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Liquid validity
Don't currently know, never really bothered me though, net slippage is all I care about.So how much negative slippage in the same period?
Its just to keep tabs so I know where I stand, ultimately, I can't do anything about most of the
root causes anyway, so monitoring the overall impact is all I can do.
Yes I use market orders, not the solution I really wanted, tried to find a wayLV that's quite a lot of slippage you're seeing, but it really depends on the size you do and since you trade quite infrequently I guess it's less of a factor - if you were using stop orders, why would latency matter except for where you miss an order on a stop would be trigger submission error?
Or are you saying you don't actually use stop orders? If you just use market orders.. 0.3 is pretty good I'd say!
Positive slippage on fx stops is hella rare as you say since you've requested a fill at a potentially variable price, which will generally be matched within 3-5ms and the current b/a spread prices themselves tend to represent the thinnest liquidity prices by necessity. The prices around the mid will be the quickest absorbed and execution speed is all electronic platforms care about - the deeper liquidity is almost always going to be on prices outside of the spread so matching will mostly shift there. Positive slippage would require a deep sudden move against your entry direction within a sub 8ms time-frame.
to take advantage of MB's limit rebates.
Apart from missed fills, the main issue was coding a routine to
check for limit fill, when missed and still flat, to get current bid / ask and
attempt another limit fill or place market order after 1st limit goes unfilled.
I have conceded defeat on that one for now...
Fill speed with MB may be more the issue than genuine market slippage.
The timestamp resolution on Ninja only resolves down to 1 sec, so any
discrepancy of less than 1 sec is undetectable (bit of a gripe with ninja tick import on timestamps as well).
Having said that, the variance between SIM fill time and live fill time
can be anything from 0 secs to 3 secs.
Typically its 0 or 1 sec.
The ping of 183ms is nearly 2 tenths of a second so its definitely a factor.
MB aren't bad, but for whatever reason, ping or their servers, LMAX
is certainly more responsive in general with faster fill speed as well.
Thats is just using both brokers manual platform execution.
Going off on a tangent...
I did try Multicharts and Sierra so I could automate with LMAX.
Sierra is C++ and I just didn't click with MC, I was expecting the C#
code flow to be the same as Ninja, but despite both being C#, they
vary in how code is addressed and run.
So for the time being, its automation with NT and MB and discretionary with LMAX.
Hoping for LMAX support in Ninja 8...
TBH, I have had a few server dropouts and connection losses with MB.Yeah the ping to US shouldn't be the problem unless he leaves the stops on his ninja rather than on their servers. Not unreasonable considering some of the dodgy practices that go on.
MB used to have quite a bit of slippage when I used them, positive and negative. I don't think I've ever had positive slippage on a stop order, or if I have, I didn't notice it.
There was a page I saw online of a programmer who claimed to have produced software so that you could use ninja on LMAX (for a fee of course), but I wasa bit suspicious and so didn't look further into it.
That isn't host connection, as I keep a separate log and trace file for that.
I can't say if its any worse than other brokers as thus far MB is the only
broker I've used automation with, so I have logs and so forth that you wouldn't
have with discretionary trading.
I did initially ask Ninja and MB if NT stops were server side, was assured they were...
On testing that, it appears they are host side, not a massive problem
as the host has UPS and backup connection.
So ping will be an issue, really this is a prime example of why the HFT outfits
co-locate.
Ninja and LMAX API - yeah he PMed me on NT forum saying he had a solution,
but as he couldn't spell (to be fair english may not have been native language)
I decided not to risk it as its basically an unknown code source handling
financial transactions - f**k that...
I don't know about anyone else but I don't hold trades for a matter of milliseconds :cheesy:Hi Guys,
I am really beginning to see why I have always day or longer term traded on shares rather than FX. If you guys are actually looking at what happens right down to a timeframe of 8ms, I don't know how you can stand the pace........
If I am looking to day trade UK stock on the LSE where I set up my trades the night before using stop orders to enter the trade for me while I'm doing my day job, I need to know that whichever SB company I'm using isn't going to keep widening its spreads as that can trigger my trade on their artificial increase in the buy price and cost me more on the spreads in the process.
So which is the best SB company in the UK for me to use?
Being serious, what we are discussing is just the time lag between
order trigger and order fill and the various reasons for that.
SB - really I can't personally recommend one as I don't have any recent experience
of slippage, spread widening and so on as SB is not my primary platform,
so I don't have a trade sample to say one way or the other.
I've seen every SB known get slated by some and praised by others on here.
Your own experience is all that matters.
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