Looking for an ECN broker with a free programmer's API which has decent liquidity for Best Bidder limit order fills. So if I'm Limit Best Bid in something liquid like EUR/USD, I just want to be filled within, say, less than 15 seconds most of the time. Not too much to ask, I hope. Needs to have an API which allows access to the DOM also, in addition to the Order Entry operations. C# or Java. Thanks!
ECN retail liquidity
- Thread starter FutureScalper
- Start date
Not too much to ask?
You can try MBTrading - they have a free API, and you can use C# with that. But you will most of the time only get a fill if the market trades through your bid/offer. This is nothing like trading in a liquid stock or future where there dozens of trades per minute. You would be extremly lucky to be filled by another client before either the market runs away or trades through your order. And that will happen sooner than 15 seconds during euro/us markethours, most of the time.
You can try MBTrading - they have a free API, and you can use C# with that. But you will most of the time only get a fill if the market trades through your bid/offer. This is nothing like trading in a liquid stock or future where there dozens of trades per minute. You would be extremly lucky to be filled by another client before either the market runs away or trades through your order. And that will happen sooner than 15 seconds during euro/us markethours, most of the time.
I have a highly specialized C# based order entry system precisely for MB Trading. Without such a system, it's a losing proposition, most likely. What you say is absolutely correct. The in-house liquidity is quite low, and generally speaking, a Bid needs to be placed high in the spread, just 1/10th under the Offers, and a lower offer can come in and hit it. With that specialized operation, you get a small credit and pay no commission but your price is near the Offer price. By waiting longer, as you have pointed out, there is a low probability of being filled by a marketable seller, but that's precisely the issue I'm faced with. So, I can extract money from Forex at MB, but it's much more work than I'd prefer, since the "retail" liquidity is near zero, so you are essentially trading with "Pay for Limits" against others who are doing the same. They can be "outsmarted" by order entry precision, but it's hard work. Since MB Trading calls theirs an "EXN" they are not subject to any NFA definitions applicable to an "ECN". Very helpful answer ... Thanks !
The vast majority of retail order flow is either internalized or sold to wholesalers through payment-for-order-flow deals -- search for "606 reports" for your favoite retail broker to see this in action.
Unless both parties are using DMA, the odds of two retail clients trading with each other directly are vanishingly low. Unforunate, as the current system is something of a kickback scheme, and the power that be rigorously resist anything to make the market more fair/transparent, such as the "Trade At" rule the SEC commissioners wanted to put in place.
I just wanted to say that with MB Trading, when the market does "trade through my order" I do invariably receive Credit under their "Pay for Limits" program. So, I can get away with No Commission, and a slight Credit for each trade, which makes micro scalping entirely feasible. Addressing the liquidity issues, it would be icing on the cake if there were more marketable order activity (retail liquidity) against which I could "play market maker"...
HyperScalper
Thanks to all for the very helpful responses. It seems that if I want liquidity I'll have to pay for it. Dukascopy could be where I'll eventually land but, for now, I am with MB Trading. I know Dukas would be a completely different league, but they have dramatically lowered their costs of entry for the small to medium sized trader. If I did that, I would use their standalone JForex interface to automate order entry, and they do give access to SWFX liquidity, even for the smaller lot trader in Forex. Thanks to everyone! HyperScalper