[Trader's Handbook] Draft articles, "out of pocket" discussions - page 33

[GaryKa]

1. New material to repost.

2. The arbitrageurs.ru forum with interesting posts, to which the guidebook had many cross-references, has long since been lost. The trailer shows what I was able to pull from Google's cache.

[Iurii Starovoitov]

sergeev:

How to read a libretto. 100% right

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Forum on trading, automated trading systems and trading strategy testing

Trader's Guide: Orders, Prices, Deposits, Funds, Currencies

Michael, 2015.04.30 22:09

Dear o_O!

You probably don't trade on FORTS, that's why you have such an idea about the execution of

Of limit orders on FORTS.

You have not written it correctly!

On FORTS the Last price is indicative and all orders

are executed ONLY at prices from the Depth of Market(not necessarily Ask or Bid).

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as can be seen in the content - section on trading

Limit order execution in futures and forex *

taken from the source

http://www.brokerfib.ru/orders3.htm

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Vasiliy Sokolov: Уловки маркетмейкеров - краткосрочные провалы ликвидности

On some instruments, market makers can provide additional liquidity as required by the exchange. A market maker is required to hold a certain volume of limit sell or buy orders in return for lower commissions. However, the exchange does not regulate how a market maker must hold these orders. Market makers sometimes take advantage of that by equipping their algorithms with special tricks. One of such tricks is as follows: a market maker places a limit order to sell or buy, and then starts to shift it to a worse position and back at certain intervals (for example every 500 milliseconds). Since market makers operate in markets which are not sufficiently liquid, their limit orders are still the best to execute. A trader looking to buy or sell in a market asks for the best price. Once the liquidity is there, the trader executes the trade but by the time the trade is executed, the market maker will have time to move the order to a worse price and execute the trader with a significant slippage, the flip side of which is the increased profit of the market maker. The screenshot below shows this algorithm in action:

It is noteworthy that this picture is difficult to see from trading platforms that do not support displaying Ask and Bid history on the chart. The calculation is based on this: a manual trader may notice short-term dips in liquidity and buy or sell on the market thinking that it will execute at a completely different price.

Forum on trading, automated trading systems and testing trading strategies

Trader's guide: orders, prices, stack, funds, currencies

fxsaber, 2016.10.17 10:01

When trading low-liquid instruments on the exchange, it is always advantageous to do so with your limit orders. You put a large volume inside the spread, and with a small volume inside the new spread you lure (move the price nicely).

However, with the help of the indicator I did not detect such manipulations.

Perhaps there is a lack of scale or display more trades.

Ticks indicator

[fxsaber]

Возможно, не хватает масштаба или отображения еще и сделок.

The scale of any (interactive) ZoomPrice is now visible.

I have seen a very revealing long price manipulation on ECN/STP

During 45 minutes (still ongoing) with a wide STP spread on EURNOK, BuyLimit was put inwards with a slow pull up. This produced an even rise in the bid bars (MT5).

Such manipulation is usually used for reengineering of the TS. I.e. a necessary historical pattern is obtained and the programmer sees how someone's TS reacts to it. This reveals what the TS is and is not dependent on.

And this is how the same spot looks like on an STP.

Everything is "OK" with the bars. Obviously, if the TS is guided by the bar history, then it would behave quite differently for these different venues. This is an indicative stone to the 99% of TCs whose logic is based solely on the history of Bid-bars.

[fxsaber]

fxsaber:

Saw a very revealing long price manipulation on ECN/STP

During 45 minutes (still ongoing) with a wide overnight STP spread on EURNOK, BuyLimit was put inwards with a slow pull up. This produced an even rise in the bid bars (MT5).

This is how disturbing the end of the manipulation looks

It looks like a news reaction. But in fact just BuyLimit poured in and the bid price (and after it the bid-bars) came sharply to STP-bid-value.

The same piece on the STP broker

looks much more innocuous.

[Sergey Vradiy]

Limit orders are executed using the FIX (Financial Information Exchange) protocol. It allows for two types of order execution: FOK and IOC. FOK (Fill Or Kill) requires full execution at a given price if an offer is received from the liquidity provider that matches the price and volume. Orders should not be filled otherwise. IOC (Immediate Or Cancel) allows both full or partial executions at a given price after which the remainder of the order can be filled at a different price. Therefore slippage is usually present on the real market. Moreover, the lack of slippage usually means the "kitchen" methods of a forex dealer.

[Sergey Vradiy]

For convenience, it would be better to do something like a dictionary, i.e. sort the keywords alphabetically, otherwise when there are many topics, it will be hard to find the right one.