ProSpreads, Spread Vs DMA conflict?

[v01101999]

This indeed occur, I've been filled many a time (Eurex bunds & Stoxx) without the price ticking through (or before the price ticks through). In fact I'd call it routine.

Could it be that some clients are internalised and some are not? Depending upon the account size? When you get filled on the trade acknowledgement do you see ****.CME.INTERNAL or just CME?

 

[v01101999]

http://www.screencast.com/t/YjI1YTEyYz

This is an example from a trade on SoyOil.

 

[A Dashing Blade]

Could it be that some clients are internalised and some are not? Depending upon the account size? When you get filled on the trade acknowledgement do you see ****.CME.INTERNAL or just CME?

I only trade Eurex

 

[Jack Hughes]

http://www.screencast.com/t/YjI1YTEyYz

This is an example from a trade on SoyOil.

No comment from Mr CS yet...

 

[A Dashing Blade]

. . .
If another clients' orders are changed then back you go to the end of the queue!
. . .

Tbh this would explain some behavior I've observed with their interface over the years. Certainly when you put a trade on the interface implies you are number x in the queue however I'm damm sure that on more than a couple of times x++ trades have gone through & I've not been filled.

 

[v01101999]

Tbh this would explain some behavior I've observed with their interface over the years. Certainly when you put a trade on the interface implies you are number x in the queue however I'm damm sure that on more than a couple of times x++ trades have gone through & I've not been filled.

May be their internalising engine does not have price-time priority!

 

[Jack Hughes]

How about if someone who has an account asks Prospreads the question directly?

 

[v01101999]

I only trade Eurex

I tested on Eurex as well - your fill acknowledgement has FBC.EUREX.INTERNAL market indicating it is internal, and my bid was only filled after the offer moved to my bid even though when I joined the bid I was 300 in the queue and then there were more bids added at my level to take it to 800 lots on bid. I was filled only when all the contracts were taken from the bid and bid ticked lower.

 

[v01101999]

How about if someone who has an account asks Prospreads the question directly?

Actually I do have an account and I have asked the question directly but as I expected, there is no response to that. Usually their support/traders are very quick in answering questions but this one has gone in a black hole even after few reminders. Which is making me worried and that is the reason I asked the question here to check if other traders have started noticing the same issue.

I am quiet happy with their service and platform and I use them a lot for many of my day trades or some hedge trades. And I am pretty sure this is a new thing they have introduced - may be when they realised that they can make more money internalising the trades instead of hedging it one for one basis.

 

[A Dashing Blade]

And I am pretty sure this is a new thing they have introduced - may be when they realised that they can make more money internalising the trades instead of hedging it one for one basis.

Nope, 110% sure I observed this in the old Futurebetting days tho' far less frequently (possibly when they had fewer clients?)

 

[Jack Hughes]

Actually I do have an account and I have asked the question directly but as I expected, there is no response to that. Usually their support/traders are very quick in answering questions but this one has gone in a black hole even after few reminders. Which is making me worried and that is the reason I asked the question here to check if other traders have started noticing the same issue.

I think we can assume we know the answer, then...

 

[ProSpreads]

I think we can assume we know the answer, then...

We auto hedge a lot of our client trades and strategically hedge the other trades. We always replicate the price and liquidity of the underlying markets, so the DMA functionality is available for all client orders, therefore the trading experience is never compromised

 

[A Dashing Blade]

We auto hedge a lot of our client trades and strategically hedge the other trades. We always replicate the price and liquidity of the underlying markets . . .

So, quick question from one of your clients specifically about Bund trading. . .

I join the queue to buy on the bid. Your screen (the quick trade ladder screen) shows that I'm (say) 100th in the queue (ie I join at the back of the queue ie, at the time of placing the trade I'm 100th out of 100).

People join/leave the queue and a few seconds/minutes later I notice I've "improved" my position and am now only 30th in the queue. But, net met more orders have been placed so I'm actually 30th out of (say) 200.

At this time another of your clients places an order to buy ie enters at the 201st position.

Where is my original order, is it still 30th in the queue as implied by your ladder/quick trade interface?

 

[ProSpreads]

So, quick question from one of your clients specifically about Bund trading. . .

I join the queue to buy on the bid. Your screen (the quick trade ladder screen) shows that I'm (say) 100th in the queue (ie I join at the back of the queue ie, at the time of placing the trade I'm 100th out of 100).

People join/leave the queue and a few seconds/minutes later I notice I've "improved" my position and am now only 30th in the queue. But, net met more orders have been placed so I'm actually 30th out of (say) 200.

At this time another of your clients places an order to buy ie enters at the 201st position.

Where is my original order, is it still 30th in the queue as implied by your ladder/quick trade interface?

It will still show 30th, but some exchanges show you are 30th in the Q, but when orders come into the market, it is based as random fills.

 

[Dommo]

We auto hedge a lot of our client trades and strategically hedge the other trades. We always replicate the price and liquidity of the underlying markets, so the DMA functionality is available for all client orders, therefore the trading experience is never compromised

Could you clarify auto hedge and strategic hedge? By auto-hedge, I assume you mean the corresponding hedge is automatically placed on an exchange.

What does strategic hedge mean? Do you net off clients' opposing trades, and lay off the remainder in the market?

Thanks

 

[A Dashing Blade]

It will still show 30th, but some exchanges show you are 30th in the Q, but when orders come into the market, it is based as random fills.

Thought Eurex bund market operates on a FIFO basis (?) . . .

"The price/time matching algorithm conforms to the price and time priority rule.

This matching algorithm is used for all Eurex futures except money market futures.
When a new order is entered, the Eurex® system first checks the limits of the orders
in the electronic order book and executes the orders with better limits before the
orders with worse limits.

A timestamp is assigned to all orders entered into the Eurex® system to determine
the chronological priority of the order for matching purposes. This timestamp is used
to prioritize orders in the book with the same price.

Market orders have the highest priority for matching. If several market orders are
booked in the order book at the same price the Eurex® system takes into account the
timestamp of the orders as a further criterion for establishing matching priority.

Consequently, the first market order entered receives the highest priority.

In the case of limit orders, orders with the best possible prices ( i.e. highest price limit
for buy orders and lowest price limit for sell orders) take precedence in the matching
process over other orders with worse prices. Again, if the limit orders have the same
price limit, the extra criterion used for establishing matching priority is the order timestamp.

The orders already present in the order book are always executed at the given limit
price or better – never at a worse price. Orders going into the order book are always
matched at the appropriate prices available in the order book, up to the specified limit
price."

Source

(Not having a pop here, I'm one of your biggest proponants on this board, but just want to clear it all up)

 

[Jack Hughes]

Presumably this confirms that while Futurespreads did directly fill positions automatically using DMA, New, Improved Prospreads doesn't. Makes the promotional stuff seem a bit misleading.

 

[Jack Hughes]

Thought Eurex bund market operates on a FIFO basis (?) . . .

"The price/time matching algorithm conforms to the price and time priority rule.

This matching algorithm is used for all Eurex futures except money market futures.
When a new order is entered, the Eurex® system first checks the limits of the orders
in the electronic order book and executes the orders with better limits before the
orders with worse limits.

A timestamp is assigned to all orders entered into the Eurex® system to determine
the chronological priority of the order for matching purposes. This timestamp is used
to prioritize orders in the book with the same price.

Market orders have the highest priority for matching. If several market orders are
booked in the order book at the same price the Eurex® system takes into account the
timestamp of the orders as a further criterion for establishing matching priority.

Consequently, the first market order entered receives the highest priority.

In the case of limit orders, orders with the best possible prices ( i.e. highest price limit
for buy orders and lowest price limit for sell orders) take precedence in the matching
process over other orders with worse prices. Again, if the limit orders have the same
price limit, the extra criterion used for establishing matching priority is the order timestamp.

The orders already present in the order book are always executed at the given limit
price or better – never at a worse price. Orders going into the order book are always
matched at the appropriate prices available in the order book, up to the specified limit
price."

Source

(Not having a pop here, I'm one of your biggest proponants on this board, but just want to clear it all up)

But is any of this relevant when you're not trading the 'real' market?

 

[chezlaw]

Could you clarify auto hedge and strategic hedge? By auto-hedge, I assume you mean the corresponding hedge is automatically placed on an exchange.

What does strategic hedge mean? Do you net off clients' opposing trades, and lay off the remainder in the market?

Thanks

Ditto and can we get an an answer to whether or not prospreads make any profit/loss off a trade apart from their stated added spread.

Prospreads sounded so straightforward and attractive, I was just about to sign up. Now I'm very confused about the prospreads model.

 

[arabianights]

Also some markets, for example STIRs or short govvies, it's very important to be being filled properly...