MB Stop Running - 10-19-06 at 1600GMT

Viper, "institutional feed" is the term they use all the time. I guess I just picked it up like the flu! I guess that it means a feed that is made up of the aggregated liquidity of different liquidity providers - an "ECN" of liquidity providers I guess. Sorry for the half-ass definition.

My trader will continue test driving this feed through MT4 to see what happens. The broker knows that we could give them a ton of liquidity, so if they choose the f*#$! with us, we just won't do business with them. I am trying to see what liquidity is available through there (even while trying to deal with MT4's Fill or Kill functionality that does not allow partial fills).

I don't know if 100+ lots a click will be possible. I'll see as the lot sizes increases as our tests progress.

I think that the reason why my trader is experiencing so many "off quotes" is maybe because the firm forgot to set a deviation setting. So if my guy is trying to buy when the ask is 1.8759 and then it changes to 1.8760 or more by the time the order arrives, the system will give me an "off quotes" message. I'm just guessing on this. I told them about this on Friday and on Monday I'll see what effect a 2-pip deviation setting has on trade rejections.

My trader has gotten a few "requote" messages, which don't make sense if the order is going straight to the liquidity providers (like the firm has sworn to me that it does). I can't put my finger on this. Maybe all of these messed up messages are MT4's reaction to an alien feed that does not have fixed spreads. Who knows.
 
Couple of observations from my experience with ECNs.

Around figure time all bids and offers can be pulled regardless of the direction of the figure. The banks cant know (usually!) which way the figure will be so for a very short period of time they pull both. Hence if you have a stop pretty close to the market then it could easily, and quite rightly be triggered. If you used futures exactly the same thing can have happened. I know you did not want to discuss your traders' strategy but having a stop so close to the market during a figure is madness in my view.

I am a bit unsure about your fixed spread quote. Can you explain this in more detail. In the interbank market, ECNs and futures there is no such thing. Over figures it can be anything - I have seen backwardations across the same platform, between different ECNs and between spot and futures. In your example of a weak dollar figure I have seen all bids pulled but offers left in. That isn't corruption or stop running, merely a fast market.

As for liquidity - I don't know which ECNs you have access to but even in the fastest markets then 100+ lots is no problem although none of the platforms I use trade in lots, rather the absolute amount, to be honest.

I am a little confused by the 'requote' message. In a fast market I never use a market order as the fill can be atrocious if all the quotes get pulled. I therefore use a limit order so I can know in advance the worse price, if filled. Becuase of this I sometimes dont get filled. C'est la vie! None of the ECNs I use have a requote facility though - that sounds very much a retail type set up. I also know my ping times are very good as that is somehting I spend quite a bit of time on monitoring.

With respect to the guy who suggests futures is the only answer. Each trader must make their own call (that is why there is a market after all) but I have vArious ECNs and also trade futures via TT. I would estimate that 99% of my fx trading goes via ECNs rather than futures becuase the spreads are tighter and liquidity far better. However I tend to trade when it is a fast market and leave it to the big boys when there is nothing really going on. This is because (in my view) in a fast market all traders are equal and therefore the 'local' has as much chance (or better)as a big bank of knowing direction. When it is very quiet then a local is at a disadvannatge becuase matters such as order flow can influence direction, somthign to which I have very little access to.
 
Lon Eagle,

I think you misinterpreted what I wrote when you said, "I am a bit unsure about your fixed spread quote."

I never said that we get fixed spread quotes. To me, Fixed Spreads = Dealing Desk = Bend Over and Take it with no Vaseline! Our spreads vary all over the place, especially during significant news releases.

The broker we work with must have multiple banks posting size on the platform. This is a similar concept to Currenex I guess, where traders can take liquidity from the providers.

The only true ECN that I'm aware of for FX is MBT/EFX, where traders can actually ADD liquidity to the book - a characteristic of a true ECN. I'm not sure if hotSpotFXi let's you add liquidity to the book, but I have heard from a few hedge fund guys that it offers inferior liquidity to Currenex.

So when you refer to "ECN's", I don' know which other ones you are talking about.

MT4 uses "requote" and "off quote" messages. For retail (fixed spread) feeds, I know what these messages mean - but these messages might not mean the same thing when a variable spread feed is going through the platform. It's hard to say because this has never been successfully carried out before with MT4.

Thanks for the info.
 
Danger, the more I read, the more I am convinced there is some kind of technical problem with the execution platfrom, charting and communication, data feed's, Etc.. It may be that your broker does not have all of the bugs worked out yet, and also maybe your style of trading is bringing out more bugs than they expected.

Also, a true institutional feed would allow RFQ, RFO, Market depth and instant communication with the counterparty. Anything else is kinda sorta institutional. Because it is not retail but not truly institutional.


The Ever Trading Kinda Sorta VIPER
 
Quote from danger66:


The only true ECN that I'm aware of for FX is MBT/EFX, where traders can actually ADD liquidity to the book - a characteristic of a true ECN. I'm not sure if hotSpotFXi let's you add liquidity to the book, but I have heard from a few hedge fund guys that it offers inferior liquidity to Currenex.

So when you refer to "ECN's", I don' know which other ones you are talking about.
More...

I currently use 4 ECNs, Currenex, lava, hotspot i and baxter . The first 3 certainly let you add liquidity to the market and put in your own bids and offers etc. It is early days with Baxter so cant really comment on them - so far I have been restricitng my trades with them to just 1-2 million a time.

I used EFX a while ago but is was awful.

I do know of some firms that have white labelled currenex but you only get to see their banks feeds - if you go to a proper PB this should not happen.
 
Viper, you might be right. It might be a technical issue with the platform. Remember that MT4 was never designed for all this "new stuff" and those Russian guys at MetaQuotes are not very helpful to innovators. Even when they try to help you, understanding them is a mission and a half!

MT4 was not designed to show market depth; not even depth at top of book - so even if the feed is "institutional" in nature and has depth "behind the scenes," MT4 can't show it.

Lon Eagle, I wasn't aware that Currenex allows traders to post liquidity to the book and act like "market makers." That's why I didn't call it an ECN. I think that the Currenex trading console sucks and so do the traders I work with. If they didn't, my life would be a lot easier! I never tried HotSpotFxi or lava. Someone also told me that the guys at VCap Futures wanted to incorporate baxter into MT4. I am not sure.

I might just have to bite the bullet and start hiring programmers to do what my manual scalpers need and hopefully one will succeed. I just hate the idea of putting a bunch of time, energy, and money into something that might not work at the end.
 
Danger and Lon what is up, just finished the trading day so I have some time. First respect to both of you.

Danger there is a shortcut to what you want to do, you just have to find the right broker. Some brokers have an established FIX api to the CurreneX feed, generally this type of API has already been tested and certified, by getting access to this all you need to do is get the open API for a charting program, like Tickquest and then program a virtual server solution. Remember that the most expensive part of this is getting your API fully tested and then certified, if you can get access to an API that is already certified, the hardest part is done for you.

Lon, I have an observation. CurreneX uses the term Prime Broker to refer to the, well, Prime Brokers. For example, ABN, UBS, Citi, Bear etc. To access these "Prime Brokers" without a white lable provider one would have to have a banking/forex relationship with one or more of these banks. This would allow for RFO, RFQ, and other features that CurreneX has that are not permissioned by white label providers.

Generally one would have to have a corporation, credit in the mios, etc, etc, etc. I don't know if this is what you are referring to or not.

Usually the White Lable provider steps in with these relationships, this allows those of us who do not have 100s of mios, to trade a bit with those who do. Unlike Hotspot, you cannot go and open a CurreneX account. From what I know, CurreneX is just a platform that allows you to communicate with banks and other liquidity providers. If you have the relationships with the banks "Prime Brokers", you just pay to use the platform. But that is what I know, and there may be other options I don't know about, and if you know of any, please share.

The Ever Helpful But Not Knowing Everything VIPER
 
Hi Viper,

Right now I'm thinking of trying out an app customized by one of the trader/programmers in this forum to work with ODL's Currenex. I'll compare these executions to the ones we're getting with the MT4-"institutional" rig.

The only thing that I won't have with the customized app is charting and I really don't understand how to plot the ODL Currenex data. I don't understand what you mean by, "all you need to do is get the open API for a charting program, like Tickquest and then program a virtual server solution." Sounds like Chinese to me. :) Sorry.

You mentioned to Lon accessing the "Prime Brokers" without a white label provider. Someone once told me that volume is what these guys really care about - not necessarily how much money you have in the bank or zillion dollars in credit. Does this mean that once we're doing $5B+ per month in volume, we can go to a Prime Broker and start working with them directly? Does this mean that our commissions will be 50% lower than what we pay the white label providers now? If not, how much less? Are there any other advantages in working with a PB directly other than lower costs? Sorry for all the questions.

Are these requirements similar to work with EBS?

Take care.
 
Ok, this is going to be long, so let me warn Y'all first.

First the API question. Let's say you go to a broker and you want to trade on CurreneX (CX). But you also want to integrate some automated trading, and your own charts, because the CX charts are not viable, or even working properly at this time. First your White Lable Provider (WLP) would give you acceess to the CX API.

Then you would have to get a programmer to build a program that included charting and an order entry system. After these basic components where completed then you would have to go through the testing and certification phase with currenex. They would need to certify that your program would be compatable with the CX system and that it would not glitch up their system and would have no predatory elements. Then you would be ready to trade.

Now, on the other hand, if you have a good relationship with your CX broker/provider, they might let you use their already working, tested and certified API. If this is the case, you would be riding on the coatails of the brokers work, time, and money.

The next thing you need to do is charting and order entry. Now I am going to use neoticker as an example. If you have a permanent license, tickquest has an open API, in other words it is not confidential. This open API allows Neoticker to interface (thats a word our CIO taught me) or talk to your brokers already certified CX API. Now at this point is where the programming dudes come into play.

The programmer would then program a virtual server, this virtual server works just like a real hardware server. In other words, it does the same job as a literal trade server but takes up no floor space. With this you can program all of the advanced orders you want, program trades etc.

Oh, by the way, I am not goofing off RG, I have placed an order and am waiting for the level to hit. Just in case my partners see this.

Ok, lets talk about PB's, you know what a PB is, and that makes this discussion much simpler. So we have lets say UBS, and an FX trading firm (FXT). I use UBS because we have a financial relationship with them on our real estate side. Now you have to have the credit worthiness. Without that any discussion about volume is a moot point. After you pass the credit requirements, then you talk about volume. Now I have head that some PBs go backwards, first, what is the volume, and then if you can't meet the minimum, then don't call us we will call you. So it depends on the PB. But you still need the credit, also I know, if you have an existing relationship with a pb it is easier. Don't forget that there ar fees for CX and the PB, but as far as cutting you fees in half, it is my understanding that it will be more than half of retail.

This is all I can put in a public forum but I will PM you sometime today with more details.

Oh, I almost forgot, check out CX's Catalyst Program it may help you move along


The Ever Helpful VIPER
 
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