LMAX price advantage measurement

F

FutureScalper

This thread will contain the results of measurements on LMAX "liquidity inside the spread".
First, a little background on the issues, methods and how the small Retail trader can
obtain significant "price advantage".

This is a follow-on to http://www.elitetrader.com/et/index.php?threads/lmax-inside-spread-liquidity.285673 .

First of all, I have no connection with LMAX other than being a trader.

The problem: Retail Forex traders using Market orders, must Buy at the higher Ask/Offer price, and they must Sell to the lower Bid price. The Retail trader "pays the spread" and is considered to be a "liquidity taker" from the entities who "make the market". We can call them Market Makers, and they are large "wholesale" entities such as Banks who are Bidding and Offering their willingness to Buy/Sell at a particular price. The LMAX exchange "matches" Buyers to Sellers.

The solution: the LMAX exchange proposes to offer all participants a "level playing field" in which normal "retail" traders are able to use Limit Orders to Bid alongside Market Makers, providing "liquidity" and competing for the ability to Buy near the Bid price, rather than the much higher Ask/Offer price of the market. When Selling, the same principles apply, where the trader can place Limit Offers to Sell and be matched to a counterparty near the Ask/Offer price, rather than Selling to the much lower Bid price, as is usual for "retail" traders. Multiple simultaneous Bids and Offers may be placed.

Method: Custom software is normally used to place Bids and Offers precisely, so that Market orders are never used. Also, "open positions" are never "closed" since this would be a Retail price operation. Here we completely avoid using "retail" techniques. Whether we call this "wholesale" pricing depends upon your definition of "wholesale", but we are seeking consistent "price advantage". Multiple Limit Order Bids are used on the Buy side, and multiple Limit Order Offers are used on the Sell side. When our position is net 0, then we are "flat" in a particular instrument. This will not be Demo data, as liquidity can only be measured in a Live market.

Data: The data will show whether there is a price advantage by comparing the Buy Fill price distance from the Ask/Offer price. If it is lower, then we have received a price advantage which is shown in Tenths of a Pip. Correspondingly, the Sell price distance from the Bid is used as a measure of price advantage when the Sell Fill price is above the Bid price. These data are restricted to 28 Forex Currency pairs, which avoid the "exotic" pairs, but which include pairs which typically have a fairly wide spread. It is these wider spreads where a price advantage is most appreciated. Partial Fills are common using these techniques, and the larger the Order Lot Size, the more partial fills generally will occur.

So, I will try on a daily basis to post my logfiles, and discuss. For the most part these will be smaller Forex lot sizes, as multiple Buy and/or Sell operations are used. For larger lot sizes, perhaps someone else will be able to contribute data. Liquidity is a function of desired Lot Size.

Good Trading !
HyperScalper
 
Here is a "key" to read the data log
Here is an example of strictly "retail" pricing to explain each field in the log.
I hope the formatting will be readable.

Using the first log line as an example:

11-12 19:28:00.815 EURUSD SEL *S (0.0) wPI: 0.00 qty: 0.001m @ prc: 1.24265 deltaMsecs: 0 LMAXoid: AAIm0gAAAAJVtr4I

Breaking the above line down into each field below:

Code: 
Each field with explanation:

11-12 19:28:00.815 <-- date/timestamp in GMT/UTC MM-DD HH:MM:SS.sss

EURUSD <-- Forex symbol EUR/USD

SEL <-- operation SELL, or BUY for a buy

*S <-- pseudo-graphic showing price improvement (no price improvement here)
    ( * represents the "retail" price point, the BID for SEL or the ASK for BUY, here
    we see the SELL price is at the Retail price point.  For an example of a 1.0 PIP
    WE WOULD SEE *>>>>>>>>>S , where each character represents 1/10th PIP
    price advantage.  This means the Sell fill price is about 10/10ths above the retail
    sell price * , which is the BID price.  This is "wholesale price improvement" (wPI)
    better than retail pricing.
    A BUY at Retail would be indicated as B* (no price improvement).  However,
    A BUY with 10/10ths PIP (1.0 PIP) "wholesale Price Improvement" (wPI)
    WOULD BE SHOWN as B<<<<<<<<<* , which indicates the FILL price is
    about 1.0 PIPs (i.e. "ticks") BELOW the * ASK (retail) price.

(0.0)  <-- the numeric amount of 0.1 PIP (Tenths) Price Improvement (here retail is zero)

wPI: 0.00 <-- "wPI" means "Wholesale Price Improvement", here zero (retail)

qty: 0.001m <-- Fill Quantity in Millions, here $1000 (Dukascopy lot sizing)

@ prc: 1.24265 <-- quantity transacted at "@" the Fill Price

deltaMsecs: 0 <--- Milliseconds elapsed since the previous entry, shown as "----" if 10 secs or more

LMAXoid: AAIm0gAAAAJVtr4I <-- LMAX Order ID

So the above shows how each field is interpreted, and below we see strictly Retail
pricing with no price advantage. We "pay the spread". If we have enough wPI (wholesale
Price Improvement) then we may be able to "make the spread" or, at least "pay less of
the spread" due to the Price Advantage or improved Buying Power.

NOTE THE FOLLOWING IS FROM THE DEMO ACCOUNT, WHICH IS STRICTLY RETAIL

You'll also note some errors in the calcs which should always show zero price improvement
which may have something to do with the DEMO environment, we'll see.

Code: 
11-12 19:28:00.815 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24265 deltaMsecs: 0 LMAXoid: AAIm0gAAAAJVtr4I
11-12 19:29:31.661 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24272 deltaMsecs: ---- LMAXoid: AAIm0gAAAAJVtr4X
11-12 19:29:31.668 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24273 deltaMsecs: 7 LMAXoid: AAIm0gAAAAJVtr4V
11-12 19:29:53.132 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24278 deltaMsecs: ---- LMAXoid: AAIm0gAAAAJVtr4e
11-12 19:30:37.744 EURUSD SEL INVALID PRICE qty: 0.0m @ prc: 0.0 deltaMsecs: ---- LMAXoid: AAIm0gAAAAJVtr4N
11-12 19:30:47.361 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.2428 deltaMsecs: 9607 LMAXoid: AAIm0gAAAAJVtr4d
11-12 19:31:34.651 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24289 deltaMsecs: ---- LMAXoid: AAIm0gAAAAJVtr44
11-12 19:31:37.990 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24296 deltaMsecs: 3339 LMAXoid: AAIm0gAAAAJVtr45
11-12 19:31:45.293 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24296 deltaMsecs: 7303 LMAXoid: AAIm0gAAAAJVtr49
11-12 19:33:23.763 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.243 deltaMsecs: ---- LMAXoid: AAIm0gAAAAJVtr5B
11-12 19:34:09.710 EURUSD SEL INVALID PRICE qty: 0.0m @ prc: 0.0 deltaMsecs: ---- LMAXoid: AAIm0gAAAAJVtr5D
11-12 19:40:22.841 EURUSD BUY B* (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.2426 deltaMsecs: ---- LMAXoid: AAIm0gAAAAJVtr40
11-12 19:40:22.925 EURUSD BUY B* (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24258 deltaMsecs: 84 LMAXoid: AAIm0gAAAAJVtr4l
11-12 19:46:12.877 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24333 deltaMsecs: ---- LMAXoid: AAIm0gAAAAJVtr98
11-12 19:46:12.995 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24333 deltaMsecs: 118 LMAXoid: AAIm0gAAAAJVtr99
11-12 19:46:13.125 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24333 deltaMsecs: 128 LMAXoid: AAIm0gAAAAJVtr9+
11-12 19:46:13.236 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24333 deltaMsecs: 113 LMAXoid: AAIm0gAAAAJVtr9/
11-12 19:46:13.354 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24333 deltaMsecs: 118 LMAXoid: AAIm0gAAAAJVtr+A
11-12 19:48:17.427 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24304 deltaMsecs: ---- LMAXoid: AAIm0gAAAAJVtr+S
11-12 19:49:23.088 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24307 deltaMsecs: ---- LMAXoid: AAIm0gAAAAJVtr+T
11-12 19:50:48.909 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.2431 deltaMsecs: ---- LMAXoid: AAIm0gAAAAJVtr+U
11-12 19:50:53.962 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24319 deltaMsecs: 5053 LMAXoid: AAIm0gAAAAJVtr+I
11-12 19:50:53.962 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24322 deltaMsecs: 0 LMAXoid: AAIm0gAAAAJVtr+J
11-12 20:01:50.153 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24325 deltaMsecs: ---- LMAXoid: AAIm0gAAAAJVtr+K
11-12 20:01:50.154 EURUSD SEL *S (1.1)  wPI: 1.10 qty: 0.001m @ prc: 1.24328 deltaMsecs: 1 LMAXoid: AAIm0gAAAAJVtr+L
11-12 20:01:50.157 EURUSD SEL *S (1.4)  wPI: 1.40 qty: 0.001m @ prc: 1.24331 deltaMsecs: 3 LMAXoid: AAIm0gAAAAJVtr+M
11-12 20:04:26.879 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24359 deltaMsecs: ---- LMAXoid: AAIm0gAAAAJVtsBK
11-12 20:04:26.987 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24359 deltaMsecs: 108 LMAXoid: AAIm0gAAAAJVtsBL
11-12 20:04:27.099 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24359 deltaMsecs: 112 LMAXoid: AAIm0gAAAAJVtsBO
11-12 20:04:28.764 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24359 deltaMsecs: 1665 LMAXoid: AAIm0gAAAAJVtsBV
11-12 20:04:28.874 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24359 deltaMsecs: 110 LMAXoid: AAIm0gAAAAJVtsBW
11-12 20:04:30.653 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24359 deltaMsecs: 1779 LMAXoid: AAIm0gAAAAJVtsBe
11-12 20:04:30.761 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24359 deltaMsecs: 108 LMAXoid: AAIm0gAAAAJVtsBg
11-12 20:04:32.617 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24357 deltaMsecs: 1856 LMAXoid: AAIm0gAAAAJVtsBm
11-12 20:04:32.723 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24357 deltaMsecs: 106 LMAXoid: AAIm0gAAAAJVtsBn
11-12 20:04:34.180 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24357 deltaMsecs: 1457 LMAXoid: AAIm0gAAAAJVtsBp
11-12 20:04:34.304 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24357 deltaMsecs: 124 LMAXoid: AAIm0gAAAAJVtsBq
11-12 20:04:35.677 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24357 deltaMsecs: 1373 LMAXoid: AAIm0gAAAAJVtsBs
11-12 20:04:35.788 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24357 deltaMsecs: 111 LMAXoid: AAIm0gAAAAJVtsBt
11-12 20:04:37.202 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24356 deltaMsecs: 1414 LMAXoid: AAIm0gAAAAJVtsBv
11-12 20:04:37.315 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24356 deltaMsecs: 113 LMAXoid: AAIm0gAAAAJVtsBw
11-12 20:04:38.972 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24356 deltaMsecs: 1657 LMAXoid: AAIm0gAAAAJVtsBy
11-12 20:04:39.094 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24356 deltaMsecs: 122 LMAXoid: AAIm0gAAAAJVtsBz
11-12 20:04:40.508 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24356 deltaMsecs: 1414 LMAXoid: AAIm0gAAAAJVtsB1
11-12 20:04:40.612 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.24356 deltaMsecs: 104 LMAXoid: AAIm0gAAAAJVtsB2
11-12 20:04:42.277 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.2435 deltaMsecs: 1665 LMAXoid: AAIm0gAAAAJVtsB4
11-12 20:04:42.383 EURUSD SEL *S (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.2435 deltaMsecs: 106 LMAXoid: AAIm0gAAAAJVtsB5
11-12 20:06:36.968 EURUSD BUY B* (0.0)  wPI: 0.00 qty: 0.006m @ prc: 1.24328 deltaMsecs: ---- LMAXoid: AAIm0gAAAAJVtsB+
 
Last edited:
Sample LIVE LMAX market data rates (5 levels of Depth of Market) through the Java API .
Timestamps appear to be EDT U.S. times, although I intended them to be GMT...

Code: 
11-13 11:17:29:998: LMAX Ticks per Second Rate for: USDJPY avgRate: 5.93 maxRate: 11.00 minRate: 2.49
11-13 11:18:29:999: LMAX Ticks per Second Rate for: USDJPY avgRate: 4.97 maxRate: 10.92 minRate: 1.18
11-13 11:19:30:000: LMAX Ticks per Second Rate for: USDJPY avgRate: 4.78 maxRate: 10.75 minRate: 1.58
11-13 11:20:30:001: LMAX Ticks per Second Rate for: USDJPY avgRate: 4.72 maxRate: 10.38 minRate: 1.86
11-13 11:21:30:002: LMAX Ticks per Second Rate for: USDJPY avgRate: 4.90 maxRate: 10.78 minRate: 2.13
11-13 11:22:30:003: LMAX Ticks per Second Rate for: USDJPY avgRate: 5.07 maxRate: 10.82 minRate: 2.04
11-13 11:23:30:003: LMAX Ticks per Second Rate for: USDJPY avgRate: 4.58 maxRate: 10.73 minRate: 1.81
11-13 11:24:30:004: LMAX Ticks per Second Rate for: USDJPY avgRate: 4.37 maxRate: 10.68 minRate: 1.77
11-13 11:25:30:005: LMAX Ticks per Second Rate for: USDJPY avgRate: 3.98 maxRate: 10.98 minRate: 2.18
11-13 11:26:30:006: LMAX Ticks per Second Rate for: USDJPY avgRate: 4.62 maxRate: 10.53 minRate: 1.14
11-13 11:27:30:006: LMAX Ticks per Second Rate for: USDJPY avgRate: 6.37 maxRate: 10.85 minRate: 3.43
11-13 11:28:30:007: LMAX Ticks per Second Rate for: USDJPY avgRate: 4.67 maxRate: 11.01 minRate: 1.69
11-13 11:29:30:008: LMAX Ticks per Second Rate for: USDJPY avgRate: 4.58 maxRate: 10.81 minRate: 1.62
11-13 11:30:30:009: LMAX Ticks per Second Rate for: USDJPY avgRate: 6.17 maxRate: 10.75 minRate: 2.27
11-13 11:31:30:009: LMAX Ticks per Second Rate for: USDJPY avgRate: 6.67 maxRate: 11.07 minRate: 2.27
11-13 11:32:30:010: LMAX Ticks per Second Rate for: USDJPY avgRate: 6.43 maxRate: 10.96 minRate: 2.52
11-13 11:33:30:011: LMAX Ticks per Second Rate for: USDJPY avgRate: 6.43 maxRate: 11.05 minRate: 3.22
11-13 11:34:30:012: LMAX Ticks per Second Rate for: USDJPY avgRate: 7.25 maxRate: 10.93 minRate: 3.57
11-13 11:35:30:012: LMAX Ticks per Second Rate for: USDJPY avgRate: 6.13 maxRate: 10.76 minRate: 2.30
11-13 11:36:30:013: LMAX Ticks per Second Rate for: USDJPY avgRate: 6.35 maxRate: 10.92 minRate: 2.50
11-13 11:37:30:014: LMAX Ticks per Second Rate for: USDJPY avgRate: 7.02 maxRate: 10.80 minRate: 3.62
11-13 11:38:30:015: LMAX Ticks per Second Rate for: USDJPY avgRate: 5.82 maxRate: 10.81 minRate: 2.20
11-13 11:39:30:016: LMAX Ticks per Second Rate for: USDJPY avgRate: 5.63 maxRate: 10.70 minRate: 2.38
11-13 11:40:30:016: LMAX Ticks per Second Rate for: USDJPY avgRate: 6.67 maxRate: 10.80 minRate: 2.77
11-13 11:41:30:017: LMAX Ticks per Second Rate for: USDJPY avgRate: 6.33 maxRate: 10.67 minRate: 2.81
11-13 11:42:30:018: LMAX Ticks per Second Rate for: USDJPY avgRate: 5.97 maxRate: 10.85 minRate: 2.47
11-13 11:43:30:019: LMAX Ticks per Second Rate for: USDJPY avgRate: 7.08 maxRate: 10.96 minRate: 2.51
11-13 11:44:30:019: LMAX Ticks per Second Rate for: USDJPY avgRate: 6.07 maxRate: 10.55 minRate: 2.29
11-13 11:45:30:020: LMAX Ticks per Second Rate for: USDJPY avgRate: 6.50 maxRate: 11.00 minRate: 2.96
11-13 11:46:30:021: LMAX Ticks per Second Rate for: USDJPY avgRate: 6.62 maxRate: 11.05 minRate: 2.30
11-13 11:47:30:022: LMAX Ticks per Second Rate for: USDJPY avgRate: 4.75 maxRate: 10.72 minRate: 1.83
11-13 11:48:30:023: LMAX Ticks per Second Rate for: USDJPY avgRate: 6.75 maxRate: 11.70 minRate: 3.03
11-13 11:49:30:023: LMAX Ticks per Second Rate for: USDJPY avgRate: 6.25 maxRate: 10.27 minRate: 2.94
11-13 11:50:30:024: LMAX Ticks per Second Rate for: USDJPY avgRate: 4.77 maxRate: 10.89 minRate: 2.03
11-13 11:51:30:025: LMAX Ticks per Second Rate for: USDJPY avgRate: 5.63 maxRate: 10.91 minRate: 2.99
11-13 11:52:30:026: LMAX Ticks per Second Rate for: USDJPY avgRate: 6.60 maxRate: 11.01 minRate: 2.50
11-13 11:53:30:026: LMAX Ticks per Second Rate for: USDJPY avgRate: 5.03 maxRate: 10.73 minRate: 2.32
11-13 11:54:30:028: LMAX Ticks per Second Rate for: USDJPY avgRate: 4.60 maxRate: 10.36 minRate: 1.91
11-13 11:55:30:030: LMAX Ticks per Second Rate for: USDJPY avgRate: 4.77 maxRate: 10.76 minRate: 1.42
11-13 11:56:30:032: LMAX Ticks per Second Rate for: USDJPY avgRate: 5.50 maxRate: 10.85 minRate: 2.13
11-13 11:57:30:034: LMAX Ticks per Second Rate for: USDJPY avgRate: 4.90 maxRate: 10.94 minRate: 1.49
11-13 11:58:30:036: LMAX Ticks per Second Rate for: USDJPY avgRate: 6.33 maxRate: 11.09 minRate: 2.34
11-13 11:59:30:038: LMAX Ticks per Second Rate for: USDJPY avgRate: 5.12 maxRate: 10.73 minRate: 2.08
11-13 12:00:30:040: LMAX Ticks per Second Rate for: USDJPY avgRate: 6.47 maxRate: 10.93 minRate: 2.15
11-13 12:01:30:042: LMAX Ticks per Second Rate for: USDJPY avgRate: 4.53 maxRate: 10.76 minRate: 2.44
11-13 12:02:30:044: LMAX Ticks per Second Rate for: USDJPY avgRate: 5.52 maxRate: 10.83 minRate: 2.54
11-13 12:03:30:047: LMAX Ticks per Second Rate for: USDJPY avgRate: 5.93 maxRate: 10.89 minRate: 2.04
11-13 12:04:30:049: LMAX Ticks per Second Rate for: USDJPY avgRate: 8.85 maxRate: 10.99 minRate: 4.74
11-13 12:05:30:051: LMAX Ticks per Second Rate for: USDJPY avgRate: 8.03 maxRate: 10.93 minRate: 3.33
11-13 12:06:30:053: LMAX Ticks per Second Rate for: USDJPY avgRate: 7.25 maxRate: 11.03 minRate: 2.54
11-13 12:07:30:055: LMAX Ticks per Second Rate for: USDJPY avgRate: 6.22 maxRate: 10.59 minRate: 2.79
11-13 12:08:30:057: LMAX Ticks per Second Rate for: USDJPY avgRate: 5.87 maxRate: 11.03 minRate: 2.50
11-13 12:09:30:059: LMAX Ticks per Second Rate for: USDJPY avgRate: 4.25 maxRate: 10.25 minRate: 1.27
11-13 12:10:30:061: LMAX Ticks per Second Rate for: USDJPY avgRate: 5.73 maxRate: 10.79 minRate: 2.88
11-13 12:11:30:063: LMAX Ticks per Second Rate for: USDJPY avgRate: 4.42 maxRate: 10.32 minRate: 1.52
11-13 12:12:30:064: LMAX Ticks per Second Rate for: USDJPY avgRate: 4.65 maxRate: 11.00 minRate: 1.58
11-13 12:13:30:066: LMAX Ticks per Second Rate for: USDJPY avgRate: 5.62 maxRate: 10.87 minRate: 1.98
11-13 12:14:30:067: LMAX Ticks per Second Rate for: USDJPY avgRate: 4.28 maxRate: 10.62 minRate: 1.84
11-13 12:15:30:069: LMAX Ticks per Second Rate for: USDJPY avgRate: 5.70 maxRate: 10.79 minRate: 2.30
11-13 12:16:30:070: LMAX Ticks per Second Rate for: USDJPY avgRate: 3.72 maxRate: 10.65 minRate: 1.48
11-13 12:17:30:072: LMAX Ticks per Second Rate for: USDJPY avgRate: 5.87 maxRate: 10.83 minRate: 2.14
11-13 12:18:30:074: LMAX Ticks per Second Rate for: USDJPY avgRate: 4.85 maxRate: 10.74 minRate: 1.40
11-13 12:19:30:075: LMAX Ticks per Second Rate for: USDJPY avgRate: 4.17 maxRate: 10.52 minRate: 1.76
11-13 12:20:30:077: LMAX Ticks per Second Rate for: USDJPY avgRate: 4.17 maxRate: 10.76 minRate: 1.97
11-13 12:21:30:078: LMAX Ticks per Second Rate for: USDJPY avgRate: 3.62 maxRate: 10.79 minRate: 1.26
11-13 12:22:30:080: LMAX Ticks per Second Rate for: USDJPY avgRate: 4.40 maxRate: 10.32 minRate: 1.80
11-13 12:23:30:081: LMAX Ticks per Second Rate for: USDJPY avgRate: 5.22 maxRate: 10.87 minRate: 1.98
11-13 12:24:30:083: LMAX Ticks per Second Rate for: USDJPY avgRate: 7.60 maxRate: 11.10 minRate: 3.38
11-13 12:25:30:084: LMAX Ticks per Second Rate for: USDJPY avgRate: 3.67 maxRate: 10.01 minRate: 1.59
 
Last edited:
volpunter said:
Live account or demo? Your data are utterly worthless if on demo. It means nothing.
More...

Hey, I CLEARLY stated that the sample data posted above was DEMO. Obviously, unless LIVE fills are measured, the data is worthless. I even put it in UPPERCASE that the snippet shown was DEMO, but I fully intend to show you the LIVE data, so patience.....

Funding LMAX can be a nightmare, at least the first time. I was expecting Live data today, but it now seems it will be tomorrow. (How many times did I say that??) Mea culpa ... I promise to show you Live data and clearly to say that it is LIVE. :) HyperScalper
 
FutureScalper said:
Hey, I CLEARLY stated that the sample data posted above was DEMO. Obviously, unless LIVE fills are measured, the data is worthless. I even put it in UPPERCASE that the snippet shown was DEMO, but I fully intend to show you the LIVE data, so patience.....

Funding LMAX can be a nightmare, at least the first time. I was expecting Live data today, but it now seems it will be tomorrow. (How many times did I say that??) Mea culpa ... I promise to show you Live data and clearly to say that it is LIVE. :) HyperScalper
More...

Sanitized email from LMAX in the endless quest to get them to accept the funding. I'm not sure how I feel about this over-regulation thing... My partner working these funding issues characterized them as "c**p" but we need their technology, not their customer service.

Code: 
Dear XXXXXX Limited,

Thank you for sending funds to LMAX. 

For security reasons, could you please send us the proof of transfer when you make the payment? 

If you have any further questions, please do not hesitate to email or call us on +44 203 192 2555. Our Client Services team are available for 24-hour support, from Sunday evening at 22.00 through to Friday evening at 22.00 UK time.

Kind regards,

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The LMAX  Exchange team
 
Sorry, but I am done with your crap. Dude, I helped you out, pointed you in the right direction on the coding side. You on the other hand turn out to be fake. Funding with bitcoin? Are you for real? And still until today you cannot fund a simple account? The minimum funding amount is LOW, what is your issue? And why do you post then this crap if its all demo? I really feel I wasted my time. Sorry that I took you serious and thought we could learn from each other. Over and out.

FutureScalper said:
Hey, I CLEARLY stated that the sample data posted above was DEMO. Obviously, unless LIVE fills are measured, the data is worthless. I even put it in UPPERCASE that the snippet shown was DEMO, but I fully intend to show you the LIVE data, so patience.....

Funding LMAX can be a nightmare, at least the first time. I was expecting Live data today, but it now seems it will be tomorrow. (How many times did I say that??) Mea culpa ... I promise to show you Live data and clearly to say that it is LIVE. :) HyperScalper
More...
 
volpunter said:
Sorry, but I am done with your crap. Dude, I helped you out, pointed you in the right direction on the coding side. You on the other hand turn out to be fake. Funding with bitcoin? Are you for real? And still until today you cannot fund a simple account? The minimum funding amount is LOW, what is your issue? And why do you post then this crap if its all demo? I really feel I wasted my time. Sorry that I took you serious and thought we could learn from each other. Over and out.
More...

I think you're premature to dismiss me. Of course I'll miss you, and appreciate your help. We've spent 2 weeks battling KYC and AML issues with LMAX and they've just now accepted our initial funding. We negotiated with them on a $5k initial amount, since we're pitching in 2 months of software effort to see what the liquidity will be. And it's finally all coming together. So the "issue" is that the back office people at LMAX are difficult to deal with, our development was more difficult than we thought, so welcome to the real world, where things worth waiting for, take a little extra time. I think really that you should read more carefully, since it's the second time you failed to read what I had written. (Hint: the BitCoin was a JOKE, and clearly marked as being a joke.) So just read things with a little more care, and sorry you're "Over and out." HyperScalper
 
PRELIMINARY RESULTS

In asking the question, can the "small retail trader" "make the spread" using
the LMAX exchange, the answer is "Yes". But this result needs to be placed in
a wider context, since it is heavily dependent upon prevailing liquidity which,
in turn, depends upon time of day and other conditions. In addition, for these
results to be consistently obtained, a methodology with tools supporting the
usage of Limit Orders for all operations is required.

In particular, Entry into a position uses Limit Orders, which are generally
placed outside of the market. This is in contrast to the usual way of Exit or Closing
of a position (retail), which must be avoided. A Limit Order is also used to
restore the Net position to zero or "flat". Unless this approach is used, the
price improvement is greatly reduced.

LMAX supports multiple simultaneous Limit Bids and Offers to facilitate this approach.

Code: 
11-18 12:06:45.620 GBPJPY SEL *>>>>S (5.0)  wPI: 5.00 qty: 0.005m @ prc: 182.757 bid: 182.752 LMAXoid: AAGJJQAAAAJleRSS
11-18 12:07:55.194 GBPJPY BUY B<<<<<<* (7.0)  wPI: 7.00 qty: 0.005m @ prc: 182.733 ask: 182.74 LMAXoid: AAGJJQAAAAJleRXe

The above shows SELL with 5/10ths = 0.5 PIPs price improvement
           (Sell price is 0.5 PIPs above the BID price)
............................BUY with 0.7 PIPs price improvement
          (Buy price is 0.7 PIPs below the ASK/OFFER price)

Average Spread at time of measurement 1.0 PIPs, so the objective
           of "making the spread" was met

Sell Price 182.757
Buy Price 182.733

Gross PIPs 2.4

Realized profit Y 120
LMAX Commission Y 23 x 2 = Y 46
Net Y 120 - Y 46 = Y 74

Price improvement Sell 0.5 PIPs
Price improvement Buy 0.7 PIPs
Total Price improvement: 1.2 PIPs

A screenshot of this "Short scalp" sequence is uploaded here.
LMAX-First-Testing-Trade-Annotated.PNG


HyperScalper
 
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