This is a question that I’m throwing out to everyone to have a go at, however I’m hoping to get a concise answer. Allot of professional trading accounts limit each trade to 50Lots maximum. That’s equal to (50 x $10) = $500 per point of movement on the GBP/USD.
However, say early morning UK time, just prior to the US markets opening, what would be the maximum number of Lots available to open within a single trade; so could you open a BUY trade at 100Lots. If 100 Lots are not available at a certain price I understand that the remaining lots will be filled at the next price levels as you take them out.
My problem is trying to understand the range that 100lots will be filled. How many pips apart will the first and one hundredth lot be when all filled. Obviously this depends on the liquidity of the Forex market at that very time.
Does anyone have any examples that may clear my understanding in this area. If the range is say 10pips then that would affect even the most planned trader in setting profit limits and stop losses.
Traders who trade less that say 30lots per trade won’t have this problem, as the execution will most probably fill all 30 at the chosen price. But when wanting 100+lots I fear the issue of them being filled at varying price levels.
Is there a way to avoid this phenomenon, or at least to know what the range will be so that I could work it into a trading system of my own.
I dont want to try and test with 100lots, as this may well be an expensive test lol putting a $100,000 margin at risk.
The real question becomes, “is your account funded to handle such a transaction?” If not, don’t worry about it.
And if it is, are you prepared mentally to handle $1000.00 dollar pips?
I’ve done 10 full sized positions at a time on the euro, and watching $100 dollar pips fly by the wrong way will move you in ways you have never expected…
The overlap of the London/NY sessions offer by far the best market liquidity.
I will be very shortly able to trade these high volumes, and it’s the liquidity issue that affects me. Many different brokers of whom I have spoken to unfortunately cannot give me an answer, nor a rough answer of the number of lots available that a single price can be filled at before moving to the next price.
I would not consider myself as a Scalper, although being a day trader by profession I do average a profit limit between 30 and 40 pips.
Therefore it’s the range of pips that say 100 lots will be filled that is concerning me.
Could 100lots all be filled within 1pip or would it be far greater than that. Clearly when looking at a PL of 30pips, and a 10pip fill range, this would complicate a sound trading strategy that I’ve been using for two years.
I agree that no exact answer can be given, however is there a way to calculate a range that I can work from.
Well alright: maybe I do have a valid contribution here after all!!! LOL!!!
You probably know most of this by now (if you’re going to be trading such large volumes then I sincerely hope that you do)!!! LOL!!!
If you’re talking about market orders it would depend on your broker and what options are available to you. Your market order could get accepted and executed in its entirety at your price; you could get re-quoted and you either accept or reject the re-quote on the entire order; or you could get partial fills which is the scenario that you’re describing.
If you’re talking about limit orders: the worst possible scenario is that your order does not get executed at all; the best possible scenario is that your order is ‘slipped’ in your favour.
If you’re talking about stop orders: now here’s a potential problem of course. Remember that a stop order ‘becomes’ a market order so your stop order, which has now ‘become’ a market order, will be executed at the first AVAILABLE price which may or may not be your original order price and you will not be re-quoted (and you will therefore not have the option of accepting or rejecting the re-quote). Some brokers will allow you to specify a ‘maximum offset’ from your original order price. While this may work in your favour for entry purposes (if the order is rejected because price is outside of your specified ‘maximum offset’ then simply ‘no trade’) it could sure be a problem if it’s a stop loss order (if price is volatile or in the case of a price gap).
Regarding the possible ‘price range’ of partial fills: I cannot give you a definitive answer either. The only thing I could possibly suggest to you is to look at a broker that shows you ‘market depth’ (I use the term loosely because it’s not the same ‘market depth’ as, for example, NASDAQ Level II or Level III) such as Deltastock (and no I’m not advertising here at all i.e. it’s really the only way I can think to explain clearly what I’m saying). If you take a look at the L2 module you will be able to see the ‘best’ bid / ask prices with volume for all the pairs offered. That should give you a reasonable indication of the possible ‘price range’ of partial fills.
i think some of the broker offer market debt along the prices, so, you could have a better idea about liquidity.
of course these are ECN accounts, and probably that what you are trading as well. i know for one fxopen ECN does offer level II…
i believe that the 50 lot ceiling is mostly a thing associated with market makers, who most time take the other side, and their quote often doesnt correspond fullywith real market liquidity…of course they delay fills many time, and result requotes.
Thanks for the screen shot mater tang, and thanks to Dale for the detailed reply.
I fully understand stop and limit orders, however my trading system does not use ‘orders’ in the sence that I choose a price prior to it being hit. I only find out if a trade should be opened that exact second the price has been hit, and so cant choose the price in advance. Once the price is hit, i want that price to execute my desired Lots.
You may well have figured out by the way I am talking that I have always used spread betting, and hence you either buy or sell once the market price is obtained. The issue is that im outgrowing the limitations of my provider, and now need to move onto a provider with a bigger scope. Clearly as you progress up the trading ladder the providers change from £’s per point to Lots.
I guess the only way to find out for sure is to wait untill im able to hit these volumes and see exactly what happens. Pro Spreads is one provider im looking at at this moment in time.
Obviously you know what you’re doing and that’s great (you’d be surprised at just how many traders don’t understand the order ‘process’ and the ‘arguments’ that can result from this).
I do seem to remember seeing / hearing about / reading about a broker that ‘guarantees’ fills and stops FOR A PREMUIM (of course) on each side of the trade but ‘for the life of me’ I cannot remember which broker it was (if I remember I’ll post). Of course: if you’re ‘shooting’ for only a few pips per trade then any ‘premium’ or additional charges could be ‘material’ to each trade.
I think my next step is to select a few brokers of whom meet my criteria and arrange a face to face meeting with there sales / dealing desk team to discuss my concerns and limitations.
Like anyone in my situation, i’d hate to have lost my hard work due to a lack of research. Its a real shame that there are so many false providers out to get you!!
Why don’t you diversify, and play smaller lots across a few more pairs?
That way, you can assure yourself your order will most likely filled entirely at the desired entry price, and you can get the overflow lot sizes on another trade.
Aww… now thats what my origonal line of thinking was too. However, and as stange as this may sound, my trading system (i hate the term ‘system’) has the best results on the GBP/USD. You may well be thinking why, and thats a question that i’ve been pondering for the past 16months too. Ive spent hundreds of hours backtesting on AUD/USD and EUR/USD and cant seem to get the same results.
Unfortunatly, as spread betting goes, its not exactly a craze that each man and his dog is into. So trying to speak to an educated person face to face becomes some what of a limit.
The results I have gained from using the GBP/USD are at best crazy, however, obtaining these results consistantly for 25months illustrates that It cant be luck. Luck is what i thought it was at first. Hence the reason why I started the origonal thread of trading high volumes.
In a strange way I guess i’m a young trader, i’m 22 right now, and I want nothing more then to explain fully my system. I want to better understand why what im doing is working, no matter what the economic climate. The law of averages shows that over two years of intra day trading luck has averaged out to produce a sound system.
Using a month on month result table, i’ve never lost more than 50% of the time. My best month was a win ratio 90%. 18 out of 20 trades won with a risk reward ratio of 1:1.
In a way I would like it to fail at some point, so that I can learn a floor in the system.
Ive looked at crosses on the USD and GBP and cant obtain the same level of results, dont get me wrong, they are winning results, but not as high as GBP/USD.
Id rather concentrate on the single currency pair to keep my knowledge fresh and up to date.
This morning was a winning morning too, so all is not failing me yet, lol.
Have you talked to a bank? If you’re talking doing trades in the multi-million size then you’re really getting beyond the scope of what most retail brokers are set up to handle, especially for short-term trading. You could get better pricing going with a bank instead.
Banks are thought, but thats about it in terms of costing. Ive looked into it, and I admit that thats as far as its gone. The comission charges are far greater when converting these into the usual retail ‘Spread’ that ive been used too.
Knowing where to move to after a retail broker is becoming a concern, and perhaps something to look into.
Although if im honist, i like the NDD retail broker im with, and have built up a nice relationship.
But as you have pointed out, the question is now ‘where to move to after the retail broker’.
A bigger broker? Which one is largest brokerage Co. w-wide, Alpari or Oanda? Then IBfx third si it? Im figuring the larger their cap liquidity (or something) the better placed they are in the market for filling orders. Its still retail and one may overgrow that too…,lol
Which brokerage is owned by big bank, guess its even better that way, wonder what Soros does.
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On further thought maybe one could register as a company, somewhat same rights as a hedgefund or small bank, and just maybe the Fed could become your clearing house or similar scenario. Would like to hear.
