Retail day traders and Micro Scalping?

[hyperscalper]

More on Market Maker Book Analysis Theory

It would certainly make sense for the key MM to be actively involved in several exchanges and that in itself would allow a degree of price manipulation on a short term basis. If your analysis has shown that there is consistent predictability then it sounds very exciting. I can see why being unable to pull your quote has a major advantage to retail traders but how would market orders affect this ?

Good questions because it's such an interesting subject. I am unclear exactly what you're asking so I'll take a stab at it...

You're asking about Market type orders? I mean, instead of a Limit order? There's no difference, so long as the Limit order uses a "marketable" price and finds a counterparty immediately. No difference, but ECN implementations could introduce slight differences between the two order types.

So I'm saying that Market Makers (MM) as the primary Liquidity Providers (LP) on a fair and anonymous exchange are unable to "pull" their Bid/Offer at the instant that it is matched by a counterparty. They can certainly pull it a millisecond later if it hasn't been "hit" and the low-latency colocated supercomputers which manage the "virtual spread" distribution certainly do this. They retreat if they can, but in the nanosecond when the counterparty matches their quote, they have to honor it because the exchange (ECN, whatever) "matching engine" makes the match.

So, MM's will "skew" their distribution of Quoted size away from the Inside Market so that the large retail transactions are Forced to eat through several Tiers of the Depth of Market (aka The Book) in order for the total size to be satisfied. This "skewing" of the distribution of Quotes is also a key part of my hypothesis, which says that since they must honor Quotes to Counterparties, they therefore carefully control (statistically) their distributions of Quotes, as they cannot "back away" at the instant the Counterparty is found and matched. The VWAP of the Bid Tiers is a correlate of this behavior, where the "peak size" may be moved further away from the Inside Bid when MM does not wish to transact at those prices quite so eagerly...

Anybody who knows about Depth of Market should know that this is how Market Maker "manages" risk. "If you as a Large Retail player are going to sell 1000 lots at Market, then I'm going to force you to 'eat through" successively lower Bid prices until you accumulate the Total amount of your Retail Sell Market Order, and my Bids will therefore be Forced to Buy from you, BUT I (the MM) will Buying from you at a much lower VWAP."

We assume that the exchange "instantaneously" computes all of the Bid Tiers which are consumed to satisfy the Sell Order in this case, and that MM has no opportunity in the next nanosecond to "pull" Bids, realizing that a Huge order has just come in. So the Exchange would be "transactional" in that sense, not allowing MM's to pull away "in the middle" of the process of "consuming the Bid Tiers" to satisfy the size requirement of the Large incoming Retail Sell Order.

That much lower Buying price which MM receives is due to the Skewed Distribution of Quoted Size Bids on the Depth of Market, the Book. So MM automatically has a "defense mechanism" against Huge Retail sellers because of the way MM distributes Quote Size on the Depth of Market, given the fundamental fact that MM cannot "back away" from any matching Counterparty who Sells, in this case.

[As a matter of definition, a Retail order Sells to the Bid. A Wholesale transaction always sells to a Retail Counterparty, so Wholesale transactions always sell at the Ask or Offer, because they represent the Offer, and require a Retail Counterparty. This is what we mean by saying that MM always takes the Opposite side of every Retail transaction, since MM transactions are always Wholesale. Everyone else who is not MM, is normally Retail, or on certain exchanges, like LMAX, can be considered "competition" to MM by Bidding alongside MM's and stealing liquidity from them, but most ECN type exchanges do not permit Retail traders to do this.]

Dukascopy is also very good about limiting Counterparty Rejection, but it will happen a small percentage of the time. But on LMAX, in my experience it should never happen since the "exchange" is a separate entity making the decisions. This upsets Market Makers and forces them to be much more careful what they place on the Depth of Market, aka The Book. Good news for me, since I am hoping they have to be careful and that I can measure that behavior well enough to predict where they will move the market

We can talk about "Spoofing" of Quotes in some other discussion. Traders always like to talk about how "spoofing" makes it impossible to evaluate the Depth of Market, but evaluation algorithms can also take into account the fact that there will also be "spoofing". Another discussion, at another time ;-)

I haven't fully consumed my coffee but maybe that could clarify.

HyperScalper

 

[Forexmospherian]

Hi Hyperscalper

I agree with you this is a very interesting subject and well worth discussing and sharing on the knowledge available.

I am just going through your last reply to Trader 333 - and can see a few things I see maybe differently to yourself

Just to clarify some of the areas for a start - the largest FX Player in the market still as under 20% market share and nowadays at least 5 other players are needed to take their total share over 50% . With regards to LP's I think there is maybe 10 -15 of them ? but not 100% sure

Yes a LP will be providing many ECN type brokers - but for me - that could still only represent a force less than 15% of what's happening in a main trading session.

How would your findings compare with my information for a start?

Regards

F

 

[hyperscalper]

Market Manipulation Theory of Forex markets

Hi Hyperscalper

I agree with you this is a very interesting subject and well worth discussing and sharing on the knowledge available.

I am just going through your last reply to Trader 333 - and can see a few things I see maybe differently to yourself

Just to clarify some of the areas for a start - the largest FX Player in the market still as under 20% market share and nowadays at least 5 other players are needed to take their total share over 50% . With regards to LP's I think there is maybe 10 -15 of them ? but not 100% sure

Yes a LP will be providing many ECN type brokers - but for me - that could still only represent a force less than 15% of what's happening in a main trading session.

How would your findings compare with my information for a start?

Regards

F

First of all, it's good to be sceptical about "collusion" among Market Makers which would, in a sense, be required to create an "engineered" or "manipulated" market.

My view is the same as that espoused by Voltaire (paraphrased):
"If God did not exist, it would be necessary to invent him" see this link:
http://en.wikipedia.org/wiki/Voltaire

When you work at the "micro scalping level" as we do, it is clear how price movements are "manipulated". Now, if Forex were truly a market driven by "supply and demand" or other such crap generic theories, you would not see the obvious "Dirty Tricks" (my terminology) which we do see in actual trading every moment of every day, specifically "engineered" to destroy short term traders.

Only those who have examined price movement in detail, as we do, would be directly confronted with these Dirty Tricks.

Now, it has been suggested, and quite reasonably so, as you are suggesting, that it would not be possible for a single MM to move the Forex market pricing Unilaterally. The fundamental concept is that the Forex market is "too big" for "coordinated trickery".

I prefer to completely sidestep that, and simply to focus on what I SEE in price movements, and to work backward to a view that there is Likely to be significant collusion and planning of movements on both the sub-minute timeframes, as well as the daily movement patterns.

But since I've "sidestepped" the explanation, and I focus only on what I observe, the burden of explaining just How this happens, it not a challenge I need to tackle

Like Voltaire, I observe that it happens, and I therefore work backward to the assumption of a general "collusion" which exists, and the consequences of such a hypothetically "rigged" market. There, I said it ! A "rigged" or "engineered" market on a short term basis, at least; and over longer periods as well, but that's not my specific focus.

Now, of course "fundamentals" operate over longer periods of time to determine Forex exchange rates. However, within these constraints, there is a large "envelope" of price movement which is Just Trading. MM's trade against ALL Retail market participants, both Buyers and Sellers, both Small and Large.

MM's move price (I would argue, "at will", within a wide range of constraints) and trade ruthlessly against all Retail market participants regardless of their size.

I'd like to conclude by simply saying that is my "expectation" and "hypothesis" but it is a bit "above my pay grade" to take on the obligation of fully explaining how THEY (MM's and Liquidity Providers, LP's) are able to coordinate this amazing activity which we observe every moment of every trading day !!

In simple terms, the day trading market is "engineered" and "rigged" and micro scalpers and other day traders would do well to keep that in mind, when evaluating what MM might do next. It's often best to assume MM will move price to do the Most Damage to the largest Percentage of Market Participants possible, as that is most profitable for MM. (MM == Market Manipulator) But I digress.... and I find myself both speechless when I observe it, and also I do not have to accept the obligation of explaining How they achieve this remarkable (seemingly coordinated) price action.

I'm just a trader, like everyone else, who is forced to React and to Predict what MM will do next.......

So, like Voltaire: "If there were not Market Manipulation, I would be forced to Invent the Concept to explain what I see !" The "Gods" of the markets have much more manipulative power in Forex than many would assume, IMHO (in my humble opinion).

HyperScalper

 

[hyperscalper]

Market Bias prediction of Price in Micro Scalping

I thought it might be useful to post another chart image showing the relationship between the Market Bias measurement, based on the LMAX DOM here, as well as the concept of "marker events" which "mark" key pivots. Marker events can be used as Entry trigger events.

Here the Market Bias UP is colored WHITE and the DOWN is colored YELLOW against a neutral line which is marked with the ORANGE annotation line.

An instantaneous change in the Bid/Ask of >1.4 PIPs at the top can be used as a SELL trigger in the context of a declining negative Market Bias shown.

"Sell Above" and "Buy Below" lines are part of the trader controlled semi-automatic triggering criteria. So we can "Sell Above" the trigger line, IF we also see a "snap event" >1.4 PIPs which would "grab" the peak.

The Price scale is on the Right side, but the overlain Market Bias scale is on the left side and is centered on a zero or null level halfway down the chart. There are TWO Market Bias lines, one is "slow" and the other "fast" (the very thin line) so volatility can be seen with these 2 moving averages of the Market Bias indicator.

HyperScalper

 

[Forexmospherian]

Intraday Market Bias

Hi Hyperscalper

I have posted a similar UJ chart for today with my market bias - based on LRs

Under 120 -25 - my bias is bearish for favouring scalp sells - but by 3 30 pm UK time - my quicker LRs said its an interim low at around 119 39

The key for me then is timing - ie interim lows and highs need to last 30 mins with no new breach


I am still encouraged to sell under 120 -05 /10 - but now above 119 45 - a support area - I have scalp buy bias

So a 60 pip approx range to play in with both way scalps - but for me at this time of day in the UK - I no longer carry on scalping - as generally before 5 00 pm UK time - I have finished for day

Out of interest - how many scalps would you look at over say a 4 or 8 hr session - and are you using stops - or not ??


Regards


F

 

[hyperscalper]

Hi Hyperscalper

Out of interest - how many scalps would you look at over say a 4 or 8 hr session - and are you using stops - or not ??


Regards


F

Well, using this methodology once it's out of the R&D phase soon, there would be a fairly large number of individual trades. But since I use an "incremental methodology" I guess we could call a "trade" as from "flat" to "flat again".

So I guess from 3-10 trades per hour, depending upon trending versus short snap scalps. There's an inherent temptation to take quick scalps, but that's not such a great idea if you can wait and take advantage of some slower trending to play out to extend profits. My biggest limitation (personal psychology) is to get OUT too soon !!! The rationale being "take what's on the table" but I would do much better to go SOH after a careful Entry (Sitting on Hands) and wait for the trend to play further out to target...

This custom micro scalping is inherently different from your own work, F, where there's a lot of semi-automatic support for both order entry and analytics.

I read a lot of your posts so I know you advocate trading over a wide range of currency pairs more or less simultaneously or concurrently.

In the case of this platform, we choose a single currency pair, and focus all of our "mental and physical computing power" on the micro scalping of just that pair, with a lot of dependency on the platform to execute Entry and Exit triggers for us, given general parameters and threshold markers being set.

I'm planning to add to the many trigger conditions, this new Market Bias as soon as I'm satisfied with its measurement. So we can trigger on conditions A and B and C and (Market Bias), etc..... so very specific conditions set interactively by the trader.

Having a "secondary" pair is not a bad idea but basically this approach does not "scan" the market for opportunity at all.

HyperScalper

 

[Forexmospherian]

Agree with many of your above comments - and yes - rather than keep taking say 3 or 5 pips profit - managing to stay with the flows can make such a difference if you are able to pyramid and peel - but without dumping a session trend.

I have blown up previous chart over most of the day to the last hour- just to show the importance of time in decision making

I think just 2 or 3 pairs would work well - but when I had used to major on scalping the EU only for years - I would look at the end of many days and think - If I had placed my efforts on the say EJ or EA - I could have made 70% more pips on the same number of trades

If you are able also to work on a system to lock part profit in - then you dont need to babysit if your are trading manually - in fact your risks are secured and then you can actaully end up scalping 3 or 5 or even more pairs - with the existing trades still open in a win/ win scenario - whether its just for only 3 pips or even 30 pips - they all add up

Off for tea - but like this this thread along with your ideas and developments so far

Regards


F

 

[hyperscalper]

I think just 2 or 3 pairs would work well - but when I had used to major on scalping the EU only for years - I would look at the end of many days and think - If I had placed my efforts on the say EJ or EA - I could have made 70% more pips on the same number of trades


F

Yes, EUR/USD is like Futures Traders who "follow the herd" and choose the S&P500 ES contract to trade.

There are many "better" choices in terms of price range. I do have a Dukascopy Strategy which scans across pairs for general volatility but I find that choosing USD/JPY tends to give me the best trading conditions with a pretty good potential for ranging profits, as opposed to EUR/USD.

But with this "intense" platform right now at least we don't manage multiple pairs simultaneously. You must "pick your poison" and drink it for a while

HyperScalper

 

[hyperscalper]

Vector Analytics Indicator for Micro Scalping

In a new area, such as Micro Scalping it's "wide open" what indicators might be the most useful in predicting price.

Here's another type of analytic which I've done on the Dukascopy trading platform which has proven to be very interesting. All of the Analytics shown derive from the Depth of Market, otherwise known as "the Book", and take into account every "snapshot" as fast as 10 DOM refreshes per second.

The Arrows are intended to predict the future price movement in the near term.

Instead of just the static images below, which are interesting in themselves, here's a silent video with no commentary showing the action over a period of time on Live market data. As you'll see, there is "noise" in a real time signal like this but you can also see sometimes very clear patterns.

For educational purposes, and general interest.... I hope it's interesting. Generally the Arrows are showing when the "Big Guns" or Market Makers push close into the Market with a threshold size, indicating an intent to trade aggressively. Often this can "nail" a pivot point, with experience, and factoring in other information, since I don't believe in trading on just one single indication.

HyperScalper

I think these two images are GBP/JPY and USD/JPY but their pricing is shown as x 0.01 .

 

[hyperscalper]

Death by Wiggle or Whipsaw in Micro Scalping

So, in thinking about Micro Scalping, we can see opportunities continuously throughout a trading day. However, the precise timing and correct selection of those opportunities seems impossible.

Price movements appear to be "random" or at least we can't seem to predict them with enough Accuracy to profit from movements of 2, 3, 4 ... 10 pips.

We may be able to "grab" a couple of pips, a couple of times. But then we fail with a Losing Trade which wipes out, or more than wipes out our prior Winnings.

In Micro Scalping (and I know some will disagree, guess who will disagree!...) you need a brokerage with the following characteristics:

1) a pure Bid and Ask Tick feed
2) as narrow a Spread as possible
3) the ability to semi-automate operations, such
as Order Entry actions
4) reliable Order Fills without rejections

Now, Dukascopy is nearly the ideal brokerage for this purpose because it offers an integrated API which permits "Strategy Modules" to be written, even ones with a User Interface that has Buttons with sophisticated logic, for Buying and Selling operations based upon "Trigger Criteria".

You need to know Java to take advantage of these, but there is ample help available. Or programmers can be used to write the support logic you are looking for.

CHASING THE MARKET. Most ordinary traders look for "Confirmation of a Trend" by watching the price, and then they "Chase" the market by entering in that direction hoping that Price has enough "Momentum" to move far enough for them to take a reasonable Target profit.

WHIPSAW is a very commonly understood phenomenon which every trader knows about. We enter in Trend direction but then the trend changes, Price moves against us, and we stop out. Whether Long or Short we see this phenomenon which erodes our confidence and our account equity.

MARKET MAKER has "engineered" Whipsaw behavior into price movements, and we see that all prices move in a "Saw Tooth" manner. This is due to the effect of "Micro Whipsaw" or "Micro Chasing" behavior. At the level of the smallest price movements, systems "Micro Chase" price, and they are "Micro Whipsawed" as a result of that.

AS MICRO SCALPERS we must deal with "Micro Whipsaw" and so we may enter our positions on a "Micro Pullback" at the "Edges" of the micro whipsaw "channel". There is often a "micro channel" developed which may "wiggle" up and down by 2, 3, 4 pips and traders seem unable to get any "traction". NO matter which way they trade, they can't seem to "catch the trend" with enough Momentum to profit.

DEATH BY WIGGLE is the reason that most traders do not get involved with Micro Scalping, among lots of other reasons. These small "price wiggles" are by no means Random (my opinion), but we seem unable to Predict them well enough, so we just decide they are "random". After all, something is Random, until somebody comes along with a Predictor which shows that they might in fact have some Predictability, which would mean that they are not at all truly Random. So Price movements may Not be truly Random; however, we as traders are unable to Predict them so they may as well be considered Random...

MARKET MAKERS (MM) TRADE AGAINST EVERYONE in the Market. All Retail participants whether they are Small or Large, Buy mostly at the Ask or Offer price (from Market Maker) and they Sell at the Bid price (to Market Maker). So MM "absorbs" transactions from all Retail participants, and MM trades against All of these Retail participants simultaneously. This is why Resting Price is normally halfway between a Price good for Buyers and a Price good for Sellers, so neither gets any "traction" as MM "splits the difference" because MM is trading against both populations.

IN the Short Term, Market Maker "wiggles" price in such a way that the Short Term traders, the Micro Scalpers cannot consistently profit. Market Maker thus Defeats Micro Scalpers because they are unable to Predict small price movements, and so they are Defeated in general. Longer term traders fall into TWO categories. Those who went Long and wait a long time for Price to Rise, and they are Winners because the Price did rise, in this case. Those who went Short, in this case, and wait a long time for Price to Fall -- they are Losers in the population. So Market Maker cannot Defeat all Traders in the Longer term. Some will Win and some will Lose. But Short Term traders are almost entirely defeated by Price Wiggle. Death by Wiggle is what I call this process, which is the biggest challenge for an aspiring Micro Scalper.

I'll continue later with some specific approaches to reduce the effect of "Death by Wiggle" and welcome your comments, but I would prefer only if you have something "serious" to contribute...

HyperScalper

 

[mynaus]

I'm waiting for some of your concrete approaches. I dare say that for the moment I'm not convinced by your notion of pressure which seems to correspond to a sudden move of the fork of the MM. If MMs want to move the price, the shifting of their fork must last.

So, in thinking about Micro Scalping, we can see opportunities continuously throughout a trading day. However, the precise timing and correct selection of those opportunities seems impossible.

Price movements appear to be "random" or at least we can't seem to predict them with enough Accuracy to profit from movements of 2, 3, 4 ... 10 pips.

We may be able to "grab" a couple of pips, a couple of times. But then we fail with a Losing Trade which wipes out, or more than wipes out our prior Winnings.

In Micro Scalping (and I know some will disagree, guess who will disagree!...) you need a brokerage with the following characteristics:

1) a pure Bid and Ask Tick feed
2) as narrow a Spread as possible
3) the ability to semi-automate operations, such
as Order Entry actions
4) reliable Order Fills without rejections

Now, Dukascopy is nearly the ideal brokerage for this purpose because it offers an integrated API which permits "Strategy Modules" to be written, even ones with a User Interface that has Buttons with sophisticated logic, for Buying and Selling operations based upon "Trigger Criteria".

You need to know Java to take advantage of these, but there is ample help available. Or programmers can be used to write the support logic you are looking for.

CHASING THE MARKET. Most ordinary traders look for "Confirmation of a Trend" by watching the price, and then they "Chase" the market by entering in that direction hoping that Price has enough "Momentum" to move far enough for them to take a reasonable Target profit.

WHIPSAW is a very commonly understood phenomenon which every trader knows about. We enter in Trend direction but then the trend changes, Price moves against us, and we stop out. Whether Long or Short we see this phenomenon which erodes our confidence and our account equity.

MARKET MAKER has "engineered" Whipsaw behavior into price movements, and we see that all prices move in a "Saw Tooth" manner. This is due to the effect of "Micro Whipsaw" or "Micro Chasing" behavior. At the level of the smallest price movements, systems "Micro Chase" price, and they are "Micro Whipsawed" as a result of that.

AS MICRO SCALPERS we must deal with "Micro Whipsaw" and so we may enter our positions on a "Micro Pullback" at the "Edges" of the micro whipsaw "channel". There is often a "micro channel" developed which may "wiggle" up and down by 2, 3, 4 pips and traders seem unable to get any "traction". NO matter which way they trade, they can't seem to "catch the trend" with enough Momentum to profit.

DEATH BY WIGGLE is the reason that most traders do not get involved with Micro Scalping, among lots of other reasons. These small "price wiggles" are by no means Random (my opinion), but we seem unable to Predict them well enough, so we just decide they are "random". After all, something is Random, until somebody comes along with a Predictor which shows that they might in fact have some Predictability, which would mean that they are not at all truly Random. So Price movements may Not be truly Random; however, we as traders are unable to Predict them so they may as well be considered Random...

MARKET MAKERS (MM) TRADE AGAINST EVERYONE in the Market. All Retail participants whether they are Small or Large, Buy mostly at the Ask or Offer price (from Market Maker) and they Sell at the Bid price (to Market Maker). So MM "absorbs" transactions from all Retail participants, and MM trades against All of these Retail participants simultaneously. This is why Resting Price is normally halfway between a Price good for Buyers and a Price good for Sellers, so neither gets any "traction" as MM "splits the difference" because MM is trading against both populations.

IN the Short Term, Market Maker "wiggles" price in such a way that the Short Term traders, the Micro Scalpers cannot consistently profit. Market Maker thus Defeats Micro Scalpers because they are unable to Predict small price movements, and so they are Defeated in general. Longer term traders fall into TWO categories. Those who went Long and wait a long time for Price to Rise, and they are Winners because the Price did rise, in this case. Those who went Short, in this case, and wait a long time for Price to Fall -- they are Losers in the population. So Market Maker cannot Defeat all Traders in the Longer term. Some will Win and some will Lose. But Short Term traders are almost entirely defeated by Price Wiggle. Death by Wiggle is what I call this process, which is the biggest challenge for an aspiring Micro Scalper.

I'll continue later with some specific approaches to reduce the effect of "Death by Wiggle" and welcome your comments, but I would prefer only if you have something "serious" to contribute...

HyperScalper

 

[hyperscalper]

Market Bias Example more R&D results

As I continue to refine some of the measurements of Market Bias, I'm just including a screenshot to show what I'm looking for, and how it would be used in trading.

I've annotated the screen show with a Gold/Orange line hand drawn to show the constant lift in Market Bias which confirms "micro support". Average Buy price is shown and Target Average Sell price, just a bit over 2 pips, which is a "micro scalp" in a real live trade.

This may look confusing, but remember Price (Bid and Ask/Offer) is shown on the Rightmost axis, while the Market Bias Indicator is reflected on the Left axis where the zero or null point is exactly halfway down the chart, so it is an "oscillator" type of indicator around a null point.

Triggering was used to enter an aggressive Buy limit at 119.669 which received price improvement down to 119.667. Later triggering was also used to Sell where the limit was 119.693 and price improvement was received to 119.697 . Resting limit orders yield more price improvement, but even aggressive limit orders to Buy the Ask or Sell the Bid also receive some price improvement, especially if we Buy into a falling price (snap down), and Sell into a rising price (snap up). If you like the concept of "slippage" this is a positive slippage, where price improvement is in my favor on both sides of the trade, which is important for micro scalping. LMAX does not have "slippage" in the usual meaning of the word, but there are micro-latencies involved where the actual exchange price is of course different from the pricing you "see" at any given moment due to network latencies.

This is the kind of continuous indicator I'm looking for, which gives the trader confidence to hold the Long position for about 15 minutes near the end of the U.S. session when the market is "dead". This is an amazing lead time, in my opinion, and I have seen this many times. Market Conspiracy theory, anyone?

Since this is R&D work I'm just trying to clarify the principle, but I do have plenty of examples where this holds true very clearly. My focus is in USD/JPY but past experience shows it generally holds true across currency pairs, to a greater or lesser extent of course.

This links back to earlier discussions that Market Maker knows well ahead of time, and adjusts the Market Bias, shown here persistently for as long as 15 minutes, before the actual move takes place. This is the Predictive or Leading Indicator behavior which I'm looking for.

This is on LMAX Exchange, which is "noisier", but the same principle holds just as well on the Dukascopy ECN platform.

HyperScalper

 

[hyperscalper]

LMAX roundtrip Order Entry latency

So I have a custom platform, written in high performance Java and so I put in some metrics on latencies. This is just measuring from Order Submit to Order ACK Live latency round trip time to LMAX.

Now, lest you want to ridicule me, no this is not (yet) using FIX but is using the Java API which uses a web service via HTTPS over the public internet. So don't make me feel bad if you have a supercomputer over colocated fiber and you are sub-millisecond

The best time below is 68 msecs which, in the "normal world" of traders is pretty dang fast ! It's fast enough for my needs anyway. This is highly optimized Java code running on the Oracle 7 update 71 Server VM and fully concurrent.

Also, we get price improvement due to LMAX's wholesale pricing offerings, subject to instantaneous liquidity of course. There's not much of a spread on EUR/USD as you probably know.

The custom platform code runs on a dedicated Quad Xeon Centos Linux box in Germany, so times are CET but I'm setting the controls and triggering from the US via VNC control through the X Windows interface using Gnome. I'm not triggering trades manually since I can't press buttons that fast and, anyway, that would destroy the latency advantage so the code triggers the trades in almost all cases.

The > or < show price improvement from resting limit orders of size 1k. What I've found is that trolling for wholesale pricing is probably less effective than responding to "price snaps" and then striking retail on pullbacks. The reduced ping latency comes in very handy in doing that. Scroll over to the right to see the msecs values.

01-15 01:41:48.465 EURUSD BUY B<* (2.0)  wPI: 2.00 qty: 0.001m @ prc: 1.1774 ask: 1.17742 msecs: 81 LMAXoid: AAGJHQAAAAJsqGH4
01-15 01:41:54.646 EURUSD BUY B* (1.0)  wPI: 1.00 qty: 0.001m @ prc: 1.17736 ask: 1.17737 msecs: 68 LMAXoid: AAGJHQAAAAJsqGJ+
01-15 01:42:53.040 EURUSD SEL *S (1.0)  wPI: 1.00 qty: 0.001m @ prc: 1.17753 bid: 1.17752 msecs: 69 LMAXoid: AAGJHQAAAAJsqGP4
01-15 01:43:15.118 EURUSD SEL *>S (2.0)  wPI: 2.00 qty: 0.001m @ prc: 1.17756 bid: 1.17754 msecs: 70 LMAXoid: AAGJHQAAAAJsqGQZ

HyperScalper