Lmax?
- Thread starter munchiedude
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AUM: £233.54
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Hey Twinj,
Again, I emailed LMAX this question:
After reading the trading manual (http://www.lmaxtrader.co.uk/pdf/Trading-Manual.pdf) a question arose…
Here is a screenshot from the trading manual to which my question pertains:
Now the question. Will the remaining order for the 3 contracts enter the order book at bid 1.46280? I think it will not. It seems to me that only the quotes of general members of LMAX MTF are allowed to enter orders in the order book (Optiver, Goldman, Jpmorgan). Am I correct? Thus THE ONLY way that my order will be executed is if the ask price again reaches 1.42680. Am I correct? Thus submitted market sell orders will not be filled by me, but by the MTF general members.
Their answer was indeed that my bid for 3 contracts of 1.46280 will be on top of the order book and that both market sell orders and limit sell orders will be matched against my order.
I also called them, and they told me the same story.
Soon I will trade with them and then I can be sure whether it is this way.
Again, I emailed LMAX this question:
After reading the trading manual (http://www.lmaxtrader.co.uk/pdf/Trading-Manual.pdf) a question arose…
Here is a screenshot from the trading manual to which my question pertains:
Now the question. Will the remaining order for the 3 contracts enter the order book at bid 1.46280? I think it will not. It seems to me that only the quotes of general members of LMAX MTF are allowed to enter orders in the order book (Optiver, Goldman, Jpmorgan). Am I correct? Thus THE ONLY way that my order will be executed is if the ask price again reaches 1.42680. Am I correct? Thus submitted market sell orders will not be filled by me, but by the MTF general members.
Their answer was indeed that my bid for 3 contracts of 1.46280 will be on top of the order book and that both market sell orders and limit sell orders will be matched against my order.
I also called them, and they told me the same story.
Soon I will trade with them and then I can be sure whether it is this way.
AUM, good luck with your trading.
Just to reiterate my point, using your example. Say I want to go long and place a limit order 1.46272. This will mean my order will be in the yellow strip. Assume no better price comes along. When I asked if someone wanted the price I quoted straight away (who wanted to sell), they would place a market order. However, my limit order would not be executed they said. They said my order would be executed when the best ask price falls to that level.
I was left bemused because this is no different to spread betting companies and the like.
Just to reiterate my point, using your example. Say I want to go long and place a limit order 1.46272. This will mean my order will be in the yellow strip. Assume no better price comes along. When I asked if someone wanted the price I quoted straight away (who wanted to sell), they would place a market order. However, my limit order would not be executed they said. They said my order would be executed when the best ask price falls to that level.
I was left bemused because this is no different to spread betting companies and the like.
Hi AUM, have you tried LMAX yet? Would be nice to hear from you about the issue we have been discussing.
Just found out to my disappointment that LMAX do not offer volume data on their spot forex pairs. They said I can buy it from Reuters. It would be nice to have that info for free on their charts.
Just found out to my disappointment that LMAX do not offer volume data on their spot forex pairs. They said I can buy it from Reuters. It would be nice to have that info for free on their charts.
AUM: £233.54
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Hey,
No I have not started yet, as I am waiting for when they release the C# API, which will be end of may or begin july.
The volume data from Reuters is from interbank FX market, not from LMAX trading platform. Therefore, it is ofcourse useful, but not as useful as pure LMAX trading volume.
macdice
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Has anyone done any correlation studies to see how closely LMAX tracks other markets, in general and around big moves? For example, FX rates offered on the big interbank venues, and futures prices from the relevant exchanges (since these seem to be designed to track Eurex, LIFFE, COMEX, NYMEX, ICE futures contracts). What is the mechanism that would keep prices in line? Is it simply that the market makers hedge in other markets and thus their risk is minimised by replicating those market prices as fast as possible? Lastly, by my reading of the API documentation, there is no explicit way to tell when other people's trades are executed on LMAX, except perhaps that size disappears from one side of the best bid/offer, or the best bid/offer move, but I guess that is indistinguishable from market makers or market takers removing liquidity by cancelling limit orders. Can anyone see a way to extract that information? (Whether that data would be of any value is maybe debatable).
