricaneUS:

Yeah, actually after I thought about it I figured that's what he meant. I was going to edit it but you got to it first

Yea, market doesn't take much attention due to Sandy so I monitor ET as actively as I usually monitor the Euro.

HurricaneUS · Oct 30, 2012

Quote from cornixforex:

Yea, market doesn't take much attention due to Sandy so I monitor ET as actively as I usually monitor the Euro.

forgot to say thanks for your reply

cornix · Oct 30, 2012

Quote from HurricaneUS:

forgot to say thanks for your reply

You're welcome.