LMAX price advantage measurement

You will be subject to an inactivity fee** each month unless the following thresholds are met:

Java/.NET/XML/JSON
Deposited funds of $5,000 or other currency equivalents; AND
Trade a minimum of $5 million in notional value per calendar month.

FIX Protocol
Deposited funds of $10,000 or other currency equivalents; AND
Trade a minimum $25 million in notional value per calendar month.

** Inactivity fee per month:
Java/.Net/XML/JSON - $60
FIX - $300
 
Surfeur said:
You will be subject to an inactivity fee** each month unless the following thresholds are met:

Java/.NET/XML/JSON
Deposited funds of $5,000 or other currency equivalents; AND
Trade a minimum of $5 million in notional value per calendar month.

FIX Protocol
Deposited funds of $10,000 or other currency equivalents; AND
Trade a minimum $25 million in notional value per calendar month.

** Inactivity fee per month:
Java/.Net/XML/JSON - $60
FIX - $300
More...

Thanks for posting that information.

I'd just like to give my perspective on these fees. For me it's a negligible monthly fee even if the minimum turnover volumes are not met each month. Just the value of wholesale buying power is an incredible advantage. We were not charged for every month when we used the Live system (unfunded for 3 months) for development purposes. From my perspective, there is no issue at all with a $60 / month fee if we do not meet their volume quotas. $60 is 1 or 2 short term trades worth, so it's really not a disincentive at all. To me, these fees are pretty minimal for a professional trading operation. The ability for day traders at LMAX to repeatedly leverage high proportions of relatively small accounts means that the ratio of profitabiity to account size can be very favorable. Instead of the usual 5-10% buying power, I will be leveraging 20%-60% buying power with many short term transactions. Thanks for the information !

HyperScalper
 
Surfeur said:
You will be subject to an inactivity fee** each month unless the following thresholds are met:

Java/.NET/XML/JSON
Deposited funds of $5,000 or other currency equivalents; AND
Trade a minimum of $5 million in notional value per calendar month.

FIX Protocol
Deposited funds of $10,000 or other currency equivalents; AND
Trade a minimum $25 million in notional value per calendar month.

** Inactivity fee per month:
Java/.Net/XML/JSON - $60
FIX - $300
More...

Correct me if I am wrong, since we went directly with LMAX as the broker. I believe your information is accurate when LMAX acts directly as the broker, as distinct from LMAX as the exchange or trading venue.

However, there are IB's "introducing brokers" for LMAX which I believe may offer lower minimum requirements, and perhaps other terms and conditions. I don't have a list of these, but if anyone does know a link to a list, or which IB's for LMAX are most reputable, I'd be interested to know to provide options for traders in choosing the broker, but still having access to LMAX liquidity through an API application.

HyperScalper
 
Last edited:
After a hiatus, a large amount of testing and gaining experience with LMAX, plus tweaking the software along the way, just a summary of our experience so far, plus more Wholesale Price Improvement data.

I have no affiliation with LMAX, except as a trader. And these results use specialized API software.

In the data below, resulting from resting Limit orders either outside the market, or placed inside the spread, we see price improvement very consistently.

My main focus has been USD/JPY since it is liquid, and also has good price range movement.

Spreads in USD/JPY can be as low as 0.2 PIPs or at slower times in the range of 0.8 PIPs, so Price Improvement is not a big component of the profit, except as a cumulative advantage.

We gain price improvement in 2 ways:
1) striking quickly on a pullback, a "retail" strike which will obviously not show price improement
2) using resting limit orders, or striking inside the spread where price improvement is possible

So when you see B<<<<* it means that the BUY price was below the ASK (*)
and when you see *>>>>S it means that the SELL price was above the BID (*).
Each mark is 0.1 PIPs and the number of Tenths of a PIP are shown in parentheses.

In USD/JPY the probability of at least some price improvement is better than 95% during most of the trading day, excluding the really "dead" times in Forex, of course.

So my experience with LMAX is that it is most likely one of the best venues because it offers:
1) Wholesale pricing through a "fair and level" playing field
2) Much tighter spreads than most Forex venues for retail strikes
3) Very fast and reliable order processing with "no last look", so we never get transaction refused by a counterparty.

HyperScalper

Code: 
12-16 05:56:30.160 USDJPY BUY B<<<<* (5.0)  wPI: 5.00 qty: 0.015m @ prc: 117.164 ask: 117.169 LMAXoid: AAGJIwAAAAJpLpec
12-16 06:00:03.303 USDJPY SEL *>>>>>>S (7.0)  wPI: 7.00 qty: 0.001m @ prc: 117.209 bid: 117.202 LMAXoid: AAGJIwAAAAJpLp4/
12-16 06:00:22.002 USDJPY SEL *>>>>>>>>S (9.0)  wPI: 9.00 qty: 0.001m @ prc: 117.209 bid: 117.2 LMAXoid: AAGJIwAAAAJpLp4/
12-16 06:00:22.019 USDJPY SEL *>>>>>>>>S (9.0)  wPI: 9.00 qty: 0.003m @ prc: 117.209 bid: 117.2 LMAXoid: AAGJIwAAAAJpLp4/
12-16 06:00:22.104 USDJPY SEL *>>>>>>>>S (9.0)  wPI: 9.00 qty: 0.001m @ prc: 117.209 bid: 117.2 LMAXoid: AAGJIwAAAAJpLp4/
12-16 06:00:22.110 USDJPY SEL *>>>>>>>>S (9.0)  wPI: 9.00 qty: 0.001m @ prc: 117.209 bid: 117.2 LMAXoid: AAGJIwAAAAJpLp4/
12-16 06:00:22.111 USDJPY SEL *>>>>>>>>S (9.0)  wPI: 9.00 qty: 0.001m @ prc: 117.209 bid: 117.2 LMAXoid: AAGJIwAAAAJpLp4/
12-16 06:00:22.203 USDJPY SEL *>>>>>>S (7.0)  wPI: 7.00 qty: 0.001m @ prc: 117.209 bid: 117.202 LMAXoid: AAGJIwAAAAJpLp4/
12-16 06:00:22.230 USDJPY SEL *>>>>>>S (7.0)  wPI: 7.00 qty: 0.006m @ prc: 117.209 bid: 117.202 LMAXoid: AAGJIwAAAAJpLp4/
12-16 06:14:50.571 USDJPY BUY B<<* (3.0)  wPI: 3.00 qty: 0.001m @ prc: 117.231 ask: 117.234 LMAXoid: AAGJIwAAAAJpLsWE
12-16 14:27:52.423 USDJPY SEL *>>>>>>>>S (9.0)  wPI: 9.00 qty: 0.005m @ prc: 116.048 bid: 116.039 LMAXoid: AAGJIwAAAAJpYEQA
12-16 14:32:18.396 USDJPY SEL *>>>>>>>>>>S (11.0)  wPI: 11.00 qty: 0.005m @ prc: 116.047 bid: 116.036 LMAXoid: AAGJIwAAAAJpYOsc
12-16 15:05:24.322 USDJPY BUY B<<* (3.0)  wPI: 3.00 qty: 0.004m @ prc: 116.648 ask: 116.651 LMAXoid: AAGJIwAAAAJpaIY1
12-16 15:05:24.337 USDJPY BUY B<<* (3.0)  wPI: 3.00 qty: 0.002m @ prc: 116.648 ask: 116.651 LMAXoid: AAGJIwAAAAJpaIY1
12-16 15:14:41.240 USDJPY SEL *>>>>>S (6.0)  wPI: 6.00 qty: 0.001m @ prc: 116.423 bid: 116.417 LMAXoid: AAGJIwAAAAJpakOK
12-16 15:14:43.608 USDJPY SEL *>>>>S (5.0)  wPI: 5.00 qty: 0.004m @ prc: 116.423 bid: 116.418 LMAXoid: AAGJIwAAAAJpakOK
12-16 15:25:01.826 USDJPY BUY B<<<<<<* (7.0)  wPI: 7.00 qty: 0.001m @ prc: 116.783 ask: 116.79 LMAXoid: AAGJIwAAAAJpbDVU
12-16 15:25:04.721 USDJPY BUY B<<* (3.0)  wPI: 3.00 qty: 0.004m @ prc: 116.783 ask: 116.786 LMAXoid: AAGJIwAAAAJpbDVU
12-16 15:42:40.510 USDJPY SEL *>>S (3.0)  wPI: 3.00 qty: 0.01m @ prc: 116.762 bid: 116.759 LMAXoid: AAGJIwAAAAJpbu4E
12-16 18:11:19.230 USDJPY SEL *>>>>S (5.0)  wPI: 5.00 qty: 0.006m @ prc: 117.275 bid: 117.27 LMAXoid: AAGJIwAAAAJpgVNQ
12-16 18:26:32.103 USDJPY SEL *>>>>>>S (7.0)  wPI: 7.00 qty: 0.006m @ prc: 117.128 bid: 117.121 LMAXoid: AAGJIwAAAAJpgtmg
12-16 18:32:26.771 USDJPY SEL *>>>>>>>>>>>>>>S (15.0)  wPI: 15.00 qty: 0.006m @ prc: 117.088 bid: 117.073 LMAXoid: AAGJIwAAAAJpg5Js
12-16 18:35:58.992 USDJPY SEL *>>>>>>>S (8.0)  wPI: 8.00 qty: 0.002m @ prc: 117.208 bid: 117.2 LMAXoid: AAGJIwAAAAJpghGG
12-16 18:35:59.030 USDJPY SEL *>>>>>>>S (8.0)  wPI: 8.00 qty: 0.002m @ prc: 117.208 bid: 117.2 LMAXoid: AAGJIwAAAAJpghGG
12-16 18:35:59.041 USDJPY SEL *>>>>>>>S (8.0)  wPI: 8.00 qty: 0.002m @ prc: 117.208 bid: 117.2 LMAXoid: AAGJIwAAAAJpghGG
12-16 18:41:45.379 USDJPY SEL *>>>>>>>>>>>>>>>S (16.0)  wPI: 16.00 qty: 0.006m @ prc: 117.24 bid: 117.224 LMAXoid: AAGJIwAAAAJphF0Y
12-16 19:59:42.272 USDJPY SEL *>>>S (4.0)  wPI: 4.00 qty: 0.001m @ prc: 117.24 bid: 117.236 LMAXoid: AAGJIwAAAAJpiSef
12-16 20:02:15.329 USDJPY SEL *>>>>>>>S (8.0)  wPI: 8.00 qty: 0.001m @ prc: 117.217 bid: 117.209 LMAXoid: AAGJIwAAAAJpiTUk
12-16 20:23:49.174 USDJPY BUY B<<<<* (5.0)  wPI: 5.00 qty: 0.001m @ prc: 117.247 ask: 117.252 LMAXoid: AAGJIwAAAAJpilu4
12-16 20:26:17.770 USDJPY SEL *>>>S (4.0)  wPI: 4.00 qty: 0.001m @ prc: 117.234 bid: 117.23 LMAXoid: AAGJIwAAAAJpioU3
12-16 20:30:34.853 USDJPY SEL *>>>S (4.0)  wPI: 4.00 qty: 0.002m @ prc: 117.215 bid: 117.211 LMAXoid: AAGJIwAAAAJpirkT
12-16 20:31:30.451 USDJPY SEL *>>>>S (5.0)  wPI: 5.00 qty: 0.001m @ prc: 117.234 bid: 117.229 LMAXoid: AAGJIwAAAAJpioU3
12-16 20:43:10.142 USDJPY SEL *>>S (3.0)  wPI: 3.00 qty: 0.003m @ prc: 117.082 bid: 117.079 LMAXoid: AAGJIwAAAAJpi7iJ
12-16 20:48:07.261 USDJPY SEL *>>>>>S (6.0)  wPI: 6.00 qty: 0.003m @ prc: 116.861 bid: 116.855 LMAXoid: AAGJIwAAAAJpjDiV
12-16 20:49:38.654 USDJPY SEL *>>>>>S (6.0)  wPI: 6.00 qty: 0.002m @ prc: 116.799 bid: 116.793 LMAXoid: AAGJIwAAAAJpjFJB
12-16 20:51:26.302 USDJPY SEL *>>>>>>>>>S (10.0)  wPI: 10.00 qty: 0.003m @ prc: 116.748 bid: 116.738 LMAXoid: AAGJIwAAAAJpjHST
12-17 02:54:30.221 USDJPY SEL *>>>S (4.0)  wPI: 4.00 qty: 0.004m @ prc: 116.762 bid: 116.758 LMAXoid: AAGJIwAAAAJpj3ND
12-17 02:54:30.224 USDJPY SEL *>>>S (4.0)  wPI: 4.00 qty: 0.001m @ prc: 116.762 bid: 116.758 LMAXoid: AAGJIwAAAAJpj3ND
12-17 16:44:08.926 USDJPY SEL *>>>>>>>>>>S (11.0)  wPI: 11.00 qty: 0.003m @ prc: 117.529 bid: 117.518 LMAXoid: AAGJIwAAAAJpusrI
12-17 17:22:01.226 USDJPY SEL *>>>>>>>>>>>>>S (14.0)  wPI: 14.00 qty: 0.005m @ prc: 117.74 bid: 117.726 LMAXoid: AAGJIwAAAAJpvfmg
12-17 17:22:28.444 USDJPY BUY B<<* (3.0)  wPI: 3.00 qty: 0.005m @ prc: 117.709 ask: 117.712 LMAXoid: AAGJIwAAAAJpvf1u
12-17 17:24:05.771 USDJPY BUY B<<<<<* (6.0)  wPI: 6.00 qty: 0.005m @ prc: 117.775 ask: 117.781 LMAXoid: AAGJIwAAAAJpvit+
12-17 19:34:51.318 USDJPY SEL *>>>S (4.0)  wPI: 4.00 qty: 0.003m @ prc: 117.646 bid: 117.642 LMAXoid: AAGJIwAAAAJpyaX4
12-17 19:34:51.470 USDJPY SEL *>>>>>>>>>S (10.0)  wPI: 10.00 qty: 0.003m @ prc: 117.661 bid: 117.651 LMAXoid: AAGJIwAAAAJpyaX8
12-17 19:34:55.072 USDJPY SEL *>>>S (4.0)  wPI: 4.00 qty: 0.003m @ prc: 117.676 bid: 117.672 LMAXoid: AAGJIwAAAAJpyaX/
12-17 19:37:13.421 USDJPY BUY B<<<<<<<<* (9.0)  wPI: 9.00 qty: 0.003m @ prc: 117.633 ask: 117.642 LMAXoid: AAGJIwAAAAJpyarv
12-17 19:37:13.626 USDJPY BUY B<<<* (4.0)  wPI: 4.00 qty: 0.003m @ prc: 117.623 ask: 117.627 LMAXoid: AAGJIwAAAAJpybX+
12-17 19:37:13.927 USDJPY BUY B<<<* (4.0)  wPI: 4.00 qty: 0.003m @ prc: 117.61 ask: 117.614 LMAXoid: AAGJIwAAAAJpydPr
12-17 19:41:49.871 USDJPY SEL *>>>>>>>>S (9.0)  wPI: 9.00 qty: 0.003m @ prc: 118.196 bid: 118.187 LMAXoid: AAGJIwAAAAJpymbZ
12-17 19:45:38.780 USDJPY SEL *>>>>S (5.0)  wPI: 5.00 qty: 0.003m @ prc: 118.384 bid: 118.379 LMAXoid: AAGJIwAAAAJpyvzv
12-17 21:23:01.042 USDJPY SEL *>>>>S (5.0)  wPI: 5.00 qty: 0.002m @ prc: 118.639 bid: 118.634 LMAXoid: AAGJIwAAAAJp0PpO
12-17 21:23:21.210 USDJPY SEL *>>>>>S (6.0)  wPI: 6.00 qty: 0.001m @ prc: 118.666 bid: 118.66 LMAXoid: AAGJIwAAAAJp0O4K
12-17 21:23:21.669 USDJPY SEL *>>>>S (5.0)  wPI: 5.00 qty: 0.001m @ prc: 118.666 bid: 118.661 LMAXoid: AAGJIwAAAAJp0O4K
12-17 21:23:24.719 USDJPY SEL *>>>>>>S (7.0)  wPI: 7.00 qty: 0.002m @ prc: 118.7 bid: 118.693 LMAXoid: AAGJIwAAAAJp0OL5
12-17 21:23:25.119 USDJPY SEL *>>S (3.0)  wPI: 3.00 qty: 0.002m @ prc: 118.726 bid: 118.723 LMAXoid: AAGJIwAAAAJp0N/k
12-18 03:40:56.924 USDJPY BUY B<<<<<<<<<<* (11.0)  wPI: 11.00 qty: 0.025m @ prc: 118.526 ask: 118.537 LMAXoid: AAGJIwAAAAJp02V2
12-18 14:32:14.717 USDJPY SEL *>>>>S (5.0)  wPI: 5.00 qty: 0.004m @ prc: 119.139 bid: 119.134 LMAXoid: AAGJIwAAAAJp8xQS
12-18 17:38:22.888 USDJPY BUY B<<* (3.0)  wPI: 3.00 qty: 0.004m @ prc: 119.035 ask: 119.038 LMAXoid: AAGJIwAAAAJqA6hS
12-18 17:39:56.044 USDJPY BUY B<<* (3.0)  wPI: 3.00 qty: 0.001m @ prc: 119.035 ask: 119.038 LMAXoid: AAGJIwAAAAJqA6hS
 
hyperscalper said:
After a hiatus, a large amount of testing and gaining experience with LMAX, plus tweaking the software along the way, just a summary of our experience so far, plus more Wholesale Price Improvement data.

I have no affiliation with LMAX, except as a trader. And these results use specialized API software.
More...

After a lot of experience now micro scalping on LMAX, and co-developing the interactive trading platform, here are some of the conclusions I've arrived at:

1) WHOLESALE pricing. Yes, it is true that LMAX absolute provides "Buy at Best Bid" and "Sell at Best Offer" pricing, provided there is a counterparty at the instant in time you wish to "strike".

2) RETAIL pricing. Yes, it is also true that Retail pricing on LMAX is the best available anywhere. By definition is has to be, since it's even possible for a "crossed market" where the spread is zero. But, in general, spreads are about 60% of those found on Dukascopy, although generalization is difficult. Direct comparison cannot be made because Dukascopy does not quote anything under 100,000 on the Book, even though they permit smaller amounts on the ECN. LMAX quotes every participant, down to trade size 1,000 which makes the spread "noisier". For me, this means more opportunity to catch better pricing.

3) MICRO TREND ANALYTICS. This area of Analytics is critical in any trading, whether micro scalping or macro trading. I am able to derive from the LMAX DOM behavior a reliable Micro Trend signal so I'll post an example of such a signal for USD/JPY, the primary Currency Pair I have been investigating.

4) PLATFORM PULLBACK TRIGGER ENTRY. Because liquidity does not permit instantaneous entry, it is still preferable and more profitable for the Trading Platform to be co-located near the LMAX exchange and to "reactively trigger" on pullbacks to provide for Entry strikes which are Retail. Going after wholesale is a different set of skills, which I also support, but which does not yield best results.

5) MANUAL ENTRY NOT USED. Due to the need to recognize "features of price", and the slow nature of manual entry, all Entries are semi-automated. They are "triggers" whith cyber recognized timing and entry, according to conditions which are configured manually. So there's an "arm to fire, and forget" approach to Entry or to Exit, where the platform responds to the details of execution, when the right conditions exist.

SUMMARY: With the right software support, which is highly custom and focused on micro scalping, there is no other venue on the planet more effective than LMAX. It is, however, rather "bare bones" from the perspective of ordinary traders, and is best used with specialist software which normally requires many months of dedicated development.

HyperScalper
BuySignalLMAX.PNG
 
Still working with LMAX so will post a bit more data. Below we see the actual price improvement data, as before, but an additional field "msecs:" shows the time between Order Submission and Acknowledgement.

The typical latencies are around 70 msecs or less. Some latencies are as low as 23 msecs. Certainly there is high consistency with Order Processing times <70 msecs. This is running on a Quad Xeon dedicated server running Linux Centos and Oracle Java Server VM 7 Update 71 situated in Germany over the public internet, which is why the latencies are lower than I could have achieved from my U.S. location. I set the triggering criteria over VNC connection to the Java Swing user interface, but the core logic is on the server.

This is Java code, using LMAX's Java API written with as much concurrency and performance as I could manage.

Keep in mind that there are 2 distinct types of Order submissions. 1) Resting limit orders outside the market, which are "hit" by the market, and 2) Limit orders submitted by the Triggering System which are designed to fill instantly by hitting >Ask to Buy and striking <Bid to Sell so these would not yield price improvement if they strike the market precisely at the Inside.

But, to ensure a fill from the Triggering, often we strike with Limit orders priced slightly above the Ask to Buy, maybe 0.2 PIPs above, or strike slightly below the Bid to Sell, thus giving us the best available Retail price, which essentially emulates what a Market Order would do, an immediate fill.

Probably I should differentiate between these two Order placement methods.

LMAX is best described as "rock solid" and highly consistent in responding to Orders with no detectable "slippage" and no "requotes or counterparty rejections" which are simply not possible on this exchange. It's a scalper's "dream come true".

Later we will move to their FIX API but this is enough performance for our needs now.

HyperScalper

Example, here is clearly a Resting Limit Order outside the market which fills with 1 PIP price improvement (10.0 tenths of a PIP):
01-15 16:42:04.233 USDJPY BUY B<<<<<<<<<* (10.0)
wPI: 10.00
qty: 0.01m @ prc: 116.951
ask: 116.961
msecs: 23
LMAXoid: AAGJIwAAAAJs8z9Q
The above record says that a BUY with a resting limit order was filled
below the ASK price (denoted by the *) by 10/10 PIP which is substantial
"wholesale" price improvement.

Code: 
01-15 01:05:31.039 EURUSD BUY B* (0.0)  wPI: 0.00 qty: 0.001m @ prc: 1.17763 ask: 1.17763 msecs: 74 LMAXoid: AAGJHQAAAAJsqCW6
01-15 01:41:48.465 EURUSD BUY B<* (2.0)  wPI: 2.00 qty: 0.001m @ prc: 1.1774 ask: 1.17742 msecs: 81 LMAXoid: AAGJHQAAAAJsqGH4
01-15 01:41:54.646 EURUSD BUY B* (1.0)  wPI: 1.00 qty: 0.001m @ prc: 1.17736 ask: 1.17737 msecs: 68 LMAXoid: AAGJHQAAAAJsqGJ+
01-15 01:42:53.040 EURUSD SEL *S (1.0)  wPI: 1.00 qty: 0.001m @ prc: 1.17753 bid: 1.17752 msecs: 69 LMAXoid: AAGJHQAAAAJsqGP4
01-15 01:43:15.118 EURUSD SEL *>S (2.0)  wPI: 2.00 qty: 0.001m @ prc: 1.17756 bid: 1.17754 msecs: 70 LMAXoid: AAGJHQAAAAJsqGQZ
01-15 05:24:51.226 EURUSD BUY B* (0.0)  wPI: 0.00 qty: 0.005m @ prc: 1.17696 ask: 1.17696 msecs: 71 LMAXoid: AAGJHQAAAAJsqZDy
01-15 05:59:01.215 EURUSD SEL *>S (2.0)  wPI: 2.00 qty: 0.005m @ prc: 1.17686 bid: 1.17684 msecs: 69 LMAXoid: AAGJHQAAAAJsqeLS
01-15 06:21:22.282 EURUSD SEL *>S (2.0)  wPI: 2.00 qty: 0.005m @ prc: 1.17637 bid: 1.17635 msecs: 82 LMAXoid: AAGJHQAAAAJsqiO7
01-15 16:42:04.233 USDJPY BUY B<<<<<<<<<* (10.0)  wPI: 10.00 qty: 0.01m @ prc: 116.951 ask: 116.961 msecs: 23 LMAXoid: AAGJIwAAAAJs8z9Q
01-15 17:00:04.609 USDJPY BUY B<<<<<<<* (8.0)  wPI: 8.00 qty: 0.001m @ prc: 116.935 ask: 116.943 msecs: 22 LMAXoid: AAGJIwAAAAJs9O65
01-15 17:00:05.925 USDJPY BUY B<<<<<<<<<* (10.0)  wPI: 10.00 qty: 0.009m @ prc: 116.935 ask: 116.945 msecs: 22 LMAXoid: AAGJIwAAAAJs9O65
01-16 03:06:10.229 USDJPY SEL *S (0.0)  wPI: 0.00 qty: 0.01m @ prc: 116.227 bid: 116.227 msecs: 80 LMAXoid: AAGJIwAAAAJtCz1z
01-16 03:27:47.807 USDJPY SEL *>>>>S (5.0)  wPI: 5.00 qty: 0.001m @ prc: 116.267 bid: 116.262 msecs: 70 LMAXoid: AAGJIwAAAAJtC27W
01-16 03:27:59.098 USDJPY SEL *>>>>S (5.0)  wPI: 5.00 qty: 0.006m @ prc: 116.267 bid: 116.262 msecs: 70 LMAXoid: AAGJIwAAAAJtC27W
01-16 03:28:38.426 USDJPY BUY B<<* (3.0)  wPI: 3.00 qty: 0.007m @ prc: 116.244 ask: 116.247 msecs: 74 LMAXoid: AAGJIwAAAAJtC3Ep
01-16 04:15:10.310 USDJPY BUY B<<<<<<<<* (9.0)  wPI: 9.00 qty: 0.012m @ prc: 116.163 ask: 116.172 msecs: 69 LMAXoid: AAGJIwAAAAJtC9L+
01-16 04:17:14.735 USDJPY SEL *>>>S (4.0)  wPI: 4.00 qty: 0.012m @ prc: 116.199 bid: 116.195 msecs: 73 LMAXoid: AAGJIwAAAAJtC9Y3
01-16 04:35:14.292 USDJPY BUY B<<<* (4.0)  wPI: 4.00 qty: 0.012m @ prc: 116.402 ask: 116.406 msecs: 76 LMAXoid: AAGJIwAAAAJtC/0j
01-16 04:35:21.219 USDJPY SEL *>S (2.0)  wPI: 2.00 qty: 0.012m @ prc: 116.426 bid: 116.424 msecs: 23 LMAXoid: AAGJIwAAAAJtC/2M
01-16 04:48:57.828 USDJPY BUY B<<<<* (5.0)  wPI: 5.00 qty: 0.013m @ prc: 116.356 ask: 116.361 msecs: 69 LMAXoid: AAGJIwAAAAJtDBJG
01-16 14:11:10.780 USDJPY SEL *>>>>S (5.0)  wPI: 5.00 qty: 0.01m @ prc: 116.682 bid: 116.677 msecs: 23 LMAXoid: AAGJIwAAAAJtMFMB
01-16 14:11:10.783 USDJPY SEL *>>>>S (5.0)  wPI: 5.00 qty: 0.005m @ prc: 116.682 bid: 116.677 msecs: 23 LMAXoid: AAGJIwAAAAJtMFMB
01-16 19:52:21.598 USDJPY SEL *>>S (3.0)  wPI: 3.00 qty: 0.001m @ prc: 117.559 bid: 117.556 msecs: 68 LMAXoid: AAGJIwAAAAJtUYG2
01-16 20:01:46.727 USDJPY SEL *S (1.0)  wPI: 1.00 qty: 0.015m @ prc: 117.492 bid: 117.491 msecs: 68 LMAXoid: AAGJIwAAAAJtUbw9
01-16 20:11:44.187 USDJPY SEL *S (0.0)  wPI: 0.00 qty: 0.01m @ prc: 117.544 bid: 117.543 msecs: 69 LMAXoid: AAGJIwAAAAJtUfWS
01-16 20:12:16.885 USDJPY BUY B<* (2.0)  wPI: 2.00 qty: 0.001m @ prc: 117.562 ask: 117.564 msecs: 68 LMAXoid: AAGJIwAAAAJtUfix
01-16 20:16:24.606 USDJPY SEL *S (0.0)  wPI: 0.00 qty: 0.024m @ prc: 117.547 bid: 117.546 msecs: 69 LMAXoid: AAGJIwAAAAJtUhAk
01-16 20:37:07.223 USDJPY SEL *>>S (3.0)  wPI: 3.00 qty: 0.01m @ prc: 117.545 bid: 117.542 msecs: 72 LMAXoid: AAGJIwAAAAJtUqGx
 
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