LMAX connection with Multicharts - please check it before you trade

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michal
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LMAX connection with Multicharts - please check it before you trade

Postby michal » 06 Sep 2018

I decided to post it here because there is no place on the web this is mentioned. I've been trying to connect Lmax datafeed to Multicharts and I had lots of problems with it for the last 2 months. I've done multiple phone calls with Lmax, virtual desktop sessions with Multicharts support, countless emails. The problem is Lmax connection doesn't work properly on Multicharts.

1) On the Daily timeframe gaps appear, disappear and reappear randomly. The workaround that Henry did was to switch off Data Caching and "Collect RT Data w/o plotting" should be set to off. Lmax HLOC values are not cached correctly on default for whatever reason.

2) Daily HLOC values taken from Lmax for NZD pairs are incorrect and unreliable. This is important if you trade kiwi. The reason is that NZD pairs are the only FX products in LMAX that have different time of swaps. For regular pairs swaps are calculated at 22.00/London, for NZD pairs it's 18.00/London. So on the server side the files with daily candles are 'cut off' at 18.00 and new files are created. Normally there are 5 sessions a week from 22:05 to 22:00 but for NZD pairs the 'cut off' time causes one of the sessions to become longer that 24h and Multicharts can't support it. It causes incorrect assignment of price to different days and weird gaps on daily data. The workaround that works for me is to build the daily data for NZD from minutes and not use default daily HLOC values from LMAX connection. Pairs other than NZD are not affected by this problem as far as I know.

I feel that no one felt responsible to mention this issue publicly on the internet but as far as I know LMAX has been aware of this problem for a couple of years. I think this is very important piece of information for those who use Lmax connection and it should be publicly available.

Also please test everything on your side before you start trading live. I tested it just on 1 computer.

Tartalognion
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Re: LMAX connection with Multicharts - please check it before you trade

Postby Tartalognion » 06 Sep 2018

Hello Michal,

Could you give us a detailed example for 1). So far, I haven't noticed any gap in EUR/USD or GBP/USD.
But, I've created an indicator which calculates the number of trades during a specific period (10 secondes here), and I noticed some weird counts from time to time, with an explosion of the number of trades during certain times without anything explaining it... No economic data, no speech...

Have a look at the picture attached.

regards
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EURUSD Quotes.jpg
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michal
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Re: LMAX connection with Multicharts - please check it before you trade

Postby michal » 06 Sep 2018

I had multiple problems with gaps but I don't have any screenshots saved. Check chf and nzd pairs.

I have no idea what might have caused such spikes but Lmax has low turnover compared to the whole forex market so maybe it's some hedge funds whose algos try to split one bigger position into multiple smaller transactions. Many institutions trade long term on the weekly chart, I imagine that they enter the market in some random moments during the day and just switch on some ready-made algo that splits and randomizes entry and exit.

Tartalognion
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Re: LMAX connection with Multicharts - please check it before you trade

Postby Tartalognion » 06 Sep 2018

Hi Michal,

I don't know where you got the information that LMAX has got a low turnover???
Talking about FX, their daily volume was 14.4 bn $ last june.

Yes it is the lowest ranking among ECNs, but compared with retail brokers it would place them in 4th position ex aequo with Plus500...

Ahead there's only IG Group 24.4), IC Markets (18.4) and Saxo Bank (17,8).

Gain Capital (10,5), FXCM (9,2), Interactive Brokers (7,0) Oanda (5,9) are behind....

I've created an indicator counting the ticks, and I see a HUGE difference between LMAX and Oanda, for example...

For what it's worth...

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michal
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Re: LMAX connection with Multicharts - please check it before you trade

Postby michal » 07 Sep 2018

I was just saying that because all Fx brokers you mentioned combined are a small portion of the whole Forex market.

Tartalognion
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Re: LMAX connection with Multicharts - please check it before you trade

Postby Tartalognion » 07 Sep 2018

Hi Michal,

The whole FX retail industry represents a daily volume of 369.3 bn $/day on average...
And as you mentioned may be the unusual peaks we can see on my chart are in fact, true trades from an algo order, like a TWAP or VWAP or a more sophisticated one... because LMAX is an ECN.


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