|
Liquidity inside the spread |
hyperscalper
|
Post subject: Liquidity inside the spread |
Post rating: 0
|
Posted: Thu 19 Jun, 2014, 20:56
|
|
User rating: 98
Joined: Mon 23 Jul, 2012, 02:02 Posts: 656 Location: United States, Durham, NC
|
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
|
|
|
|
|
hebasto
|
Post subject: Re: Liquidity inside the spread |
Post rating: 0
|
Posted: Fri 20 Jun, 2014, 08:45
|
|
User rating: 96
Joined: Mon 09 Sep, 2013, 07:09 Posts: 287 Location: Ukraine, SHostka
|
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.
|
|
|
|
|
hyperscalper
|
Post subject: Re: Liquidity inside the spread |
Post rating: 0
|
Posted: Fri 20 Jun, 2014, 14:45
|
|
User rating: 98
Joined: Mon 23 Jul, 2012, 02:02 Posts: 656 Location: United States, Durham, NC
|
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
|
|
|
|
|
hyperscalper
|
Post subject: Re: Liquidity inside the spread |
Post rating: 1
|
Posted: Tue 08 Jul, 2014, 21:12
|
|
User rating: 98
Joined: Mon 23 Jul, 2012, 02:02 Posts: 656 Location: United States, Durham, NC
|
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
|
|
|
|
|
Redbullish
|
Post subject: Re: Liquidity inside the spread |
Post rating: 0
|
Posted: Thu 10 Jul, 2014, 14:27
|
|
User rating: 0
Joined: Thu 05 Dec, 2013, 19:00 Posts: 26
|
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.
|
|
|
|
|
hyperscalper
|
Post subject: Re: Liquidity inside the spread |
Post rating: 0
|
Posted: Thu 10 Jul, 2014, 15:56
|
|
User rating: 98
Joined: Mon 23 Jul, 2012, 02:02 Posts: 656 Location: United States, Durham, NC
|
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
|
|
|
|
|
hyperscalper
|
Post subject: Re: Liquidity inside the spread |
Post rating: 0
|
Posted: Thu 10 Jul, 2014, 16:28
|
|
User rating: 98
Joined: Mon 23 Jul, 2012, 02:02 Posts: 656 Location: United States, Durham, NC
|
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.pngHyperScalper
|
|
|
|
|
Redbullish
|
Post subject: Re: Liquidity inside the spread |
Post rating: 0
|
Posted: Thu 10 Jul, 2014, 17:53
|
|
User rating: 0
Joined: Thu 05 Dec, 2013, 19:00 Posts: 26
|
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 viewtopic.php?f=128&t=51485
|
|
|
|
|
hyperscalper
|
Post subject: Re: Liquidity inside the spread |
Post rating: 0
|
Posted: Fri 11 Jul, 2014, 01:41
|
|
User rating: 98
Joined: Mon 23 Jul, 2012, 02:02 Posts: 656 Location: United States, Durham, NC
|
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
|
|
|
|
|
hyperscalper
|
Post subject: Re: Liquidity inside the spread |
Post rating: 0
|
Posted: Fri 11 Jul, 2014, 04:33
|
|
User rating: 98
Joined: Mon 23 Jul, 2012, 02:02 Posts: 656 Location: United States, Durham, NC
|
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
|
|
|
|
|
Redbullish
|
|
Post subject: Re: Liquidity inside the spread |
Post rating: 0
|
Posted: Fri 11 Jul, 2014, 14:12
|
|
User rating: 0
Joined: Thu 05 Dec, 2013, 19:00 Posts: 26
|
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.
|
|
|
|
|
hyperscalper
|
Post subject: Re: Liquidity inside the spread |
Post rating: 0
|
Posted: Fri 11 Jul, 2014, 15:33
|
|
User rating: 98
Joined: Mon 23 Jul, 2012, 02:02 Posts: 656 Location: United States, Durham, NC
|
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
|
|
|
|
|
hyperscalper
|
Post subject: Re: Liquidity inside the spread |
Post rating: 0
|
Posted: Mon 14 Jul, 2014, 16:59
|
|
User rating: 98
Joined: Mon 23 Jul, 2012, 02:02 Posts: 656 Location: United States, Durham, NC
|
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
|
|
|
|
|
hyperscalper
|
Post subject: Re: Liquidity inside the spread |
Post rating: 0
|
Posted: Mon 14 Jul, 2014, 17:04
|
|
User rating: 98
Joined: Mon 23 Jul, 2012, 02:02 Posts: 656 Location: United States, Durham, NC
|
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
|
|
|
|
|
hyperscalper
|
Post subject: Re: Liquidity inside the spread |
Post rating: 0
|
Posted: Tue 12 Aug, 2014, 15:47
|
|
User rating: 98
Joined: Mon 23 Jul, 2012, 02:02 Posts: 656 Location: United States, Durham, NC
|
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
|
|
|
|
|
rtsayers
|
Post subject: Re: Liquidity inside the spread |
Post rating: 0
|
Posted: Tue 19 Aug, 2014, 07:09
|
|
User rating: 0
Joined: Wed 08 Feb, 2012, 04:15 Posts: 23 Location: CanadaCanada
|
Hi Hyper it looks like a good ship to jump too! I might even join you!
|
|
|
|
|
hyperscalper
|
Post subject: Re: Liquidity inside the spread |
Post rating: 0
|
Posted: Wed 20 Aug, 2014, 12:54
|
|
User rating: 98
Joined: Mon 23 Jul, 2012, 02:02 Posts: 656 Location: United States, Durham, NC
|
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
|
|
|
|
|
SFXbernhard
|
Post subject: Re: Liquidity inside the spread |
Post rating: 0
|
Posted: Thu 27 Nov, 2014, 15:10
|
|
User rating: 21
Joined: Thu 19 May, 2011, 20:50 Posts: 413 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.pngHyperScalper 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.
|
|
|
|
|
hyperscalper
|
Post subject: Re: Liquidity inside the spread |
Post rating: 0
|
Posted: Fri 05 Dec, 2014, 17:07
|
|
User rating: 98
Joined: Mon 23 Jul, 2012, 02:02 Posts: 656 Location: United States, Durham, NC
|
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
|
|
|
|
|
|
Pages: [
1
]
|
|
|
|
|