What arrangement makes sense for printing Forex order info?

[kmiklas]

Heya Peeps,

I'm working on building a Forex exchange, and am not sure about the sequence in which market order data should be printed. I've set it up as shown below; how does this look to you? Should I switch anything?

Order Number        Base Counter Type Action Quantity Price
519564758564015_ABC GBP  USD     LMT  BUY    100      124.93

Does the above arrangement make sense, or would you prefer to have them arranged in a different order?

Thx,
Keith :^)

 

[Pippi436]

Obviously, if someone bought someone else sold. The tape usually shows the price and qty, and maybe if the trade occured on the bid or the ask.

 

[Overnight]

Heya Peeps,

I'm working on building a Forex exchange, and am not sure about the sequence in which market order data should be printed. I've set it up as shown below; how does this look to you? Should I switch anything?

Order Number        Base Counter Type Action Quantity Price
519564758564015_ABC GBP  USD     LMT  BUY    100      124.93

Does the above arrangement make sense, or would you prefer to have them arranged in a different order?

Thx,
Keith :^)

So in the course of less than 7 months, you went from fear of having your trading account wiped, to wanting to START YOUR OWN FOREX EXCHANGE?!?


Rigghhhtt.. OKAY then.

https://www.elitetrader.com/et/thre...graph-from-reminiscenses.301578/#post-4310830

 

[Llxa]

Heya Peeps,

I'm working on building a Forex exchange, and am not sure about the sequence in which market order data should be printed. I've set it up as shown below; how does this look to you? Should I switch anything?

Order Number        Base Counter Type Action Quantity Price
519564758564015_ABC GBP  USD     LMT  BUY    100      124.93

Does the above arrangement make sense, or would you prefer to have them arranged in a different order?

Thx,
Keith :^)

You are trying to build like a matching service like Island or Arca for Forex trading? Am I understanding this correctly? If so, here is my take on it:

1) You don't need the "Type" information there; it will be obvious according to the nature of the order itself. If it's a limit order, it will just sit on the Level 1/Level 2 screen if it's a market order, it would just get filled instantly and traders won't even see or even need to see it.

2) I would put "Price" before "Quantity" because price should take priority when deciding which order to get filled first.

3) You should also add "Time" of when the order was sent to the exchange before "Quantity". According to what I saw on most of those matching services, time is the next condition that gets looked at in filling orders when everything else is equal. If you have more than 1 order that has the same price, it's first come first serve; the order that was sent to the exchange first would be filled first.

4) For the currency pair, it shouldn't be labelled "Base Counter". Personally I find that a bit confusing. I would prefer the pair just be listed with a "/" like "GBP/USD" for your example. That's basically the convention that forex traders are used to and everybody would know that "GBP" is the base currency and "USD" is the quote currency. And I prefer the term "quote" instead of "counter". Personally, I just find the term "quote" more intuitive and describes the relationship of the two currencies in the pair better.

Hope this helps. Good luck!

 

[Llxa]

Oh yes two more things that you should include on the tape: Last trade price and on which side, Bid or Ask the last trade was executed on.

 

[kmiklas]

You are trying to build like a matching service like Island or Arca for Forex trading? Am I understanding this correctly?

Yup, except that instead of an order queue, this uses pools, and a random selection algo to pair orders. This gives everyone in line an equal chance of getting matched next.

1) You don't need the "Type" information there; it will be obvious according to the nature of the order itself. If it's a limit order, it will just sit on the Level 1/Level 2 screen if it's a market order, it would just get filled instantly and traders won't even see or even need to see it.

Gotcha! Good comment.

2) I would put "Price" before "Quantity" because price should take priority when deciding which order to get filled first.

Check.

3) You should also add "Time" of when the order was sent to the exchange before "Quantity". According to what I saw on most of those matching services, time is the next condition that gets looked at in filling orders when everything else is equal. If you have more than 1 order that has the same price, it's first come first serve; the order that was sent to the exchange first would be filled first.

Check. I will add the submit_time field to the display.
Note that a first-come-first-serve matching system (in computing terms a First-In-First-Out; FIFO) spawns some horrible market imbalances, like paying $100M per year for colocation, or an ungodly sum to run a fiber cable from Chicago to NYC to gain a few microseconds.

4) For the currency pair, it shouldn't be labelled "Base Counter". Personally I find that a bit confusing. I would prefer the pair just be listed with a "/" like "GBP/USD" for your example. That's basically the convention that forex traders are used to and everybody would know that "GBP" is the base currency and "USD" is the quote currency. And I prefer the term "quote" instead of "counter". Personally, I just find the term "quote" more intuitive and describes the relationship of the two currencies in the pair better.

Yes, I was struggling with that. IB uses a period (GBP.USD), and Yahoo either nothing (GBPUSD) or a slash (GBP/USD). Not sure what Bloomberg uses; if anyone knows please tell me.

Hope this helps. Good luck!

It helps a lot. Thank you.

 

[kmiklas]

So in the course of less than 7 months, you went from fear of having your trading account wiped, to wanting to START YOUR OWN FOREX EXCHANGE?!?


Rigghhhtt.. OKAY then.

https://www.elitetrader.com/et/thre...graph-from-reminiscenses.301578/#post-4310830

Yeah. I don't like these FIFO matching systems. They create a two-tier market; really an n-tier market. I find myself always last in line, getting stuck with the worst price.

"Better to light a candle than curse the darkness." --Eleanor Roosevelt

 

[Llxa]

So in the course of less than 7 months, you went from fear of having your trading account wiped, to wanting to START YOUR OWN FOREX EXCHANGE?!?


Rigghhhtt.. OKAY then.

https://www.elitetrader.com/et/thre...graph-from-reminiscenses.301578/#post-4310830

WHY not??!! The fact that Forex trading is conducted on OTC does hamper a trader's profitability with its utter lack of transparency and it also makes all in the industry vulnerable to manipulations in the market-making process BOTH at institutional level AND retail level. See attached document. A central exchange for forex trading would eliminate the lack of transparency issue and would put forex on par on all other financial instruments and be properly regulated. The only downside is the higher transaction fee as a result of all the organizations wanting a cut from the trades. There is a reason why forex trading is so cheap comparing to trading in other financial instruments like stocks and options that has all the fees amounting to half of the commissions collected by the broker on each transaction.

But starting an foreign exchange is REALLY hard and in fact there was already an foreign exchange that existed before https://en.wikipedia.org/wiki/Matchbook_FX and it was quite successful at times but unfortunately it was closed down due to the lack of volume and the onset of the financial crisis of 2008. Personally I find the reason why the volume never picked up was because those "bank banks" aka liquidity providers just don't want to give up their lucrative gains in their market-making activities. I mean they can earn $million's more in shafting everybody as the ultimate market maker in the industry as illustrated by attached document, WHY would they want to give all that up by having every single of their trades scrutinized by the regulators and the public? During the good times before the financial crisis of 2008, they didn't care as much but after 2008 when the money is tight, no they are not going to do it. And since they are the backbone of the exchange just like the specialists on all of the exchanges that we have now, without them supplying the volume and facilitating trades, the exchange volume slowly dried up until there is no point to continue the exchange anymore.

Very sad, a very decent attempt to democratize financial trading for all instead of having it concentrated in the hands of the privileged and it failed.

 

[kmiklas]

WHY not??!! The fact that Forex trading is conducted on OTC does hamper a trader's profitability with its utter lack of transparency and it also makes all in the industry vulnerable to manipulations in the market-making process BOTH at institutional level AND retail level. See attached document. A central exchange for forex trading would eliminate the lack of transparency issue and would put forex on par on all other financial instruments and be properly regulated. The only downside is the higher transaction fee as a result of all the organizations wanting a cut from the trades. There is a reason why forex trading is so cheap comparing to trading in other financial instruments like stocks and options that has all the fees amounting to half of the commissions collected by the broker on each transaction.

But starting an foreign exchange is REALLY hard and in fact there was already an foreign exchange that existed before https://en.wikipedia.org/wiki/Matchbook_FX and it was quite successful at times but unfortunately it was closed down due to the lack of volume and the onset of the financial crisis of 2008. Personally I find the reason why the volume never picked up was because those "bank banks" aka liquidity providers just don't want to give up their lucrative gains in their market-making activities. I mean they can earn $million's more in shafting everybody as the ultimate market maker in the industry as illustrated by attached document, WHY would they want to give all that up by having every single of their trades scrutinized by the regulators and the public? During the good times before the financial crisis of 2008, they didn't care as much but after 2008 when the money is tight, no they are not going to do it. And since they are the backbone of the exchange just like the specialists on all of the exchanges that we have now, without them supplying the volume and facilitating trades, the exchange volume slowly dried up until there is no point to continue the exchange anymore.

Very sad, a very decent attempt to democratize financial trading for all instead of having it concentrated in the hands of the privileged and it failed.

Amen, brother.

 

[Llxa]

Yeah. I don't like these FIFO matching systems. They create a two-tier market; really an n-tier market. I find myself always last in line, getting stuck with the worst price.

"Better to light a candle than curse the darkness." --Eleanor Roosevelt

If you are experiencing this right now with your broker. It's NOT really because of FIFO it's because of your (most likely) market-making broker's price manipulation. Like I said, because forex is not traded on a central exchange and instead OTC where the price is negotiated between buyers and sellers, you are vulnerable to some of brokers' questionable practices and there is no way of knowing because there is no transparency.