LMAX Depth of Market

Questions about MultiCharts and user contributed studies.
Nick
Posts: 496
Joined: 04 Aug 2006
Has thanked: 4 times
Been thanked: 24 times

LMAX Depth of Market

Postby Nick » 06 Jul 2016

I just opened an LMAX demo account and like what I see. I plan on funding it shortly.

One problem I am having is that I am only getting the inside market (best bid, best offer) in the DOM. There is a video on youtube that shows full depth with multicharts but as it is October 2011 I suspect it might be MCFX.

Did something get left out in the port from MCFX to MC? Or do I need to get something turned on?

I also notice that if the best bid/ask is hit for the full amount nothing shows on the dom where the bid or ask was until another trade goes off.

As an aside is the volume field coming from the LMAX exchange or being calculated by MC from bid/ask tick changes?

Thanks.
Nick

User avatar
Henry MultiСharts
Posts: 9165
Joined: 25 Aug 2011
Has thanked: 1264 times
Been thanked: 2957 times

Re: LMAX Depth of Market

Postby Henry MultiСharts » 06 Jul 2016

I just opened an LMAX demo account and like what I see. I plan on funding it shortly.

One problem I am having is that I am only getting the inside market (best bid, best offer) in the DOM. There is a video on youtube that shows full depth with multicharts but as it is October 2011 I suspect it might be MCFX.

Did something get left out in the port from MCFX to MC? Or do I need to get something turned on?

I also notice that if the best bid/ask is hit for the full amount nothing shows on the dom where the bid or ask was until another trade goes off.
Hello Nick,

By default LMAX provides only the best bid/ask to reduce the load on its servers. You need to contact LMAX directly to have the required number of DOM levels enabled for your account.
As an aside is the volume field coming from the LMAX exchange or being calculated by MC from bid/ask tick changes?
The volume values are coming from LMAX directly.

Nick
Posts: 496
Joined: 04 Aug 2006
Has thanked: 4 times
Been thanked: 24 times

Re: LMAX Depth of Market

Postby Nick » 07 Jul 2016

Hi Henry,

Thanks. It is quite expensive for there full order book so I'll probably skip that for now. That does highlight a problem though.

If the best bid or best ask gets hit with a market order that is the same size or larger it disappears from Multicharts (as you would expect), however I do not get a new best bid best/ best ask. It will eventually refresh presumably when a new bbid bask event occurs. Essentially this can leave you for several seconds without a live price to trade from.

I suspect that this is an LMAX issue. Could you perhaps check if that is the case and if so log this problem with them? I guess you guys have a relationship with there API team. Basically whenever any event in the order book removes the current best bid /best ask a new best bid best ask needs transmitting immediately.

Thanks,
Nick

User avatar
Henry MultiСharts
Posts: 9165
Joined: 25 Aug 2011
Has thanked: 1264 times
Been thanked: 2957 times

Re: LMAX Depth of Market

Postby Henry MultiСharts » 14 Jul 2016

Hello Nick,

That is expected for the demo connection. There is no such issue with the live connection.


Return to “MultiCharts”