Large size trade gets more slippage? - page 2
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within MT5, you can see the orderdepth which includes the available liquidity at each price. Depending on your broker, the liquidity will be different. In normal cases, the best bid and ask only offer 1 Lot and the next level up or down of 1 pipette can be 5 lots.
Unfortunately in Forex, you broker normally doesn't allow interaction of real buy limits or sell limits and these orders will execute as a market order when price reaches that limit order price. Trade at futures is recommended.
What I'm trying to understand is if 20 orders of 0.1 lots at the same price is the same of 1 single order of 2 lots at that price...
What I'm trying to understand is if 20 orders of 0.1 lots at the same price is the same of 1 single order of 2 lots at that price...
With 20 orders of 0.1 lot, you risk to be filled at different time (in ms) and price, since they are not 1 order, but 20.
Your 20 orders will reach the liquidity provider of your broker along with many orders from other clients, so chances are that they won't be filled in a row (one after the other) and at exactly the same price.
The same goes the other way.
Your 1 large order could be matched with whatever lot size counter parties (which may not be all the exact same price).
It will largely depend on the matching algorythm. For forex this means your broker.
For central exchange like CME the matching algo's are public on the website.
I post here two interesting posts of another site:
At the top of the book most brokers have only 1-2 mil (10-20 lots). So if you trade above 10 lots you'll almost certainly be slipped at least 0.1 pips. The first 10 levels of book depth have around 25 mil (on EUR/USD), so you can fill 250 lots with 1-1.5 pips of slippage if you send a market order.
I regularly trade 100 lot positions, and I fill them in multiple clicks, 5 or 10 lots at a time, with around 1 sec between clicks. I also use slippage protection (it's called Maximum Deviation in MT4). But I don't trade through MT4, I have my custom front-end connected through FIX to the broker.
And also:
I think Adal answered your 2nd question quite well and I agree. When putting on large positions I would break them up into multiple orders and not exceed 5 lots a clip, this can be increased to 10 or even (maximum) 20 lots for the most liquid pairs during times of higher volume, for example during the London / NY session overlap
So it seems that is true the opposite thing: splitting orders provide a better execution.I post here an interesting post of another site:
At the top of the book most brokers have only 1-2 mil (10-20 lots). So if you trade above 10 lots you'll almost certainly be slipped at least 0.1 pips. The first 10 levels of book depth have around 25 mil (on EUR/USD), so you can fill 250 lots with 1-1.5 pips of slippage if you send a market order.
I regularly trade 100 lot positions, and I fill them in multiple clicks, 5 or 10 lots at a time, with around 1 sec between clicks. I also use slippage protection (it's called Maximum Deviation in MT4). But I don't trade through MT4, I have my custom front-end connected through FIX to the broker.
And also:
I think Adal answered your 2nd question quite well and I agree. When putting on large positions I would break them up into multiple orders and not exceed 5 lots a clip, this can be increased to 10 or even (maximum) 20 lots for the most liquid pairs during times of higher volume, for example during the London / NY session overlap
So it seems that is true the opposite thing: splitting orders provide a better execution.If you are talking about 10 0.20 lot order versus a 2.0 lot one, this is not true.
If you are talking about 10 20 lot orders versus a 200 lot one, maybe you are right.
I am talking from actual experience on large orders and the forex market, not theoretically. All depends on the broker of course and the liquidity provider it uses.
Size matters in trading.