-
The Regression
We have a problem. A good ol’ fashioned ringbuffer getting full and dropping messages problem. Brilliant, this is definitely what one wants to happen in their Itch market data feed in a production environment. You know, the delta stream where we broadcast every price change and trade to clients? The one where they expect low […]
-
Adventures with LVM snapshots
At LMAX Exchange we use LVM for snapshotting volumes for two use cases 1. Take a snapshot of a slave database so it can catch up quickly while the work happens on the snapshotted volume. 2. Backups in case we need to roll back. Every now and then in our CI environment as we soak […]
-
LMAX Exchange committed to FX Global Code of Conduct
The launch of the first ever FX Global Code of conduct is now upon us and I sincerely hope the market adopts it wholeheartedly and strives to improve on it in the months and years ahead.
Specifically we expect that Principle 17 will be enhanced. It currently states trading activity in the last look window as ‘likely inconsistent’ with good market practice – we hope it will made inconsistent with good market practice in short order.
Video commentary by David Mercer, LMAX Exchange CEO
Guy Debelle should be congratulated for overseeing the birth of the code over the past 2 years and now the industry needs to follow the path of transparency highlighted throughout the Code to rebuild trust in our great FX market.
-
LMAX Exchange committed to FX Global Code of Conduct
-
TCA and fair Execution: The metrics that the FX industry must use
$48/m – price improvement – an advantage of trading on firm liquidity
$25/m the cost of last look hold time at 100ms;
$15/m the cost of hold time at only 10ms
Video commentary by David Mercer, LMAX Exchange CEO
You want more numbers:
Hold time costs measured at up to $336/m
ZERO price improvement on ‘last look’ feeds
Fill rates increased by 7% at no net cost to the customer from 92% to 99% fills by trading improvement for fill rate -
TCA and fair Execution: The metrics that the FX industry must use
457
-
LMAX Exchange CEO, David Mercer, introducing new white paper on execution quality & effective TCA
Today we launched our new whitepaper: ‘TCA and fair execution: The metrics that the FX industry must use’
The aim is simply to propose a blueprint for FX TCA metrics that can equip ALL clients, with an effective evaluation of their trading costs and quality of execution.
AND? of course, the data analysed, does highlight the differences between trading on firm and last look liquidity.
Video commentary by David Mercer, LMAX Exchange CEO
-
LMAX Exchange CEO, David Mercer, introducing new white paper on execution quality & effective TCA
457
-
It’s all about the Spread……… or is it?
This year at LMAX Exchange we asked our world leading Liquidity Providers to create an even tighter top of the book stream for our brokerage clients.
Averaging 0.14 this month our spreads are the tightest they’ve ever been and arguably the most competitive on the street.
BUT – we also agree with those that say – Tight Spreads – so what?
Video commentary by David Mercer, LMAX Exchange CEO
-
It’s all about the Spread……… or is it?
410
TCA and fair execution.
The metrics that
the FX industry must use.
DOWNLOAD
