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Liquidity inside the spread
 Post subject: Liquidity inside the spread Post rating: 0   New post Posted: Thu 19 Jun, 2014, 20:56 
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Has anybody done, or does Dukascopy have any
guidelines concerning liquidity at the inside?

What lot sizes do we need in order to find
significant fill probabilities at Best Bid / Offer?
My guess is 100,000 (0.1M) or better may begin
to find some liquidity at the inside.

Hoping someone has done this study or
has some experience with the subject.

HyperScalper


 
 Post subject: Re: Liquidity inside the spread Post rating: 0   New post Posted: Fri 20 Jun, 2014, 08:45 
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Place BID OFFER:
Wiki wrote:
WARNING! BID and OFFER orders are visible in the market depth only for amounts from 100000 units for currencies, 10 Oz for gold and 500 Oz for silver. Smaller orders are not visible in the market depth. The execution method remains the same for all size orders.


 
 Post subject: Re: Liquidity inside the spread Post rating: 0   New post Posted: Fri 20 Jun, 2014, 14:45 
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Yes, in order to maintain a relatively stable
Market Depth, Dukascopy does not display
sizes <0.1M

This is a sensible decision; otherwise, DOM
would not reflect a "reasonable" Bid/Ask
spread.

My understanding is that *only* Dukascopy *internal*
client order liquidity can be used to satisfy our retail Bids
and Offers inside the spread. This is why liquidity
is low at Best Bid or Best Offer.

If anyone knows anything different from this,
I'd like to hear about it.

HyperScalper


 
 Post subject: Re: Liquidity inside the spread Post rating: 1   New post Posted: Tue 08 Jul, 2014, 21:12 
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When we BID or OFFER 100k (0.1M) or higher, at Best Bid
or Best Offer, then we should affect the Depth of Market
by narrowing the spread. Is this correct, or not? I guess
I'll have to try it...

My second question is whether this 100k (0.1M) is exposed to
counterparties which are outside the Dukascopy
retail client base?

Dukascopy makes a big deal of saying that we can
avoid paying the spread by using PLACE_BID and
PLACE_OFFER orders, but my experience is that
liquidity is almost nonexistent at Best Bid or
Best Offer.

Is there a "threshold" amount (lot size) which is then
exposed to the wider market on the ECN, instead
of just matching the Dukascopy client base for
a counterparty? Where can I learn more about the
counterparty matching algorithms used by the
Live ECN ?

I realize this is not a "development" question, so maybe
it should be categorized as a "Community" question.

Thanks,
HyperScalper


 
 Post subject: Re: Liquidity inside the spread Post rating: 0   New post Posted: Thu 10 Jul, 2014, 14:27 

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I have a doubt about the "place bid" and "place offer" orders.
If I had placed a buy order with "place bid" in the example below, with a size lower than 0.1M, at the exactly day low,
my order would have been executed? (obviously this is a bid chart)
If I set a buy limit, the order wouldn't been executed as it would been triggered by ask.

Image


 
 Post subject: Re: Liquidity inside the spread Post rating: 0   New post Posted: Thu 10 Jul, 2014, 15:56 
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Liquidity is a factor, so you wouldn't expect
immediate execution of a Best Bid.

However, sustained presence at Best Bid should
be highly likely to have at least a Partial Fill.

In my observations, we as retail clients are not
experiencing this liquidity which is promised
by Dukascopy. Because we do not have a
Time and Sales we cannot be certain that is
not simply due to a lack of retail counterparties.

I will develop some "track inside" code to make
sure I can remain at a sustained Best Bid
or Best Offer and evaluate further. We're also
speaking with Dukascopy to understand why
there is a lack of liquidity as might have been
anticipated.

Perhaps account attributes or lot sizes or some
other factors need to be adjusted in order to
experience more liquidity inside the spread
using the PLACE_XXX order type.

HyperScalper


 
 Post subject: Re: Liquidity inside the spread Post rating: 0   New post Posted: Thu 10 Jul, 2014, 16:28 
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Here is a visual example of 3 PLACE_OFFER
orders above the market, and 3 PLACE_BID
orders below the market. These orders can be
"bumped" up and down as a group so that they
remain inside the spread for a reasonable
period of time.

Liquidity inside the spread appears non-existent,
as these orders are placed inside the spread.
They do not fill until either Price meets Ask on the
buy, or Price meets Bid on the Sell. Simply
put, only a Retail price is available, and not
even a partial Wholesale price is achievable
despite sustained presence "inside".

Put simply, despite the usage of these "special"
order types, there is essentially no ability
to gain price advantage. Each of these orders,
however, is only 0.005M in "amount" or lot size
in this particular test case.

I assume that the API is placing the proper
underlying Order Attributes into the FIX messages
which are eventually sent (I assume) behind the
API..... when order size is 0.1M or greater, I can
confirm that we appear on the Depth of Market,
so that seems to work properly.

(I was unable to drop the file into the "attach" window...
it wouldn't upload, so here's a temporary link)

https://hyperscalper.com/screenshots/Ins ... Offers.png

HyperScalper


 
 Post subject: Re: Liquidity inside the spread Post rating: 0   New post Posted: Thu 10 Jul, 2014, 17:53 

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I understand.... yes, i think you're right, if bid price hit my bid order, it should be at least partial filled.
Really i'm not interested to get a price advantage buying/selling inside the spread, my intention is to use PLACE BID orders as limit orders but using the bid price for triggering the order.
The problem for me is that it is very annoying that buy limits are triggered by ASK <= X
Simply placing the buy limit at "BID PRICE + SPREAD" often doesnt work, and i miss the entry for only 1 or 2 pipettes :twisted:

viewtopic.php?f=128&t=51485


 
 Post subject: Re: Liquidity inside the spread Post rating: 0   New post Posted: Fri 11 Jul, 2014, 01:41 
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It is liquidity dependent, but a reasonable time
at the inside should result in at least partial fill
action.

For Stop losses, you can set the Side to either
the Bid side or Ask side. You may need to alter
the SL side after the SL is placed in order to
achieve this effect. It's what I do...

But I never use Buy Limit; instead I always use
PLACE_BID and PLACE_OFFER as limits. The more
I test this, the more I suspect something is wrong
and the promised liquidity is not there.

That could be due to the API not setting proper
attributes on the FIX messages, or some other
aspect of the ECN matching process. But it
is a big issue for me, and I'd like to hear some
knowledgable explanation of the extremely
low, nearly non-existent liquidity at the
inside.

HyperScalper


 
 Post subject: Re: Liquidity inside the spread Post rating: 0   New post Posted: Fri 11 Jul, 2014, 04:33 
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Are you sure about this? I believe you should check IEngine.OrderCommand

There is both BUYLIMIT and BUYLIMIT_BYBID , etc. Which seems to change
the "side" of the trigger.

HyperScalper

Redbullish wrote:
The problem for me is that it is very annoying that buy limits are triggered by ASK <= X
Simply placing the buy limit at "BID PRICE + SPREAD" often doesnt work, and i miss the entry for only 1 or 2 pipettes


 
The Best Answer  Post subject: Re: Liquidity inside the spread Post rating: 0   New post Posted: Fri 11 Jul, 2014, 14:12 

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hyperscalper wrote:
Are you sure about this? I believe you should check IEngine.OrderCommand

There is both BUYLIMIT and BUYLIMIT_BYBID , etc. Which seems to change
the "side" of the trigger.

HyperScalper



I'm not using EA, i manually place the orders. It would be very useful if the feature BUYLIMIT_BYBID is also available for manual orders.
Exactly as the stop orders, where you can set the side to either the bid or ask.


 
 Post subject: Re: Liquidity inside the spread Post rating: 0   New post Posted: Fri 11 Jul, 2014, 15:33 
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Redbullish wrote:
hyperscalper wrote:
Are you sure about this? I believe you should check IEngine.OrderCommand

There is both BUYLIMIT and BUYLIMIT_BYBID , etc. Which seems to change
the "side" of the trigger.

HyperScalper



I'm not using EA, i manually place the orders. It would be very useful if the feature BUYLIMIT_BYBID is also available for manual orders.
Exactly as the stop orders, where you can set the side to either the bid or ask.


Well, you could either 1) learn how to write an Interactive Order Submission Strategy to suit your requirements,
or 2) pay one of us to write one for you :) It could easily have an Interactive user interface
and allow you to submit your Buy Limit orders using whichever trigger side you wish..... Or
it could continuously scan for Buy Limit orders and dynamically switch the trigger side
to the one you want... etc "The Sky is the Limit" with the power of Dukascopy !!

HyperScalper


 
 Post subject: Re: Liquidity inside the spread Post rating: 0   New post Posted: Mon 14 Jul, 2014, 16:59 
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If we pick an order amount, say 0.020 and we hold
both PLACE_OFFER and a PLACE_BID orders at the
inside Bid/Offer for 5 minutes in GBP/AUD...
at 16:00 GMT on a Monday...

...do you think we should get a Fill ?

HyperScalper


 
 Post subject: Re: Liquidity inside the spread Post rating: 0   New post Posted: Mon 14 Jul, 2014, 17:04 
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hyperscalper wrote:
If we pick an order amount, say 0.020 and we hold
both PLACE_OFFER and a PLACE_BID orders at the
inside Bid/Offer for 5 minutes in GBP/AUD...
at 16:00 GMT on a Monday...

...do you think we should get a Fill ?

HyperScalper


The answer is no. There is absolutely no
liquidity inside the spread. The only way to
get filled is if the BID order's price "hits" the ASK
which is a retail fill.

So, despite using the proper order types,
Dukascopy's claim that we can avoid paying
(at least some of) the spread, is not
apparent in my tests so far...

HyperScalper


 
 Post subject: Re: Liquidity inside the spread Post rating: 0   New post Posted: Tue 12 Aug, 2014, 15:47 
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Just to wrap this up...
Having thoroughly researched this issue of
PLACE_BID and PLACE_OFFER lack of liquidity
with Dukascopy management,
we are coding a variation of our platform
for the LMAX exchange where we expect to
find much more liquidity inside the spread.

Dukascopy is an exceptional environment for
retail trading, but "wholesale" fills are really
not worth the effort. Fills are too infrequent,
and fill volumes are also inadequate.

HyperScalper


 
 Post subject: Re: Liquidity inside the spread Post rating: 0   New post Posted: Tue 19 Aug, 2014, 07:09 
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Hi Hyper it looks like a good ship to jump too! I might even join you!


 
 Post subject: Re: Liquidity inside the spread Post rating: 0   New post Posted: Wed 20 Aug, 2014, 12:54 
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rtsayers wrote:
Hi Hyper it looks like a good ship to jump too! I might even join you!


Hey, man, I know you are not a scalper, so I don't think it's that relevant for you :)

Currency Strength Analytics is, however, what you should be using for your trading style.....

HyperScalper


 
 Post subject: Re: Liquidity inside the spread Post rating: 0   New post Posted: Thu 27 Nov, 2014, 15:10 
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Location: Germany, Munich
hyperscalper wrote:
Here is a visual example of 3 PLACE_OFFER
orders above the market, and 3 PLACE_BID
orders below the market. These orders can be
"bumped" up and down as a group so that they
remain inside the spread for a reasonable
period of time.

Liquidity inside the spread appears non-existent,
as these orders are placed inside the spread.
They do not fill until either Price meets Ask on the
buy, or Price meets Bid on the Sell. Simply
put, only a Retail price is available, and not
even a partial Wholesale price is achievable
despite sustained presence "inside".

Put simply, despite the usage of these "special"
order types, there is essentially no ability
to gain price advantage. Each of these orders,
however, is only 0.005M in "amount" or lot size
in this particular test case.

I assume that the API is placing the proper
underlying Order Attributes into the FIX messages
which are eventually sent (I assume) behind the
API..... when order size is 0.1M or greater, I can
confirm that we appear on the Depth of Market,
so that seems to work properly.

(I was unable to drop the file into the "attach" window...
it wouldn't upload, so here's a temporary link)

https://hyperscalper.com/screenshots/Ins ... Offers.png

HyperScalper



Have you ever tried to move your quotes with the market, so you are always the best bid for instance? When you place your bid, it could be just 0.1 or 0.2 pips above the best market bid, so you quote the best bid then. Any time any other customer goes short @market, you should get the fill.
What do you think?
Hello Community: Who tried that already?
This should work on Live reasonably only.


 
 Post subject: Re: Liquidity inside the spread Post rating: 0   New post Posted: Fri 05 Dec, 2014, 17:07 
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Quote:
Have you ever tried to move your quotes with the market, so you are always the best bid for instance? When you place your bid, it could be just 0.1 or 0.2 pips above the best market bid, so you quote the best bid then. Any time any other customer goes short @market, you should get the fill.
What do you think?
Hello Community: Who tried that already?
This should work on Live reasonably only.


Yes, I've done that, and it won't work at Dukascopy. Despite having PLACE_OFFER and PLACE_BID
"ECN" order types, there is essentially no liquidity inside the spread. Dukascopy is a "retail brokerage"
and does not offer liquidity inside the spread.

Yes, if you just happen, very rarely, to be Best Bidder and
some Retail Dukascopy client sells at that moment, yes, you are filled and I have observed that.
But the "volume" of the fills is always small, and the probability of fills is near zero. The
promise of "price improement" due to liquidity inside the spread, is vastly over-rated, so there's
no need to try with these special order types, as it is simply a distraction and does not
improve your bottom line, plus requires overly complex programming to achieve it.

So, I've ported a version of my platform to LMAX and we almost ALWAYS get fills inside the
spread there, with narrower spreads, etc. For everything except "wholesale pricing" Dukascopy
is a fabulous brokerage, but they do not offer significant liquidity inside the spread, and
you cannot get regular and sufficient "wholesale" pricing, no matter what you attempt to do.

We are doing all of our "normal" retail trading on Dukascopy, but for the specialist wholesale
pricing requirements, it's necessary to use an exchange like LMAX, which is very difficult to do...

HyperScalper


 

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