What slippage is normal? Stats on my 4621 trades

MarkDragon · Jan 25, 2016

Hi all!

I’ve been trading for about 5 years - algo trading on the majors, doing 5 to 50 intraday trades per day per symbol, flat at the end of each session.

I’ve been analyzing my trades - profits and losses, and recently I have figured out the exact impact of slippage on my trading results. Below is the explanation of my measurements and calculations. Pretty substantially not in my favor I must say.

I built a script to calculate the differences between the prices my algo sees when sending trades and actual execution prices. My algo is hosted on a VPS CNS and I’m trading on a Pepperstone Razor account, so the latency to broker’s server is not more than 1 ms.

I’ve collected data for more than 1.5 months and now I have stats on 4621 trades and got following results:

This means on average I lose about 1.71 pips (4th decimal) on slippage each trade .
Having 10 trades a day means that I lose on slippage 17.1 pips a day -> 376.2 pips per month -> 4,514.4 pips a year.

When I calculate the sum in USD the figure really scares me - it’s 4 times more than I have in my account!!! If I could keep this money I’d be way closer to retiring.

At your brokers - what slippage do you see?
What do you do to reduce your losses from slippage?

gerryg · Jan 25, 2016

MarkDragon said:
Hi all!

I’ve been trading for about 5 years - algo trading on the majors, doing 5 to 50 intraday trades per day per symbol, flat at the end of each session.

I’ve been analyzing my trades - profits and losses, and recently I have figured out the exact impact of slippage on my trading results. Below is the explanation of my measurements and calculations. Pretty substantially not in my favor I must say.

I built a script to calculate the differences between the prices my algo sees when sending trades and actual execution prices. My algo is hosted on a VPS CNS and I’m trading on a Pepperstone Razor account, so the latency to broker’s server is not more than 1 ms.

I’ve collected data for more than 1.5 months and now I have stats on 4621 trades and got following results:

This means on average I lose about 1.71 pips (4th decimal) on slippage each trade .
Having 10 trades a day means that I lose on slippage 17.1 pips a day -> 376.2 pips per month -> 4,514.4 pips a year.

When I calculate the sum in USD the figure really scares me - it’s 4 times more than I have in my account!!! If I could keep this money I’d be way closer to retiring.

At your brokers - what slippage do you see?
What do you do to reduce your losses from slippage?

The question is what is your LOT SIZE? Slippage depends mostly on lot size, if its big enough you'll get slippage with any broker for sure.
Open 2-3 more accounts with other brokers like Нotforex and FXCM and launch your software there with proportionally smaller lots and thus slippage.
A Way to go

!

darktone · Jan 25, 2016

MarkDragon said:
Hi all!

I’ve been trading for about 5 years - algo trading on the majors, doing 5 to 50 intraday trades per day per symbol, flat at the end of each session.

I’ve been analyzing my trades - profits and losses, and recently I have figured out the exact impact of slippage on my trading results. Below is the explanation of my measurements and calculations. Pretty substantially not in my favor I must say.

I built a script to calculate the differences between the prices my algo sees when sending trades and actual execution prices. My algo is hosted on a VPS CNS and I’m trading on a Pepperstone Razor account, so the latency to broker’s server is not more than 1 ms.

I’ve collected data for more than 1.5 months and now I have stats on 4621 trades and got following results:

This means on average I lose about 1.71 pips (4th decimal) on slippage each trade .
Having 10 trades a day means that I lose on slippage 17.1 pips a day -> 376.2 pips per month -> 4,514.4 pips a year.

When I calculate the sum in USD the figure really scares me - it’s 4 times more than I have in my account!!! If I could keep this money I’d be way closer to retiring.

At your brokers - what slippage do you see?
What do you do to reduce your losses from slippage?

Can you run things just using limit orders? If you can then the only slippage you might experience would be positive.

Jason Rogers · Jan 26, 2016

MarkDragon said:
At your brokers - what slippage do you see?
What do you do to reduce your losses from slippage?

Welcome to the forum, MarkDragon!

Traders experience positive slippage more frequently with FXCM than negative slippage, because we provide you with order options like "Market Range", "Range Entry" and "Maximum Deviation" to help you minimize your negative slippage while still receiving the full benefits of any positive slippage that's available. In addition, our Trading Station platform lets you set your orders to be "Fill or Kill", or "Immediate or Cancelled" helping to minimize negative slippage on larger orders.

highbury fx · Jan 26, 2016

Jason Rogers said:
Welcome to the forum, MarkDragon!

Traders experience positive slippage more frequently with FXCM than negative slippage, because we provide you with order options like "Market Range", "Range Entry" and "Maximum Deviation" to help you minimize your negative slippage while still receiving the full benefits of any positive slippage that's available. In addition, our Trading Station platform lets you set your orders to be "Fill or Kill", or "Immediate or Cancelled" helping to minimize negative slippage on larger orders.

wasn't always like that though was it Jason?

https://www.fca.org.uk/news/fca-fin...nfair-profits-and-not-being-open-with-the-fca

Jason Rogers · Jan 27, 2016

highbury fx said:
wasn't always like that though was it Jason?

Yes, but perhaps you were unaware that we reimbursed all current and former FXCM UK clients in full for any positive slippage that was not passed on prior to 2010. Furthermore, the improvements we made to made to our platform back then mean that we are now one of the only firms in the industry to pass on positive slippage to our clients in full for all order types and to make our execution statistics proving this fact freely available to all traders: http://bit.ly/1KWaV8g

highbury fx · Jan 28, 2016

Jason Rogers said:
Yes, but perhaps you were unaware that we reimbursed all current and former FXCM UK clients in full for any positive slippage that was not passed on prior to 2010. Furthermore, the improvements we made to made to our platform back then mean that we are now one of the only firms in the industry to pass on positive slippage to our clients in full for all order types and to make our execution statistics proving this fact freely available to all traders: http://bit.ly/1KWaV8g

I like FXCM Jason but its a bit cheeky of you to say we used to be bad at slippage but we're not anymore only after you've been fined millions and bought to task by the FCA. Personally i would have kept my head below the parapet on this one.

Jason Rogers · Jan 28, 2016

highbury fx said:
I like FXCM Jason but its a bit cheeky of you to say we used to be bad at slippage but we're not anymore only after you've been fined millions and bought to task by the FCA. Personally i would have kept my head below the parapet on this one.

I'm glad to know you like FXCM, Highbury FX (#coyg)

How do you feel about brokers that withhold positive slippage from their clients and slippage stats from the public to this day?

It's important to understand that as an industry leader, FXCM is subject to a greater level of scrutiny than smaller, less-regulated forex brokers. We are one of the only retail forex brokers in the world that's regulated on three continents and a publicly-traded company (NYSE ticker: FXCM) averaging $14.7 billion per day* in retail customer trading volume. We welcome this position of responsibility, and our retail clients who place 501,108 trades through us per day* are glad we do.

FXCM takes regulations very seriously and believe it is in the best interest of our clients for us to have regulatory oversight and transparency. That's why we have over 80 employees in our compliance department as mentioned by our CEO Drew Niv in a recent earnings call. That's not to excuse previous regulatory actions, but rather to emphasize how we actively work with our regulators to resolve issues and ensure the best trading environment possible for our clients.

The FCA action for positive slippage not being passed on prior to 2010 is a case in point. FXCM reimbursed current and former clients who were affected in full. Furthermore, the changes we made in 2010 mean that FXCM is now one of the only firms in the industry to pass on positive slippage on all order types including market and limit orders.

It's worth noting that to this day, some brokers may still not provide positive slippage to their clients, while others may provide positive slippage on some order types, but don't provide it on other order types. Some brokers may re-quote their clients when the price moves in their clients' favor but fail to re-quote when the price moves against them. There are no re-quotes at FXCM.

Furthermore, FXCM offers true limit orders on all the platforms we offer including MT4. That means our clients cannot receive negative slippage on their limit orders, only positive slippage. By contrast, some brokers treat limit orders on MT4 like market orders when triggered opening up the possibility of negative slippage.

When FXCM was founded in 1999, we were one of the pioneers in what is still a relatively young and quickly evolving industry that is retail forex. The key to our continued growth and success while others have come and gone is due in no small part to our ability to adapt to and lead change in this market. The stats below demonstrate this.

Below are the data from over 43 million orders executed through FXCM over a twelve month period from September 2013 through August 2014. In that year alone, FXCM clients benefited from over $21 million in positive slippage.

76.2% of all orders had no slippage.
13.5% of all orders received positive slippage.
10.2% of all orders received negative slippage.
Over 58% of all limit and limit entry orders received positive slippage.
52% of all stop and stop entry orders received negative slippage.

Note how FXCM clients receive positive slippage more frequently than negative slippage. That's due in part to the Market Range and Range Entry order types on our Trading Station platform that allow clients to specify the amount of negative slippage they are willing to accept on market and pending orders respectively. These unique order types allow FXCM clients to limit their negative slippage while still receiving the full benefits of any positive slippage that's available in the market.

* As of the latest publicly available data from December 2015

Forexmospherian · Jan 28, 2016

Hi Jason

Impressive stats etc and nice to know you believe you are at the cutting edge in terms of adapting and leading change in this market.

That worries me ;-)

Ok so you been caught in the past by half blind regulators and your company and others like CMC etc are now trying to look like "knights in shining armour" etc etc to win all those traders of the past back.

We all know clever marketing stats can convince people that black is now white and all is well etc etc

I am sure you are not the only company who have found other "edges" that favour the brokers and good luck to you - but even your stats seem funny

ie Approx half a million a day from retail traders - so thats easy 120 -130 million per annum

Why do you then show us stats for a year on just 43 million orders - are they the cherry picked ones ??

Sorry to have to say Jason - FXCM is probably no worse than many other brokers in the markets - but you can only bluff some of the people some of the time - and not everyone = all of the time

A very skeptical FX retail trader of 13 years plus
Regards

F

MajorMagnuM · Jan 28, 2016

good point on the 43 million. surely some mistake?

hhiusa · Jan 28, 2016

gerryg said:
The question is what is your LOT SIZE? Slippage depends mostly on lot size, if its big enough you'll get slippage with any broker for sure.
Open 2-3 more accounts with other brokers like Нotforex and FXCM and launch your software there with proportionally smaller lots and thus slippage.
A Way to go !

I will use an example with the GBP/USD. Unless you are an institutional investor trading >1,000,000 GBP per trade, then your lot size is far from too big. Your lot size is most likely too small. You most likely do not have access interbank rates. Trades with less than a certain amount will be re-routed to odd lots. The slippage in time is most likely due to the fact that they have up to five seconds to hold your order and wait for a better price and then arbitrage the difference and sell you their holdings instead. The 1.5 seconds average that you describe is probably how long it takes their system to check their holdings and/or wait to arbitrage your order.

Most providers are selling you their holdings instead of giving you direct access even though they claim to do so.

This means that you could buy 1,000,000 EUR/USD instantaneously at the best price and up to 26,700,000 EUR/USD at a whack.

Jason Rogers · Jan 29, 2016

Forexmospherian said:
We all know clever marketing stats can convince people that black is now white and all is well etc etc

Hi Forexmospherian,

In fact, you will find that few forex brokers publicly share execution data. FXCM is proud of our execution stats specifically because they highlight the fact that our clients receive positive slippage more frequently than negative slippage. For this reason, I'm happy to address the concerns you raised.

Forexmospherian said:
your stats seem funny

ie Approx half a million a day from retail traders - so thats easy 120 -130 million per annum

To clarify:

The figure quoting the 501,108 retail client trades executed by FXCM per day is from our December 2015 volume metrics.
The figure quoting over 43 million orders executed through FXCM is from a twelve-month period from September 2013 through August 2014.

Forexmospherian said:
Why do you then show us stats for a year on just 43 million orders - are they the cherry picked ones ??

The orders are not cherry picked and include all forex trades, we executed for retail clients during the period in question. The data also include trades for metals which we had already introduced at that time.

To explain, below is a quote from a post I made in February 2014, when we first published execution stats:

Jason Rogers said:
Analyzing a total of 43,128,901 forex and metal trades executed by FXCM during the six month period of August 2013 -January 2014, 6,391,641 or 15% of the trades benefitted from price improvements totaling $15,726,247. Of the total number of trades executed, 4,648,672 trades were limit and limit entry orders. Sixty percent of those limit and limit entry orders were positively slipped providing clients $7,296,520 in price improvements. Of the total trades executed in the six month period of August 2013 - January 2014 clients were executed at their requested price 73% of the time with no slippage. Only 12% of orders were slipped negatively. As mentioned before, FXCM is currently one of the only firms in the industry to give price improvements on market and limit orders.

As you can see above, the original execution study covered a 6-month period from August 2013 to January 2014, and I quoted the exact number of trades executed: 43,128,901. That's all the data we had collected at the time of my earlier post.

As time went on, we had enough data to provide stats for a full year and updated the percentages as shown below. However, instead of quoting an exact number of trades executed, I started saying "over 43 million" to cover the additional six months. I apologize for any confusion that caused, but I hope you can see it was not intentional.

Jason Rogers said:
Below are the data from over 43 million orders executed through FXCM over a twelve month period from September 2013 through August 2014. In that year alone, FXCM clients benefited from over $21 million in positive slippage.

76.2% of all orders had no slippage.

13.5% of all orders received positive slippage.

10.2% of all orders received negative slippage.

Over 58% of all limit and limit entry orders received positive slippage.

52% of all stop and stop entry orders received negative slippage.

Forexmospherian said:
A very skeptical FX retail trader of 13 years plus

You could have fooled me! :cheesy:

In all seriousness though, thank you for sharing your concerns here and giving me the opportunity to address them. If you have any other questions about FXCM, please let me know.

Thanks,
Jason

hhiusa · Jan 29, 2016

Jason Rogers said:
Hi Forexmospherian,

In fact, you will find that few forex brokers publicly share execution data. FXCM is proud of our execution stats specifically because they highlight the fact that our clients receive positive slippage more frequently than negative slippage. For this reason, I'm happy to address the concerns you raised.

Thanks,
Jason

@Jason Rogers

Everyone seems to be ignoring the elephant in the room.

Why would any trades have any slippage at all? I must be misunderstanding the idea of slippage.

I am currently with Interactive Brokers. They have forex trade minimums. Their margins rates are close to the best that I have seen. According to the picture below, FXCM and many other have spread markups whereas IB does not. Would you care to explain that to me? Additionally, how big are your average trade sizes from your clients? Placing an order below a certain size will cause it to be re-routed to odd lots.

Jason Rogers · Feb 1, 2016

hhiusa said:
Why would any trades have any slippage at all? I must be misunderstanding the idea of slippage.

Great question! :smart:

On our No Dealing Desk (NDD) forex execution model, FXCM offsets each of your orders individually with the best prices available from competing liquidity providers. The key point here is that FXCM does not take the market risk on the other side of your trade. That means we can only fill your order at a price that is available in the market.

Slippage occurs when the price you requested is no longer available. There are a couple of factors that are the most likely cause of slippage:

Liquidity: the quantity of an asset that is available for trading at a certain price. Liquidity can be exhausted by orders that arrive before yours in the queue resulting in your order getting filled at the next best price. This is especially true during times of low liquidity such as a news event, which is why slippage is more likely to occur at these times.
Latency: the time lag between when your order is placed and when it executes. Latency can sometimes be reduced by running your trading platform on a virtual private server (VPS) that is co-located with our servers.

While slippage is a risk when trading in any financial market whether it's equities, futures or forex, it's worth noting that, with FXCM, slippage can be either positive or negative. Positive slippage is when your order is filled at a better price, while negative slippage is when your order is filled at a worse price. Positive slippage is more likely with limit orders, while negative slippage is more likely with stop orders. That's due to the momentum of price movement when such order types are triggered.

As mentioned in my previous post, FXCM clients experience slightly more positive slippage than negative slippage overall. That's due in part to tools available on our platforms such as "Market Range" and "Range Entry" which allow our clients to specify the amount of negative slippage they are willing to accept on market orders and entry orders respectively.

For example, if I place a stop entry order to buy EUR/USD at 1.0900 with a Range Entry of 2 pips, then that order will only get filled if the price available in the market is 1.0902 or lower. Otherwise the order will get cancelled to prevent unwanted negative slippage.

Note that FXCM's Market Range and Range Entry tools only prevent negative slippage. They allow you to receive the full benefits of any positive slippage that's available in the market. That means the stop entry order I described above could get filled at 1.0897 (with 3 pips of positive slippage) if that price was available.

hhiusa said:
I am currently with Interactive Brokers. They have forex trade minimums. Their margins rates are close to the best that I have seen. According to the picture below, FXCM and many other have spread markups whereas IB does not. Would you care to explain that to me?

Unfortunately, the information your current broker gave you about us is incomplete.

While FXCM offers traders the option of a Mini account which you can open with as little as $50, our Standard account has a 2k opening minimum. Our Mini accounts have all inclusive spreads, because no separate commission is charged. Our Standard accounts have no markups to the forex prices we receive from liquidity providers, because we charge a separate commissions just like your current broker.

The graphics they gave you suggest that differences in client profitability are due to spread markups, when in reality they have more to do with differences in average account balances.

What you're seeing here is how the leverage you use and the amount of capital in your trading account can affect your profitability. I mentioned this in an earlier discussion about trader profitability with data compiled by DailyFX research from over 10,000 FXCM client accounts: "Traders with at least $5,000 of capital tend to use more conservative amounts of leverage. Traders should look to use an effective leverage of 10-to-1 or less."

how_much_capital_should_i_trade_forex_with_body_Picture_4.png

The graphic above shows the profitability of FXCM clients in three account balance ranges: less than $1000, between $1000 and $4999, and between $5000 and $9999. The same study showed that FXCM client accounts with a balance of $10,000 or more had a profitability rate of 44.09%. That's right in line with the data from your screenshot, since IB has a minimum balance for their accounts of $10,000. They must have forgotten to mention that fact in their ads.

hhiusa said:
Additionally, how big are your average trade sizes from your clients?

The latest publicly available metrics show that FXCM retail clients placed an average of 501,108 trades per day in December 2015 at an average volume of $14.7 billion per day. That equates to an average retail trade size of just over 29k or 29 micro lots.

hhiusa said:
Placing an order below a certain size will cause it to be re-routed to odd lots.

While that might be a limitation with your current broker, FXCM offers competitive NDD pricing on orders as small as 1k (one micro lot or 1000 currency units).

hhiusa · Feb 1, 2016

@Jason Rogers

Posting information that I can find myself is not helpful. You still have not answered my questions.

How can you honestly be providing access to interbank rates to people with so little equity without essentially unloading your own positions to customers. It does sound like direct access to me. Your explanations sound like double speak. Markups are markups. It should not matter how much a client has in their account.

There should never be an issue with liquidity. The picture I posted earlier shows EUR/USD having an availability of 1,000,000 @ 1.09404. If I click that price on the deep book window, it instantly transmits and is filledat that price, no exceptions. If I am quick enough to click on that price, then it is filled at price.

Latency also should not be an issue if you have direct market access.

This is why I was asking about slippage.

Jason Rogers · Feb 2, 2016

Hi Hhiusa,

Unfortunately, you are basing your reasoning on false premises.

hhiusa said:
Latency also should not be an issue if you have direct market access.

False. There are physical limits to how fast information can travel over a network. When you place an order on your terminal, it takes time for the order to reach the servers and be executed. The price available in the market can change in that time. The result could be slippage on the order.

hhiusa said:
There should never be an issue with liquidity.

False. A trade can only be executed if there is a willing buyer and seller at a price to complete the transaction. You gave an example showing liquidity of 1M at a price of 1.09404 for EUR/USD. Perhaps you weren't aware, but it's possible to place orders of up to 50M in size on FXCM's retail platform. Such an order would not only clear out the 1M worth of liquidity available at 1.09404 but could possibly clear out several leveld of liquidity at even higher prices. The result could be slippage on the order.

The truth is that slippage is a risk when trading in any financial market whether it's equities, futures or forex. On the bright side, slippage can be either positive or negative with FXCM. Furthermore, thanks to the tools we provide traders to minimize negative slippage such as "Market Range", "Range Entry", "Fill or Kill" and "Immediate or Canceled" orders, FXCM clients receive positive slippage more than negative slippage overall.

hhiusa · Feb 2, 2016

Jason Rogers said:
Hi Hhiusa,

Unfortunately, you are basing your reasoning on false premises.

What reasoning would that be? Why people always cite a ridiculous website like Wikipedia. In order to use logic and say that something is a false premise you must actually use your brain.

Jason Rogers said:
False. There are physical limits to how fast information can travel. When you place an order on your terminal, it takes time for the order to reach the servers and be executed.

Direct-access brokerages vs. online retail brokerages
Advantages

Speedy execution: It allows very fast execution, measured in terms of milliseconds.
Cost reduction: Transaction costs are lower for trade executed with a direct-access brokerage. Transaction costs are generally per share (ex. $0.004 per share) whereas retail brokerage firms charge on a per transaction basis (ex. $5 per trade).
Control over order routing: With most direct-access firms, a trader may choose to send his orders to any specific market maker, specialist, or electronic communication network.
Liquidity rebates: Traditional online brokerages usually have a simple and flat commission fee per trade because they sell order flows. Direct-access brokerages do not sell order flows and get rebates They earn money from serving their customers. An active trader can gain what traditional online brokerages gain.

Retail foreign exchange trading is a small segment of the larger foreign exchange market where individuals speculate on the exchange rate between different currencies.

This is a moot point. The kind of access that gives you ultra low latency is extremely and is not provided by a broker who allows individuals with as little as $50. You are a retail broker. You are not an institutional service. Again, you state the obvious. Yes there are physical limitations. Retail providers do not provide direct access, hence the category retail provider. Retail investors buy in much smaller quantities than larger institutional investors.

Jason Rogers said:
False. A order can only be executed if there is a willing buyer and seller at a price to complete the transaction. You gave an example showing liquidity of 1M at a price of 1.09404 for EUR/USD. Perhaps you weren't aware, but it's possible to place orders of up to 50M in size on FXCM's retail platform.

Such an order would not only clear out the 1M worth of liquidity available at 1.09404 but could possibly clear out several level so liquidity at higher prices. The result would be slippage on the order. That's why FXCM providers traders with several tools minimize to minimize negative slippage such as "Market Range", "Range Entry", "Fill or Kill" and "Immediate or Canceled" orders.

I know about all of these orders which are irrelevant to the conversation. You are obviously the one in need of education. I know that a buyer must exist for a seller and vice versa. Apparently, you missed the memo about how the deep book works. If the deep book says 1,000,000 @ 1.09404, then that is the seller that I can buy from right at that moment. If I click 1.09404, my order will instantly be transmitted at that price. The book is showing all the best orders available at that time. Pointing out something as dumb as "there must be a seller for every buyer" is pointless. It will not clear at a price higher if I click the price in the deep book window. The only time I would imagine slippage to occur is if you are getting the most thorough access. If you have direct access, then you order is placed directly with the buyer or seller.

Nobody who trades lot size of 50,000,000 of any currency pair is trading with a retail broker like FXCM. Those would be institutional investors. You have shown any proof to the contrary.

In that same picture, if someone had placed an order for 50,000,000 it would have shown up unless it was in the dark pools. That is again a moot point. You are a retail service and you do not provide access to dark pools.

The biggest order at that specific time was 6,500,000.

Come back when you are willing avoid puffing smoke and showing me proof.

Jason Rogers · Feb 2, 2016

hhiusa said:
You are a retail broker. You are not an institutional service. Again, you state the obvious. Yes there are physical limitations. Retail providers do not provide direct access, hence the category retail provider. Retail investors buy in much smaller quantities than larger institutional investors.

Hi Hhiusa,

We offer institutional trading services through our FXCM Pro division.

Our retail client base has access to No Dealing Desk (NDD) forex execution, also known as Straight Through Processing (STP). FXCM connects to liquidity providers via their direct feeds and the best bid/offer from liquidity providers is displayed on our platform.

When one of our clients places an order, the order is offset one-for-one with a liquidity provider. This includes orders as small as 1k (1000 currency units AKA one micro lot). A list of our liquidity providers is available on our website.

One million currency units (1M) is the average minimum quote size our liquidity providers provide to our clients, and there may be multiple liquidity providers quoting at the same price. If a liquidity provider has a quote size of 1M at a specific price, it means the liquidity provider is willing to execute up to 1M at that price. However, it is possible for order sizes smaller than 1M to be partially filled at that price by the liquidity provider. For example, if one of our clients submits an order of 5k at 1.0780 and the offered amount by the liquidity provider is 1M at 1.0780, then the order of 5k may be filled at 1.0780, since it does not exceed the total liquidity on offer. The liquidity provider is willing to execute smaller sized orders at the quoted price even though it does not sweep the entire liquidity amount offered by the liquidity provider at that price.

FXCM's ability to offer a 1k order size makes FX trading more accessible to the retail community and with a greater level of customization in trading size compared to institutional markets.

Even if you could trade on institutional platforms such as EBS/Reuters, or in the futures market which is accessible to retail individuals but still contains many sophisticated institutional participants…would you want to?

Our latest study, released today in fact, shows FXCM retail client order prices to be better than the Futures Market and Interbank Market prices for FX*. We compared the executed price of over 17 million orders executed by FXCM traders to the quoted futures price at the same time, and over 28 million orders to quoted prices on EBS and Reuters. These were the results:

Compared to the Futures Market:

FXCM was equal to or better* than the quoted futures price 90.83% of the time compared to the spot equivalent quoted futures price on the CME.

Better than the futures price: 86.47%
Equal to the futures price: 4.36%
Worse than the futures price: 9.17%

Thus leading to a potential savings of $36,350,525 for FXCM LLC clients^.

Compared to the Interbank Market:

FXCM was equal to or better* than the Interbank price 95.31% of the time.

Better than the interbank price: 92.19%
Equal to the interbank price: 3.12%
Worse than the interbank price: 4.69%

Thus leading to a potential savings of $55,121,988 for FXCM LLC clients^.

I’ve attached the PDF of the study directly to this post along with the FAQ which goes into much more detail and explains why our retail clients get better pricing than is available at the institutional level.

_____________________________________________

* The study does not in away way attempt to represent that FXCM maintains a particular capacity or performance level. Past results are not indicative of future performance.

^ The figures in this study are provided for information purposes only, and are not intended for trading purposes or advice. FXCM is not liable for any information errors, incompleteness, or delays, or for any actions taken in reliance on information contained herein.

Material Assumptions

FXCM’s Retail Clients are defined as individual, joint, and corporate accounts trading on our retail price stream.

The comparison to each of the Futures and Interbank data is made at the time that the FXCM client order is executed. Normal market slippage and slippage due to rejections by liquidity providers are already included by the time the FXCM client order is executed. However, there is an assumption that there is no slippage on the Futures or Interbank market data.

In order to maintain consistency, Futures Market data and Interbank data used the same acceptable ranges in market trades. The summary of findings is based on the assumption that the maximum acceptable difference between the FXCM price and the Interbank/Futures market price is 5 pips in either direction.

Fees that a participant would pay on the Futures or Interbank market, such as CME Exchange Fees, NFA Fees, FCM Fees, Clearing Fees, and other commissions, were excluded from the study. Similarly, FXCM Commissions are excluded from the study.

hhiusa · Feb 2, 2016

Jason Rogers said:
Hi Hhiusa,

We offer institutional trading services through our FXCM Pro division.

Our retail client base has access to No Dealing Desk (NDD) forex execution, also known as Straight Through Processing (STP). FXCM connects to liquidity providers via their direct feeds and the best bid/offer from liquidity providers is displayed on our platform.

When one of our clients places an order, the order is offset one-for-one with a liquidity provider. This includes orders as small as 1k (1000 currency units AKA one micro lot). A list of our liquidity providers is available on our website.

One million currency units (1M) is the average minimum quote size our liquidity providers provide to our clients, and there may be multiple liquidity providers quoting at the same price. If a liquidity provider has a quote size of 1M at a specific price, it means the liquidity provider is willing to execute up to 1M at that price. However, it is possible for order sizes smaller than 1M to be partially filled at that price by the liquidity provider. For example, if one of our clients submits an order of 5k at 1.0780 and the offered amount by the liquidity provider is 1M at 1.0780, then the order of 5k may be filled at 1.0780, since it does not exceed the total liquidity on offer. The liquidity provider is willing to execute smaller sized orders at the quoted price even though it does not sweep the entire liquidity amount offered by the liquidity provider at that price.

FXCM's ability to offer a 1k order size makes FX trading more accessible to the retail community and with a greater level of customization in trading size compared to institutional markets.

Even if you could trade on institutional platforms such as EBS/Reuters, or in the futures market which is accessible to retail individuals but still contains many sophisticated institutional participants…would you want to?

Our latest study, released today in fact, shows FXCM retail client order prices to be better than the Futures Market and Interbank Market prices for FX*. We compared the executed price of over 17 million orders executed by FXCM traders to the quoted futures price at the same time, and over 28 million orders to quoted prices on EBS and Reuters. These were the results:

Compared to the Futures Market:

FXCM was equal to or better* than the quoted futures price 90.83% of the time compared to the spot equivalent quoted futures price on the CME.

Better than the futures price: 86.47%

Equal to the futures price: 4.36%

Worse than the futures price: 9.17%

Thus leading to a potential savings of $36,350,525 for FXCM LLC clients^.

Compared to the Interbank Market:

FXCM was equal to or better* than the Interbank price 95.31% of the time.

Better than the interbank price: 92.19%

Equal to the interbank price: 3.12%

Worse than the interbank price: 4.69%

Thus leading to a potential savings of $55,121,988 for FXCM LLC clients^.

I’ve attached the PDF of the study directly to this post along with the FAQ which goes into much more detail and explains why our retail clients get better pricing than is available at the institutional level.

_____________________________________________

* The study does not in away way attempt to represent that FXCM maintains a particular capacity or performance level. Past results are not indicative of future performance.

^ The figures in this study are provided for information purposes only, and are not intended for trading purposes or advice. FXCM is not liable for any information errors, incompleteness, or delays, or for any actions taken in reliance on information contained herein.

Material Assumptions

FXCM’s Retail Clients are defined as individual, joint, and corporate accounts trading on our retail price stream.

The comparison to each of the Futures and Interbank data is made at the time that the FXCM client order is executed. Normal market slippage and slippage due to rejections by liquidity providers are already included by the time the FXCM client order is executed. However, there is an assumption that there is no slippage on the Futures or Interbank market data.

In order to maintain consistency, Futures Market data and Interbank data used the same acceptable ranges in market trades. The summary of findings is based on the assumption that the maximum acceptable difference between the FXCM price and the Interbank/Futures market price is 5 pips in either direction.

Fees that a participant would pay on the Futures or Interbank market, such as CME Exchange Fees, NFA Fees, FCM Fees, Clearing Fees, and other commissions, were excluded from the study. Similarly, FXCM Commissions are excluded from the study.

I do not need you to write superfluous information. It is basically useless hype. I have read this on the FXCM discussion. You still have not addressed my concerns.

FXCM does not self-clear. IB has their own clearing firm. This is quite advantageous. It is possible that this is because you are very small comparatively. FXCM stock has a market cap of 61 million whereas other including IB has a market cap of 13 billion.
FXCM-A
IBKR

You do not have institutional account even though they are so called. Every online broker offers accounts for companies. They are corporate accounts but they are not

Institutional investors do not use retail online brokers.

You are classified as a retail online broker. My question is, why should someone choose a retail online broker over a direct access broker? Why should I choose a broker that only offers one financial asset class instead of a broker that offers everything?

Are you actually buying the currency or just speculating? If I buy 17,000 GBP/USD, I can either use those pounds towards buying equities in the UK or I can withdraw them into a GBP denominated bank accounts.

counter_violent · Feb 3, 2016

hhiusa said:
I do not need you to write superfluous information. It is basically useless hype. I have read this on the FXCM discussion. You still have not addressed my concerns.

FXCM does not self-clear. IB has their own clearing firm. This is quite advantageous. It is possible that this is because you are very small comparatively. FXCM stock has a market cap of 61 million whereas other including IB has a market cap of 13 billion.
FXCM-A
IBKR

You do not have institutional account even though they are so called. Every online broker offers accounts for companies. They are corporate accounts but they are not

Institutional investors do not use retail online brokers.

You are classified as a retail online broker. My question is, why should someone choose a retail online broker over a direct access broker? Why should I choose a broker that only offers one financial asset class instead of a broker that offers everything?

Are you actually buying the currency or just speculating? If I buy 17,000 GBP/USD, I can either use those pounds towards buying equities in the UK or I can withdraw them into a GBP denominated bank accounts.

Listen up hhiusa,

IB are no better than anyone else. Hopefully you are aware of their downtime where you cannot do anything in this period.

And this is what can and does happen.

http://www.trade2win.com/boards/for...rokers-fx-horror-fill-1-26-slippage-stop.html

What slippage is normal? Stats on my 4621 trades

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