Market-making HFT algorithm
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Thread: Market-making HFT algorithm

  1. #1
    Does anyone here have seen or seen portions of a continuously profitable market making algorithm utilized by a severe trading firm? For example, something which constantly creates liquidity in Hotspot or EBS orderbooks and can shut until the end of day each of the trades at the same place statistically profitable? Share ideas, I'm interested to take part in a scheduled appointment to code these myself, examine it in my money and share eventual profits (if any) with people who contribute with good ideas .

    Thank you for reading,

  2. #2
    Quote Originally Posted by ;
    Ouch...I wonder what Jason Roger's FXCM response will be to your hard facts... Truth be told, even the refund that FXCM was made to repay for banking favorable slippage while passing adverse slippage to clients is questionable as they haven't given an order by order account of the money deducted from the inadequate pricing they gave clients. I tried accessing my refund via bank wire and they are deducting 30% of the refund in fees!!! On a refund!!! Lol... As for the HFT/MT4 oxymoron, well the egy isn't really HFT. . .and it doesn't use limit...
    How do you suggest to do this for ALL trades?

  3. #3
    kuka1963
    Guest
    Choc.. .you really do understand this market, how come you're only just joiningforexforum.co.zanow? I've looked at all 3 threads you have begun. . .do share some trading insights. . .thanks

  4. #4
    ChoSi97
    Guest
    Quote Originally Posted by ;
    Yes.. .spreads are generally 1 or 2 pips greater than normal using the STP brokers I have spoken with.
    So. . You cover 10/20more on each transaction (the larger spread), and get part (or in the best case all) these costs back through lien.

    I guess that the only happy one here's the broker eheh

  5. #5
    HFT algorithm and MT4 is contracditory ...

  6. #6
    JiesnesAxru6
    Guest
    Quote Originally Posted by ;
    Does anyone here have ever seen or coded portions of a continuously profitable market making algorithm utilized by a severe trading company? For instance, something which constantly creates liquidity in Hotspot or EBS orderbooks and will close until the end of day all the trades at precisely the same region statistically profitable? Share thoughts, I am interested to take part in a scheduled appointment to code these myself, test it on my own money and share eventual profits (if any) with those that contribute with good thoughts . Thank you for reading, Zmax
    Forex = No end of day really... HFT is a equities/futures/options related issue (or alternative if your one of those lucky bastards actually profiting from the sc)

    Pippers have to be worried about their broker/traders and also how they are screwing them over (in any of a number of ways, not too dissimilar from HFT. Bear in mind, they profit when we lose, unless you've got direct ECN or a comparable solution) Remember, its us versus them. The'front-running' and'reg arb' are not so widespread because we dont even have access to this real exchanges, and theres no reg NMS. I could go on and on, and likely mistyped some things but you get the picture...

  7. #7
    HFT is growing in FX.

    Virtu, a HFT company famous for having a SINGLE LOSING DAY IN THE LAST 4 Decades of trading, had the biggest increase This past Year in FX:


  8. #8
    JiesnesAxru6
    Guest
    What Part of HFT? Theres so many egies and types of HFT it will get a bit convoluted. It is probably because they have a PFOF deal with FXCM. FXCM sells their executions/order flow outside to most likely this firm. The details of the deal aren't public, but it may be presumed that not only are you FXCM conducting their particular exchange (working desk), they consider another side of your trade at the interbank market, and sell your'order flow' into Vitru for cash. So they REALLY profit in your losses. However with Reg NMS and the prosperity of different hindrances with stocks trading in north america you have to acknowledge that HFT affects stock/option/commodity traders more than us forex guys. Only how the currency market is organised (retail-IB) eliminates a few of the more known HFT algos.

    Regardless, number one rule to enforce in order to not feed our brokers and their hft pals is DONT USE STOPS (viewed or exchange-side stops)

  9. #9
    Quote Originally Posted by ;
    What Component of HFT? Theres so many egies and kinds of HFT it gets a bit convoluted. It is likely because they have a PFOF deal with FXCM. FXCM sells their executions/order flow out to most probably this firm. The particulars of the deal are not public, but it can be presumed that not only are you FXCM running their own exchange (working desk), they consider the other side of your transaction in the interbank market, and market your'order flow' into Vitru for money. They REALLY profit in your losses. However with Reg NMS and the prosperity of other hindrances...
    I can not comment on if a specific company is a liquidity provider or not. However, I can say that on our No Dealing Desk (NDD) Foreign Exchange implementation, FXCM never requires the other side of customer transactions either directly or indirectly. Instead, we are compensated based on the implementation volume by adding a predetermined pip markup (that acts as a commission) to the best bid/offer (BBO) we receive from our liquidity suppliers. The 16 liquidity suppliers currently on FXCM's NDD price feed include international banks, financial institutions, along with other market makers. By contrast, many so-called ECNs in the retail Foreign Exchange industry use only a single market manufacturer to offset their customers' orders and take a proportion of their customers' losses as payment.

    While we take payment for order flow (PFOF) from certain market makers, this represents only 3% of earnings as we discussed in our http://bit.ly/ZOCB0Y. Our main reason for accepting PFOF suppliers would be to add more depth to our liquidity. BBO quotes which are very aggressive are often for smaller sizes for example $1 to $2M notional. Having several market makers that offer PFOF and match the BBO helps to make the price good for a lot more dimensions, routinely around $10M. This allows more customers to execute at the BBO price.

    A market manufacturer paying for order flow has to be at or greater than BBO in order to obtain the order flow. They can not get the order flow when their price is much worse than BBO. That means PFOF benefits our customers by incorporating higher liquidity for greater execution. Additionally, your orders are anonymous to the liquidity suppliers. They can't see your stops, limitations, or entry orders; they simply see market orders coming from FXCM.

  10. #10
    JiesnesAxru6
    Guest
    Quote Originally Posted by ;
    quote I can't comment on if a particular firm is a liquidity provider or not. However, I can say that on our No Dealing Desk (NDD) FX implementation, FXCM never requires another side of client transactions either directly or indirectly. Instead, we're paid based on the implementation volume with the addition of a fixed pip markup (that functions as a commission) to the best bid/offer (BBO) we get from our liquidity providers. The 16 liquidity providers currently on FXCM's NDD price feed include global banks, financial institutions, and other market manufacturers....
    Well, of course PFOF only accounts for xpercent of your annual income, how could you beat make a killing off of your large, notoriously slick spreads? (the dollar amount of the profit gained from PFOF would be interesting) However I have three gripes with your firm;

    1) So you engage in the practice of PFOF which is a negative aspect in most traders eyes no matter what the reason you make an effort to pin onto it. You still do not explain WHO (what company (s) you sell your order flow into. Do you have controlling shares in this firm? Can it be owned by anyone associated with your firm? Can there be any conflict of interest problems?

    2)You climb prices. The'NDD' option (bigger deposit = greater support ) makes people who understand somewhat about mt4's platform-as-service internal workings worry somewhat. Are those accounts loed on another server? Do they receive their orders filled with less latency compared to DD or first in line? We know you do not offer you a true ECN or similar, just your NDD with bigger deposit, and engage in PFOF. Greater Liquidity? You are the second most significant FX broker in North America. Liquidity is or should never be a problem. You run your own exchange that then places the orders to the IB market or stores out them to LP's. Seeing the order flow for a currency pair on an Interactive Data flow can be intriguing, but this doesn't mean that the price to retail clients after spread is the same as the IB market. Other large companies offer a whole lot more transparent pricing, spread, and services. However sadly for those residing in the USA, they are most likely stuck with no because of this US FX broker oligopoly. It seems like the wording'no dealing desk' is used to circumvent the need to ACTUALLY need to offer you an actual ECN or direct market access option or similar. Its like saying , were fair... kind of

    3)Your firm was already in warm water using a litigation and/or fees with the SEC regarding operating contrary to the customers best interests. Without a doubt some wonderful work on behalf of a top notch legal staff got your firm from warm water there. Old habits die hard. Need I say more?

    Offer an ECN or DMA option and you can claim to become transparent. Do not provide scaling service amount accounts, a lot of us have high net value, but we do not feel the NEED to put considerable amounts of capital into a FX trading account if its not necessary. It compels us to make accounts within accounts to provide us security against large drawdowns without using market positioned stops.

    Until then, I'll stick with Dukas or a different ECN/DMA alternative (there are several ) using a higher degree of transparency and much better track record. Besides, why would a FXCM rep troll forums or even for any other reason to see the most well-known egies and plan against them, all of the while spreading propaganda of all types.

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