LMAX inside spread liquidity

eusdaiki · Nov 17, 2014

FutureScalper said:
Thanks for the clarification, so now we can close this thread. It may be that my results will be like an Apples to Grapes comparison, and therefore, sadly, probably not applicable to your trading results. (I would be the "cluster of Grapes" in this simile ). Clearly if you operate in the Arbitrage space, your lot sizes would need to be significant, on a one shot basis, from my understanding. My trading style is not an "all in" style, but an "incremental position scalping" approach. I'll be posting my clusters of Grapes style liquidity results, with the hope that it's interesting at least to someone. Our trading operation is likely to put quite a bit of equity into LMAX if these preliminary test results are favorable. HyperScalper

Some of us are still interested in your results.
volpunter can just stop following the thread if its such a distraction!

FutureScalper · Nov 17, 2014

eusdaiki said:
Some of us are still interested in your results.
volpunter can just stop following the thread if its such a distraction!

We just received a big time written apology from LMAX for the crappy treatment we received.
So now that the account is being managed correctly at the LMAX end, we should have
no further problems. Whew !!! HyperScalper. Now move to the "measurements" thread, and
I'll post results as they come in, so far, looks promising...

pipeguy · Nov 20, 2014

FutureScalper said:
We just received a big time written apology from LMAX for the crappy treatment we received.
So now that the account is being managed correctly at the LMAX end, we should have
no further problems. Whew !!! HyperScalper. Now move to the "measurements" thread, and
I'll post results as they come in, so far, looks promising...

That's why I reject any little thought about ECN or LMAX coming about in my mind, because instead of maintaining benign trading climate for their clients they cover up purely in-house order execution under sincere excuses

. STP execution, in this regard is beyond comparisons, although spreads I have with Mercerfx STP accounts is bit wider than in ECN brokerage, I absolutely don't worry about source of my profit (I mean that it comes from market) and not from broker which stood for opposite side of my orders..

FutureScalper · Nov 20, 2014

pipeguy said:
That's why I reject any little thought about ECN or LMAX coming about in my mind, because instead of maintaining benign trading climate for their clients they cover up purely in-house order execution under sincere excuses . STP execution, in this regard is beyond comparisons, although spreads I have with Mercerfx STP accounts is bit wider than in ECN brokerage, I absolutely don't worry about source of my profit (I mean that it comes from market) and not from broker which stood for opposite side of my orders..

Interesting, but I'd like to clarify a possible misunderstanding your post suggests. Their apology was not due to any problems with executions. Rather, this was just customer service SNAFU in funding the account. In executions, it appears flawless to me so far.

HyperScalper

eusdaiki · Nov 22, 2014

pipeguy said:
That's why I reject any little thought about ECN or LMAX coming about in my mind, because instead of maintaining benign trading climate for their clients they cover up purely in-house order execution under sincere excuses . STP execution, in this regard is beyond comparisons, although spreads I have with Mercerfx STP accounts is bit wider than in ECN brokerage, I absolutely don't worry about source of my profit (I mean that it comes from market) and not from broker which stood for opposite side of my orders..

LCH.Clearnet acts as the central counterparty for all LMAX trades mate, and they are an MTF regulated by the FSA...
in LMAX you trade against market makers and other participants, not against the house...
They don't "send your order to the market" like STP brokers... they are a market.

hyperscalper · Jan 30, 2015

As the OP I thought I'd check in with an update on LMAX.
Solid as a rock, response times consistently 30-60msecs
from Germany to LMAX. Obviously never any rejections
or requotes. Consistent, and often surprising Wholesale
price improvements.

Our software migration to LMAX, including all of the weeks
of tweaking, optimiz(s)ing are now paying off. We are able
to trade pairs like GBP/JPY with excellent trend determination,
good consistency and profitability.

Transition to a new exchange, some think is a trivial matter
but, for the micro scalping platform there are so many things
which require optimiz(s)ation to take best advantage of the
LMAX execution environment.

We are looking forward to a consistently profitable ride with LMAX
for 2015 but I can tell you I'm not pretending anything in this process
was easy. I'm a "dang good" programmer, but I can tell you it takes
"blood, sweat and tears" to implement a micro scalping platform
with reliability, precision and high performance like this.

LMAX is absolutely a "dream come true" for Micro Scalping, there's no
doubt about that. (After the "nightmare" of developing the software...)

HyperScalper

P.S. Where the msecs is zero, that is bogus info. Many of these "strikes" were designed
to be "retail". But you can also see significant price improvements where resting
limits were being used. We're now moving to higher lot sizes and more complex
multi-entry trading "frame" sequences (flat to flat).

Times are CET on our German server, but I operate this through VNC from
the U.S. We plan to locate the server in London soon.

Code:

01-29 18:36:01.818 GBPJPY SEL *>>>>>>>>>S (10.0)  wPI: 10.00 qty: 0.005m @ prc: 178.134 bid: 178.124 msecs: 68 LMAXoid: AAGJJQAAAAJuun5w
01-29 18:36:13.219 GBPJPY SEL *>>S (3.0)  wPI: 3.00 qty: 0.005m @ prc: 178.116 bid: 178.113 msecs: 68 LMAXoid: AAGJJQAAAAJuup4T
01-29 19:53:56.936 GBPJPY BUY B<* (2.0)  wPI: 2.00 qty: 0.005m @ prc: 178.111 ask: 178.113 msecs: 73 LMAXoid: AAGJJQAAAAJuvWMP
01-29 19:59:33.014 GBPJPY SEL *>>>>>>S (7.0)  wPI: 7.00 qty: 0.005m @ prc: 178.142 bid: 178.135 msecs: 68 LMAXoid: AAGJJQAAAAJuvY8p
01-29 20:04:07.419 GBPJPY SEL *>>S (3.0)  wPI: 3.00 qty: 0.005m @ prc: 178.194 bid: 178.191 msecs: 67 LMAXoid: AAGJJQAAAAJuvbQX
01-29 20:17:04.840 GBPJPY BUY B* (0.0)  wPI: 0.00 qty: 0.005m @ prc: 178.286 ask: 178.285 msecs: 0 LMAXoid: AAGJJQAAAAJuvjCs
01-29 20:22:56.936 GBPJPY SEL *>S (2.0)  wPI: 2.00 qty: 0.007m @ prc: 178.373 bid: 178.371 msecs: 67 LMAXoid: AAGJJQAAAAJuvng+
01-29 20:26:28.616 GBPJPY BUY B* (1.0)  wPI: 1.00 qty: 0.007m @ prc: 178.344 ask: 178.345 msecs: 69 LMAXoid: AAGJJQAAAAJuvowT
01-29 20:29:18.264 GBPJPY BUY B<* (2.0)  wPI: 2.00 qty: 0.005m @ prc: 178.337 ask: 178.339 msecs: 69 LMAXoid: AAGJJQAAAAJuvsB1
01-29 20:29:50.117 GBPJPY BUY B<<<<<* (6.0)  wPI: 6.00 qty: 0.005m @ prc: 178.321 ask: 178.327 msecs: 68 LMAXoid: AAGJJQAAAAJuvslu
01-29 20:39:31.918 GBPJPY SEL *>>S (3.0)  wPI: 3.00 qty: 0.005m @ prc: 178.344 bid: 178.341 msecs: 68 LMAXoid: AAGJJQAAAAJuvs3d
01-29 20:50:19.397 GBPJPY BUY B* (1.0)  wPI: 1.00 qty: 0.005m @ prc: 178.286 ask: 178.287 msecs: 83 LMAXoid: AAGJJQAAAAJuv5OG
01-29 20:57:21.462 GBPJPY SEL *>>>S (4.0)  wPI: 4.00 qty: 0.01m @ prc: 178.233 bid: 178.229 msecs: 0 LMAXoid: AAGJJQAAAAJuv+bq
01-29 20:58:00.865 GBPJPY SEL *>>>>>>>>>>S (11.0)  wPI: 11.00 qty: 0.005m @ prc: 178.244 bid: 178.233 msecs: 66 LMAXoid: AAGJJQAAAAJuv+pa
01-29 20:59:00.459 GBPJPY BUY B<<<* (4.0)  wPI: 4.00 qty: 0.005m @ prc: 178.215 ask: 178.219 msecs: 67 LMAXoid: AAGJJQAAAAJuv/YI
01-30 02:04:01.621 GBPJPY BUY B<<* (3.0)  wPI: 3.00 qty: 0.005m @ prc: 177.869 ask: 177.872 msecs: 77 LMAXoid: AAGJJQAAAAJuwhYO
01-30 02:06:57.896 GBPJPY BUY B* (0.0)  wPI: 0.00 qty: 0.005m @ prc: 177.768 ask: 177.768 msecs: 0 LMAXoid: AAGJJQAAAAJuwhnT
01-30 02:08:40.014 GBPJPY SEL *S (0.0)  wPI: 0.00 qty: 0.005m @ prc: 177.778 bid: 177.778 msecs: 0 LMAXoid: AAGJJQAAAAJuwhyg
01-30 02:10:41.623 GBPJPY SEL *>>>S (4.0)  wPI: 4.00 qty: 0.005m @ prc: 177.814 bid: 177.81 msecs: 68 LMAXoid: AAGJJQAAAAJuwh8G
01-30 02:13:33.346 GBPJPY SEL *S (0.0)  wPI: 0.00 qty: 0.005m @ prc: 177.779 bid: 177.779 msecs: 0 LMAXoid: AAGJJQAAAAJuwiK9
01-30 02:14:33.362 GBPJPY SEL *>S (2.0)  wPI: 2.00 qty: 0.005m @ prc: 177.863 bid: 177.861 msecs: 69 LMAXoid: AAGJJQAAAAJuwiRS
01-30 02:21:10.317 GBPJPY SEL *S (0.0)  wPI: 0.00 qty: 0.005m @ prc: 177.901 bid: 177.901 msecs: 0 LMAXoid: AAGJJQAAAAJuwiv8
01-30 02:21:54.917 GBPJPY BUY B<<<<* (5.0)  wPI: 5.00 qty: 0.005m @ prc: 177.889 ask: 177.894 msecs: 67 LMAXoid: AAGJJQAAAAJuwiwn
01-30 02:32:57.394 GBPJPY BUY B<<<<<<* (7.0)  wPI: 7.00 qty: 0.005m @ prc: 177.882 ask: 177.889 msecs: 68 LMAXoid: AAGJJQAAAAJuwjrU
01-30 02:39:51.426 GBPJPY BUY B<<* (3.0)  wPI: 3.00 qty: 0.005m @ prc: 177.846 ask: 177.849 msecs: 74 LMAXoid: AAGJJQAAAAJuwkIY
01-30 02:42:37.295 GBPJPY SEL *>>>>>>>>>>>S (12.0)  wPI: 12.00 qty: 0.005m @ prc: 177.875 bid: 177.863 msecs: 22 LMAXoid: AAGJJQAAAAJuwkaJ
01-30 02:59:33.932 GBPJPY SEL *S (1.0)  wPI: 1.00 qty: 0.005m @ prc: 177.832 bid: 177.831 msecs: 70 LMAXoid: AAGJJQAAAAJuwl7X
01-30 03:02:10.278 GBPJPY BUY B* (1.0)  wPI: 1.00 qty: 0.005m @ prc: 177.804 ask: 177.805 msecs: 68 LMAXoid: AAGJJQAAAAJuwmFQ
01-30 03:04:52.619 GBPJPY BUY B<<<* (4.0)  wPI: 4.00 qty: 0.004m @ prc: 177.812 ask: 177.816 msecs: 68 LMAXoid: AAGJJQAAAAJuwmYw
01-30 03:05:20.818 GBPJPY BUY B<* (2.0)  wPI: 2.00 qty: 0.004m @ prc: 177.803 ask: 177.805 msecs: 67 LMAXoid: AAGJJQAAAAJuwmal
01-30 03:06:05.494 GBPJPY BUY B<<<<* (5.0)  wPI: 5.00 qty: 0.004m @ prc: 177.81 ask: 177.815 msecs: 68 LMAXoid: AAGJJQAAAAJuwmh9
01-30 03:06:34.915 GBPJPY SEL *S (1.0)  wPI: 1.00 qty: 0.012m @ prc: 177.764 bid: 177.763 msecs: 75 LMAXoid: AAGJJQAAAAJuwmmB
01-30 03:08:11.605 GBPJPY SEL *>S (2.0)  wPI: 2.00 qty: 0.005m @ prc: 177.791 bid: 177.789 msecs: 68 LMAXoid: AAGJJQAAAAJuwmsu
01-30 03:09:48.238 GBPJPY BUY B* (0.0)  wPI: 0.00 qty: 0.005m @ prc: 177.758 ask: 177.758 msecs: 0 LMAXoid: AAGJJQAAAAJuwm1M
01-30 03:12:17.224 GBPJPY SEL *>>>>S (5.0)  wPI: 5.00 qty: 0.005m @ prc: 177.79 bid: 177.785 msecs: 77 LMAXoid: AAGJJQAAAAJuwm+b
01-30 03:13:57.416 GBPJPY SEL *>>>S (4.0)  wPI: 4.00 qty: 0.005m @ prc: 177.812 bid: 177.808 msecs: 68 LMAXoid: AAGJJQAAAAJuwnEU
01-30 03:21:52.917 GBPJPY BUY B<* (2.0)  wPI: 2.00 qty: 0.01m @ prc: 177.825 ask: 177.827 msecs: 70 LMAXoid: AAGJJQAAAAJuwnkP
01-30 03:22:18.042 GBPJPY SEL *S (0.0)  wPI: 0.00 qty: 0.005m @ prc: 177.795 bid: 177.795 msecs: 0 LMAXoid: AAGJJQAAAAJuwnlk
01-30 03:25:25.323 GBPJPY BUY B* (1.0)  wPI: 1.00 qty: 0.005m @ prc: 177.768 ask: 177.769 msecs: 68 LMAXoid: AAGJJQAAAAJuwnwV
01-30 03:39:59.220 GBPJPY BUY B* (0.0)  wPI: 0.00 qty: 0.005m @ prc: 177.803 ask: 177.803 msecs: 0 LMAXoid: AAGJJQAAAAJuwpFg
01-30 03:45:37.898 GBPJPY SEL *S (0.0)  wPI: 0.00 qty: 0.005m @ prc: 177.792 bid: 177.792 msecs: 0 LMAXoid: AAGJJQAAAAJuwpgp
01-30 05:25:30.704 GBPJPY BUY B* (0.0)  wPI: 0.00 qty: 0.02m @ prc: 177.775 ask: 177.775 msecs: 0 LMAXoid: AAGJJQAAAAJuwyUR
01-30 05:26:50.300 GBPJPY SEL *S (0.0)  wPI: 0.00 qty: 0.02m @ prc: 177.758 bid: 177.758 msecs: 0 LMAXoid: AAGJJQAAAAJuwydB
01-30 05:32:18.527 GBPJPY SEL *S (0.0)  wPI: 0.00 qty: 0.02m @ prc: 177.76 bid: 177.76 msecs: 0 LMAXoid: AAGJJQAAAAJuwzEi
01-30 05:38:56.234 GBPJPY BUY B* (0.0)  wPI: 0.00 qty: 0.02m @ prc: 177.738 ask: 177.738 msecs: 0 LMAXoid: AAGJJQAAAAJuwzr7
01-30 14:52:52.313 GBPJPY SEL *S (0.0)  wPI: 0.00 qty: 0.008m @ prc: 176.916 bid: 176.916 msecs: 0 LMAXoid: AAGJJQAAAAJu1yqg
01-30 14:53:55.112 GBPJPY BUY B<<<<<* (6.0)  wPI: 6.00 qty: 0.008m @ prc: 176.889 ask: 176.895 msecs: 75 LMAXoid: AAGJJQAAAAJu1z/q
01-30 15:11:05.117 GBPJPY BUY B* (0.0)  wPI: 0.00 qty: 0.01m @ prc: 176.768 ask: 176.768 msecs: 0 LMAXoid: AAGJJQAAAAJu2QaJ
01-30 15:12:08.338 GBPJPY BUY B* (0.0)  wPI: 0.00 qty: 0.01m @ prc: 176.666 ask: 176.663 msecs: 0 LMAXoid: AAGJJQAAAAJu2SO4
01-30 15:17:25.221 GBPJPY SEL *S (0.0)  wPI: 0.00 qty: 0.02m @ prc: 176.751 bid: 176.751 msecs: 0 LMAXoid: AAGJJQAAAAJu2ZNJ
01-30 15:40:59.923 GBPJPY SEL *S (0.0)  wPI: 0.00 qty: 0.01m @ prc: 176.42 bid: 176.419 msecs: 75 LMAXoid: AAGJJQAAAAJu243U
01-30 15:42:31.116 GBPJPY SEL *S (0.0)  wPI: 0.00 qty: 0.01m @ prc: 176.466 bid: 176.466 msecs: 0 LMAXoid: AAGJJQAAAAJu262d
01-30 15:44:04.855 GBPJPY BUY B<<<<<<<* (8.0)  wPI: 8.00 qty: 0.01m @ prc: 176.387 ask: 176.395 msecs: 68 LMAXoid: AAGJJQAAAAJu29B5
01-30 15:44:07.657 GBPJPY BUY B<<<<<* (6.0)  wPI: 6.00 qty: 0.01m @ prc: 176.387 ask: 176.393 msecs: 68 LMAXoid: AAGJJQAAAAJu29B5
01-30 15:51:38.517 GBPJPY BUY B* (0.0)  wPI: 0.00 qty: 0.005m @ prc: 176.231 ask: 176.231 msecs: 0 LMAXoid: AAGJJQAAAAJu3Fil
01-30 15:54:05.765 GBPJPY SEL *>>>S (4.0)  wPI: 4.00 qty: 0.005m @ prc: 176.26 bid: 176.256 msecs: 67 LMAXoid: AAGJJQAAAAJu3HqI
01-30 16:14:21.239 GBPJPY BUY B* (0.0)  wPI: 0.00 qty: 0.008m @ prc: 176.185 ask: 176.185 msecs: 0 LMAXoid: AAGJJQAAAAJu3lns
01-30 16:14:21.341 GBPJPY BUY B<<* (3.0)  wPI: 3.00 qty: 0.008m @ prc: 176.184 ask: 176.187 msecs: 23 LMAXoid: AAGJJQAAAAJu3lnu
01-30 16:14:39.933 GBPJPY SEL *S (1.0)  wPI: 1.00 qty: 0.008m @ prc: 176.208 bid: 176.207 msecs: 68 LMAXoid: AAGJJQAAAAJu3l8z
01-30 16:14:52.369 GBPJPY SEL *>>>>>>>>>>S (11.0)  wPI: 11.00 qty: 0.008m @ prc: 176.275 bid: 176.264 msecs: 0 LMAXoid: AAGJJQAAAAJu3mgm

LMAX inside spread liquidity

eusdaiki

FutureScalper

pipeguy

FutureScalper

eusdaiki

hyperscalper