Jason Hi
What is the difference betwen ecn and stp system,
why big broker like fxcm and finotec is a stp not an ecn?
What is the difference betwen ecn and stp system,
why big broker like fxcm and finotec is a stp not an ecn?
- #9,462
- Edited 10:41am Sep 19, 2016 10:01am | Edited 10:41am
- Joined Jun 2009 | Status: FXCM Representative | 5,808 Posts
Jason, Quick question. Why is there a difference in volume between your MT4 platform and NinjaTrader? If they are connected to the same liquidity pools the volume should be the same across the board. NinjaTrader shows on average 3-4 times more volume, (and on a side note I assume your volume is being reported in Millions? as the numbers are small whole numbers). As a preface: I am looking at MT4 through a demo account and comparing to both demo and live account through NinjaTrader. The only assumptions I can come up with is that the MT4 (demo) is...
I've forwarded your question onto our tech support team for more details, but I believe the difference you see has to do with how the two platforms count tick volume differently. Note the volumes you see on MT4 and NinjaTrader are tick volumes.
Trading Station Desktop is the only platform where you can see Real Volume indicators with trading information from Mini, Standard and Active Trader accounts, so both DD and NDD forex execution data are included:
Your MT4 and NinjaTrader account logins will also give you access to Trading Station Desktop to use the following Real Volume indicators:
- Real Volume
- Transactions
- Directional Real Volume
- On Balance Real Volume
- Market Movers Index
- USDollar SSI and Real Volume
- #9,465
- Sep 19, 2016 7:53pm Sep 19, 2016 7:53pm
- | Joined Jul 2012 | Status: Trader | 1,036 Posts
So, you think you have rights? LOL
- #9,466
- Sep 19, 2016 9:47pm Sep 19, 2016 9:47pm
{quote} Tick volume is the amount of "price changes" your broker got in a certain timeframe. If NinjaTrader got 10 different price changes in lets say, one minute, it will draw a volume bar with a size corresponding 10. If their servers got 100 price changes in the next minute the bar will spike to a 100 size and so on. Now FXCM decided to instead of ticks, count how many trades their traders did in a certain timeframe. So if in one minute only 30 traders traded, their volume bar will draw a 30 size. If if the next minute 1000 traders traded the...
Thanks for your response ForexOracle. Â The problem with what you state is that is not what I see. Â I trade on a 1 tick chart and see every detail at this level. Â Jason states this is "tick volume" which yes is pointless and so I'm trying to understand why they would even push this data if this is indeed what is being sent. Â Point aside, I sit here and watch price change approximately 1 tick and thus based on what is being said the "volume" should thus be 1 but this is not always the case. Â
Â
I have been around awhile as well
I'm very aware this data is pointless whether it be number of price changes or number of fxcm client transactions. Â Even if this were the actual volume being traded "which is what i would expect it to be" it's pointless being a decentralized market.Â
My curiosity is simply to understand what fxcm is trying to offer as it doesn't line up with what I'm seeing at the tick level.
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- #9,467
- Sep 20, 2016 7:12am Sep 20, 2016 7:12am
- | Joined Jul 2012 | Status: Trader | 1,036 Posts
{quote} Thanks for your response ForexOracle. The problem with what you state is that is not what I see. I trade on a 1 tick chart and see every detail at this level. Jason states this is "tick volume" which yes is pointless and so I'm trying to understand why they would even push this data if this is indeed what is being sent. Point aside, I sit here and watch price change approximately 1 tick and thus based on what is being said the "volume" should thus be 1 but this is not always the case. I have been around awhile as well
But thats what I'm saying......
On NT for example where they only report tick volume every tick will have a volume of 1.
Now on FXCM every tick will have a different volume value because it depends on how many FXCM traders are trading in each tick period.
If the market is quiet and it takes lets say 3 minutes for a new tick to arrive at FXCM servers your volume will be maybe 2000 because 2000 traders traded in those 3 min.
Now if the market is busy and FXCM servers are bombarded with ticks on the sub second timeframes the tick volume value can even go down to zero because in that nano second time between one tick and the other no trades occurred.
Now about what " Jason is saying" I think it goes down to semantics IMHO.
FXCM offers regular tick values and the tick value based on their traders activities and if he decides to call both " tick value" it isn't technically incorrect
So, you think you have rights? LOL
- #9,468
- Edited 8:06am Sep 20, 2016 7:52am | Edited 8:06am
- | Joined Jul 2012 | Status: Trader | 1,036 Posts
So, you think you have rights? LOL
- #9,470
- Sep 20, 2016 2:39pm Sep 20, 2016 2:39pm
- | Joined Jul 2012 | Status: Trader | 1,036 Posts
So, you think you have rights? LOL
- #9,472
- Sep 20, 2016 5:37pm Sep 20, 2016 5:37pm
- Joined Jun 2009 | Status: FXCM Representative | 5,808 Posts
We have such poor choices here in the US so most of my trading is with futures & equities now.
When I started working at FXCM almost 12 years ago, there were over 30 retail forex brokers, but now only a few remain. The reasons are often actively debated on this forum. One thing I would point out is how capital requirements have increased over the years for forex brokers and how they now compare to capital requirements for futures brokers:
- $20 million minimum for forex brokers (AKA Retail Foreign Exchange Dealers) https://www.nfa.futures.org/nfamanua...%201&Section=7
- $1 million minimum for futures brokers (AKA Futures Commission Merchants) https://www.nfa.futures.org/nfamanua...2011&Section=7
The trading environment and market participants can be very different when comparing the futures market to our No Dealing Desk (NDD) forex execution, and it's important to understand how that could impact your trading.
Market participants in futures such as high frequency trading and similar highly sophisticated market makers are acting as both price makers and price takers. This can negatively impact quality of execution for a retail trader. That's because it's a speed race at the institutional level. If you break up the trading steps, at a very basic level, from receiving market data, making a trading decision and then placing the trade, institutional participants are trading in speeds measured in microseconds and even nanoseconds compared to a retail trader making trading decisions that take at least a few seconds.
HFTs on exchange spend millions of dollars on the fastest access to market data, customized computer systems for fast algo processing, and collocated servers to transmit trades as quickly as possible. You can read about the lengths institutional participants will go to by reading Flash Boys by Michael Lewis or take a look at the amounts of money being spent on telecommunications and collocation services by publicly traded market making firms such as Virtu. Institutional participants at the futures level put such a high priority on speed because in a trading venue filled with these super‐fast traders, the slowest person loses the race to be the first to trade.
Therefore, a safer route for institutional liquidity providers to take is to quote smaller sizes at wider prices to minimize margin of error of being picked off. Mistakes are very costly. If your algorithm is wrong, it's better to be wrong at a smaller amount and wider price. The risks involved make market making a fishing expedition based on speed where quality pricing and liquidity could be punished. The competition in the highly sophisticated institutional market is too great to provide the best pricing possible along with deep liquidity if the institution is exposed to the risk of being picked off by other fast and sophisticated market participants.
So if you're the average retail trader likely receiving information from a website or TV channel, over a regular cable internet line, manually placing trades from your average desktop computer, back over our internet connection with any latency involved, do you think you're going to beat the Virtu's of the world for the best price available?
How is FXCM's trading environment different?
On our NDD model for Standard and Active Trader accounts, liquidity providers are only allowed to be price makers and not price takers. Only retail clients are allowed to take pricing. The liquidity providers do not have to constantly watch their back, worrying about predatory high frequency trading because the liquidity providers are only allowed to be price makers for our retail clients. They know that liquidity provider A (who may be a predatory liquidity provider on the futures market) is not allowed to crossover and take a price from liquidity provider B. This gives our liquidity providers the ability to make a market based on quality of price and liquidity rather than speed to protect against being picked off by predatory trading from other liquidity providers.
FXCM also provides Mini accounts with a dealing desk (DD) offering in which we act as the liquidity provider. This execution option is offered on smaller accounts in order to manage the risk. It's worth noting the base price used for DD execution on Mini accounts before adding the spread markup is the same base price used for NDD forex execution with the spread + commission pricing model. That's a key reason you can have confidence trading with FXCM regardless of the account type you choose.
FXCM is registered with and regulated by the CFTC and NFA, the same bodies that oversee futures trading in the US. In compliance with NFA rules regarding Price Slippage and Price Re-quoting that were finalized in 2012, FXCM LLC provides daily trade reports to the NFA which monitors and supervises FXCM LLC's activity including information on the price where all client orders are filled and the corresponding price where those orders are offset with our liquidity providers.
All of FXCM's global trading entities including FXCM Australia and FXCM UK execute client rolling spot forex transactions as a riskless principal with FXCM LLC, so the same execution standards are applied for all of our clients worldwide. There are no re-quotes at FXCM, and all our clients around the world can benefit from positive slippage whenever it's available. The latest execution stats from January 1, 2015 through March 31, 2016 showed the following:
- 78.71% of all orders had NO SLIPPAGE.
- 12.77% of all orders received positive slippage.
- 8.52% of all orders received negative slippage.
- 50.2% of all limit and limit entry orders received positive slippage.
- 39.9% of all stop and stop entry orders received negative slippage.
This includes data from both the DD execution we provide to Mini accounts and the NDD execution we provide to Standard and Active Trader accounts.
- #9,473
- Edited 6:22pm Sep 20, 2016 6:01pm | Edited 6:22pm
- Joined Jun 2009 | Status: FXCM Representative | 5,808 Posts
What is FXCM reporting as volume in both MT4 and NinjaTrader and why are the values different? Why is the base always 1 in NinjaTrader?
To clarify, FXCM does not report volume information to MT4 or NinjaTrader. (The only platform where you can see real volume information is Trading Station Desktop.) What we sent to those platforms is live price quotes. It's up to the software developers of those platforms how they use that information to display in indicators like tick volume. While one method of counting tick volume is to count one tick for each time the price changes, another method is to count one tick for each time the price updates (a new quote could be received at the same price as the previous quote).
If the second method is used, that could explain why you saw multiple ticks counted at times when the price was not moving. And you would see a base tick count of 1 if the platform received at least one quote per second. I reached out to the tech support teams for MT4 and NinjaTrader to see if they can provide more details on how exactly those two platforms count ticks for their tick volume indicators. In the meantime, below is screenshot from the Marketscope charts on my Trading Station platform which counts one tick for each price update even if the price doesn't change from the previous quote:
As you can see, the price can update several times in a second with consecutive quotes at the same price.
- #9,474
- Sep 20, 2016 8:30pm Sep 20, 2016 8:30pm
- Joined Dec 2012 | Status: On Life's Path | 2,076 Posts
- #9,475
- Sep 21, 2016 10:34am Sep 21, 2016 10:34am
- | Joined Jul 2012 | Status: Trader | 1,036 Posts
{quote} I'm sorry but you are incorrect here. A 1 Tick chart is NOT the same as a 1 second chart. I used to trade off of a 1 second chart and moved to 1 tick. In addition I have written several data feed adapters that manipulate price for charting purposes. On a 1 tick chart time is irrelevant but yet you say the chart draws a flat spot for every second that price does not update. This will depend on your charting software, I can assure you that with NinjaTrader this is NOT the case. How often the datafeed is updated depends on the broker. For example...
This thread used to have a post every other minute, now it takes sometimes more than 24 hours idle !!!
Fascinating how things can...... and do change, no ?!?
So, you think you have rights? LOL
- #9,476
- Sep 21, 2016 10:50am Sep 21, 2016 10:50am
{quote} Yep, we may be deviating a little from the usual discussions here but since this thread has being a little quiet latelly I think FXCM is probably appreciating it
I, and most people, should have listened to the advice posted on several threads on these forums: "avoid FXCM like a plague"
- #9,478
- Sep 21, 2016 3:18pm Sep 21, 2016 3:18pm
- Joined Jun 2009 | Status: FXCM Representative | 5,808 Posts
The HFTs are of no concern unless you're scalping for small ticks. For any trading more than a few ticks it's just an excuse to blame HFT for losses.
"I like paying wider spreads and negative slippage" ... said no one ever.
It matters for anyone concerned with their trading costs. I have met very few traders who are happy paying a wider spread or additional slippage. It impacts all traders. Most noticeably scalpers (as you mentioned) who have a high volume of transactions, but also traders who swing or position trade, especially in size.
The futures market where all participants can act as a market maker has created an environment where the largest market participants are at a significant data and speed advantage due to the resources being spent on those speed advantages. It occurs in equities and currency futures. Just read Flash Boys.
I think there's this allure to exchange trading from a perception that thousands of buyers and sellers match together in this perfectly democratic way:
However, this is far from today's reality:
Electronic trading moves at ultra-fast speeds measured in nanoseconds where prices can change hundreds of times a second. A market makers algorithm is changing those prices based on market data also being received from the exchange at super fast speeds. Why would the market makers algo need to update hundreds of times per second? To protect itself from other market makers which can take pricing from them. The competition between the top participants creates a predatory environment that quickly punishes mistakes. Therefore a safer route for institutional liquidity providers to take is to quote smaller sizes at wider prices to minimize margin of error of being picked off.
FXCM's NDD forex execution helps address those concerns. Since our liquidity providers are only allowed to be price makers, not price takers on our retail
client stream, each liquidity provider can provide pricing and liquidity without fear of another liquidity provider picking them off. This creates the environment in which liquidity providers are better able to offer quality pricing and liquidity which in turn benefits the trader, rather than making a market based on speed out of protection from other market making predators.
Even if there's a delay through a retail trader's connections, there's just as much chance that price moved to a better price rather than a worse price by the time the order hits the market. but...................
- #9,479
- Sep 21, 2016 3:36pm Sep 21, 2016 3:36pm
- Joined Jun 2009 | Status: FXCM Representative | 5,808 Posts