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Thread: Market-making HFT algorithm

  1. #11

  2. #12
    JiesnesAxru6
    Guest
    Quote Originally Posted by ;
    Summed up nicely. 1
    Thanks dogg

  3. #13
    kuka1963
    Guest
    Ouch...I wonder what Jason Roger's FXCM response is to your hard truth...
    Truth be told, even the refund that FXCM has been forced to repay for banking positive slippage when passing adverse slippage to clients is questionable as they have not given an order by order account of their cash deducted from the poor pricing they gave clients. I tried accessing my refund via bank wire and they are deducting 30% of their refund in charges!!! On a refund!!! Lol...

    As for the HFT/MT4 oxymoron, well the egy is not really HFT. . .and it doesn't use limit orders. I enter at market price, and slippage doesn't affect the outcome of my own Rebate Trading Strategy because it's border is not based on trying to predict direction, but in hedging.

    I have discussed with two or three pure STP brokers who give as large as $10 per lot in rebates. My goal is to have a minimum of 2000-3000 trades each month and close all transactions in breakeven plus spread. I have manually traded/tested several versions of this my investment trading egy and at first glance it looks like it could produce 10 to 15 percent of their account's equity via refunds, but it's exhausting to exchange. On a $1,000 account, I took 2,000 transactions of 0.01 lots every year, averaging about 20 lots monthly earning $200 in rebates. So, coders which are ready to collaborate, kindly pm me for the details of the several versions of this egy.

  4. #14
    kuka1963
    Guest
    Quote Originally Posted by ;
    quote Just how do you propose to do this for ALL trades?
    I don't shut every single transaction in breakeven. HoweverI shut a general basket of open trades in breakeven and spread plus negative switch.

  5. #15
    Quote Originally Posted by ;
    quote I really do not shut every single transaction in breakeven. But I shut a general basket of open trades in breakeven plus spread plus negative switch.
    Does this mean you would need to average losing trades with the anticipation it's possible to shut them at BE?

  6. #16
    kuka1963
    Guest
    Quote Originally Posted by ;
    quote Does this mean you would need to average losing trades with the expectation it's possible to shut them at BE?
    Well, I chose to think like a market maker. The thought came a few months ago when Virtu the giant Marker Maker company needed to IPO.
    I realised that if I sell a single currency, and buy the exact same individual currency ( using different currency pairs, but targetting the exact same individual currency) like triangular arbitrage, but using a correlation hedging spin ) finally, all the rankings will proceed sufficiently to enable you transfer to breakeven.

    Market makers don't profit from attempting to predict management. They simply provide liquidity, buying and selling simultaneously and hedging the risk of the position. Is it possible to be profitable without attempting to predict management? Virtu showed me that yes it is. So I'm attempting to create my own market making egy. . .easier said than done however...

  7. #17
    Quote Originally Posted by ;
    Ouch...I wonder what Jason Roger's FXCM response is to your hard truth...
    Thanks for your post, FXTriumph

    I actually hadn't seen that ch0c edited his post to add new comments. I'm happy to tackle these.


    Quote Originally Posted by ;
    quote Well, of course PFOF only accounts for xpercent of your yearly income, how could you beat create a killing from your large, notoriously slippery spreads?
    On the NDD Currency Market execution, FXCM makes the exact same fixed pip markup whatever the spread. If the spread widens, then it is because the liquidity providers competing with each other have widened their spreads due to market conditions. This is not something special to FXCM. Furthermore, if by slippery, you're speaking about slippage, then it is worth noting these stats regarding execution at FXCM that have been reported on the NFA.73 percent of orders had NO SLIPPAGE. 15 percent of all orders received favorable slippage. 12 percent of all orders received adverse slippage. Over 60% of limit and restrict entry orders received favorable slippage. 53.32% of stop and stop entry orders obtained negative slippage. FXCM platforms offer traders with resources to minimize negative slippage and maximize positive slippage. In only the 6 weeks between August 2013 and January 2014, FXCM customers obtained http://bit.ly/P6lUzX.



    Quote Originally Posted by ;
    (the dollar amount of the profit earned from PFOF will be interesting)
    As I mentioned before, PFOF accounted for only 3% of revenues. While I do not have the specific dollar amount, that's simply because earnings sources below a certain percentage threshold are not individually itemized in our quarterly reports. But as we're a publicly-traded company (NYSE ticker: FXCM) you can email to ask more details if you're interested. This highlights the fact that PFOF is not a major revenue source for FXCM, and our main reason for getting PFOF liquidity providers competing with banks to quote prices would be to add more liquidity thickness.


    Quote Originally Posted by ;
    You're the 2nd biggest Currency Market broker in North America. Liquidity is or shouldn't be a problem.
    Second? Below is a table comparing our retail quantity to that of other Currency Market brokers. The amounts shown are in billions of dollars.


    The stats are from the Forex Magnates http://forexmagnates.com/retail-fore...lobal-volumes/. I would post something more recent, but that's the last report that's available to non-subscribers. However, as you are probably aware, volumes were down across the board in 2013 due to reduced volatility. I am hoping that the authors won't mind me showing that despite this even their http://forexmagnates.com/forex-magna...dustry-report/ confirms FXCM's lead within the companies listed above in terms of monthly trading volume along with the next you mentioned that didn't make the top 10.


    Quote Originally Posted by ;
    You scale prices. The'NDD' option (larger deposit = better support )
    Active Trader customers qualify for a reduced spreads/commissions by virtue of their higher trading volume. It's a standard practice in many industries to offer a discount for larger orders. But it is worth noting that Active Trader client orders are not implemented before the orders of additional FXCM retail customers. All client orders for Active Trader accounts and those on retail spreads are implemented on a first come, first served basis through precisely the exact same NDD price feed. Below is a breakdown of those services available to our different account types.



    Quote Originally Posted by ;
    Your company was already in hot water with a litigation and/or charges with the SEC regarding operating against the customers best interests.
    I think our CEO Drew Niv said it best with this http://www.ibtimes.com/fxcm-intends-...ritless-274377:

    It is a regrettable fact of public company life that even a temporary stock price decline often leads to class action lawsuit. FXCM will constantly defend itself from these types of meritless claims.

    As anticipated, the case has been dismissed later that exact same season on November 29, 2011.


    Quote Originally Posted by ;
    Truth be told, even the refund that FXCM has been made to repay for banking favorable slippage when passing adverse slippage to customers is suspicious as they have not given an order by order account of their cash deducted from the inadequate pricing they gave customers. I tried accessing my refund via bank wire and they are deducting 30% of their refund in charges!!! On a refund!!!
    I have never seen another client mention this type of problem about a refund. It got me curious, so I checked your forum profile and noticed that you live in Nigeria. That means a lot of these free withdrawal methods available to our customers in other countries are not readily available to you personally and bank wire is the only option. In case you haven't already finished your withdrawal, then shoot me a PM and I'll see if I could find an exception for you to get that bank wire charge payable.

  8. #18
    JiesnesAxru6
    Guest
    Quote Originally Posted by ;
    The stats above are from the Forex Magnates http://forexmagnates.com/retail-fore...lobal-volumes/. I would place something more recent, but that is the last report that is accessible to non-subscribers. However, as you probably know, volumes were down across the board in 2013 due to lower volatility. I am hoping that the authors will not mind me showing that despite this even their http://forexmagnates.com/forex-magna...dustry-report/ confirms FXCM's lead over the companies listed above concerning monthly trading volume along with another you mentioned which didn't make the top 10.
    Wow, wow, and wow. I don't know how you think that part of your post is some sort of rebuttal to my comment on how your firm must have ZERO problems with liquidity. You the LARGEST US RFED based on a table (I only thought 2nd biggest, my data must be outdated ) which confirms my original call on your B.S regarding partaking in PFOF for better execution/liquidity. The firm I mentioned yes, they're not an actual US RFED, so they would not be on your thoughtfully table. Thanks for really exploring that one. They also don't possess these magic liquidity/execution issues that you seem to have consumed on your cooker of BS, instead they offer an actual ECN solution. (DMA) Forumites seem to overwhelmingly recommend them to get large lot sizes.... Hmmmm.... Although I don't give a damn about their firm, they are a lot of crooks too, just like (oh hell) your firm! (well, you are crooks based on the SEC violation and court case lost involving misrepresentation of your clients best interests, dont make me break out the reference URL's)


    Quote Originally Posted by ;
    On our NDD forex implementation, FXCM makes exactly the same fixed pip markup regardless of the disperse. If the spread widens, then it's because the liquidity providers competing with each other have all widened their spreads due to market conditions. This is not something specific to FXCM. Furthermore, if by slick, you're referring to slippage, then it's worth noting these stats regarding implementation at FXCM which have been reported on the NFA.
    Yes, that is on your NDD assistance, which is a premium support. It has stipulations or charge's, or deposit minimums that the customer should stick to. It's a tier two kind of system that you have going on the market and your not likely to get the final word on this thread, not on my watch. I really like how all of your carefully thought out rebuttals to my half ass-ed posts (your posts were probably cleared by your sales dept.) involve details from the NDD service that is so wonderful and great, when the vast majority of your customers do not have NDD accounts. Access to the NDD (grade 2/3) is reserved only for those with enough money or brains not to get fleeced by your own, very, suspect firm. OR perhaps your NDD accounts are largely whales with no brains and lots of money, this is also a very likely chance.

    Its late and I've just noticed this now, I am not done with this post, not by a long shot, your forum disinformation spreading days are completed mr.fxc-m. (eat that word recognition)

  9. #19
    Quote Originally Posted by ;
    You the LARGEST US RFED according to a table (I only thought 2nd largest, my data must be obsolete ) which affirms my original call in your B.S about partaking in PFOF for superior execution/liquidity.
    It is just because our NDD price feed aggregates competing quotes 10 providers including several of the largest banks in the world alongside other PFOF companies, that we can offer outstanding liquidity. That's why traders have entrusted FXCM with http://bit.ly/10Pq5FJ.


    Quote Originally Posted by ;
    The firm I said yes, they are not a real US RFED, so they wouldn't be in your thoughtfully table. Thanks for really researching that one.
    The volume table in the Forex Magnates http://forexmagnates.com/retail-fore...lobal-volumes/ comprises information from US and European brokers. The firm you mentioned doesn't appear, since it is not at the top 10.


    I would post something more recent, but that is the previous report that is accessible to non-subscribers. I hope the writers won't mind me revealing that the full table in their own http://forexmagnates.com/forex-magna...dustry-report/ affirms FXCM's first place position with the firm you mentioned in twentieth place.


    Quote Originally Posted by ;
    you're crooks based on the SEC violation and court case dropped involving misrepresentation of your clients best interests, dont make me break out the reference URL's.
    As mentioned in my previous post, that case was dismissed in 2011.


    Quote Originally Posted by ;
    Yes, that is on your NDD service, which is a premium support. It has stipulations or fee's, or deposit minimums that the client needs to stick to. It is a tier two type of system that you have going on there and your not going to get the last word on this thread, not on my watch. I love how all of your carefully thought out rebuttals for my half ass-ed posts (your posts were probably cleared by your earnings dept.) involve details in the NDD service that is so wonderful and great, once the vast majority of your customers don't have NDD accounts....
    The great majority of FXCM clients trade on the NDD Currency Market execution, and it is possible to open a fundamental NDD account with as little as $50. There are no fees for maintaining this account type. The trade cost is simply the spread with no extra commission.


  10. #20
    JiesnesAxru6
    Guest
    I'm not done with you. Not by a long shot. The case was dismissed because you paid the fines, and therefore obtained it summarily dismissed. Therefore showing your guilt, why pay fines for something you are not guilty of?

    And are you blind, or illiterate?

    I DO NOT CARE WHAT RANKING IN TERMS OF MONTHLY/YEARLY RETAIL VOLUME AN ECN/DMA FIRM HAS COMPARED TO YOURS, THAT'S PRECISELY MY POINT! YOU DON'T NEED TO ENGAGE IN PFOF, YOUR PRIME BROKER/LIQUIDITY PROVIDERS ARE MORE THAN HAPPY TO Supply YOU WITH ANYTHING YOU COULD POSSIBLY NEED. WHERE'S THE TABLE ON WHAT FIRMS YOU SHOP YOUR ORDERS OUT TO?

    Oh, and again, why

    If you are so transparent and lovely, then why not offer you an ECN/DMA alternative? You run your own exchange, it might be easy peasy, maybe lemon squeezy. You would still get your commission, everything would be great! But no, you don't want your clients to profit, you want them to fail, because you profit from hedging their transactions on the IB market(and still do, even if it is not as much as before) Your spreads slide all over the area, you don't have DETAILED (read detailed from the dictionary) disperse information on your site. (as far as max daily distribute, average spread for different periods of time, spreadsheet information of disperse background ) You take part in PFOF. You lost (replie, LOST! ) ) A court case at 2011 requiring you to pay fines (I don't care when it had been dismissed, you paid to get it'dismissed', not just in your giant legal bill but in FINES)

    I don't even need to waste my breath, but everybody knows FXCM is shadier than a candy salesman at a cargo van out of elementary school.

    But don't you dare, but don't you fucking dare come into other peoples threads and hijack it with disinformation just because the term recognition alert goes off when somebody forms F-X-C-M. I really don't find a rep from another firm we were talking about coming in here. From the being here it just proves the fact your firm is NG. (no good) Why would a rep from a broker troll forums if not for some other reason to find the most popular egies and plan against them? I find it damn amusing that about FXCM's mt4 a number of the most popular approaches on this forum don't seem to work at all, but when I use another broker with Fair Trading Technology's variant of mt4 they seem to work fine. As a matter of fact they work great.

    Do not piss me off

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