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FX Futures vs Spot FX and Interactive Brokers
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FX Futures vs Spot FX and Interactive Brokers

  #11 (permalink)
Elite Member
Bangkok, Thailand
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Ninja Trader Brokerage/Continuum
Favorite Futures: ES
 
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Posts: 44 since Nov 2010
Thanks: 170 given, 43 received

There is nothing wrong with ninjatrader ... I actually like it alot
I will continue to use NT for charting and place my trades on the currenex platform. The problem is to find a good broker who supports NT AND offers low commission and decent spreads. I was quite happy with PFG but we all know what happened to them

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  #12 (permalink)
Market Wizard
Houston, TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 2,110 since Dec 2013
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bnichols View Post
I've used IB for FX for a few years now, mostly because I have other accounts with IB and wanted to dabble in FX. I trade spot EUR/USD exclusively, don't trade 6e at the moment but keep a chart open to compare with spot--nice to have access to futures via IB. I have no experience with other FX brokers so can't compare, but 2 of my sons do (Gain and FXCM) and the differences seem to be a matter of personal preference.

My experience with IB has been positive, given that I don't know what I may be missing with other brokers and that there are a few issues that bother some people. For example,

- IB's FX data is sampled (5 or 10 per second) rather than raw ticks but this doesn't affect what I do. Probably as a consequence the feed does not drop due to excessive load during events when the market gets busy as I've heard it might with other brokers.
- IB resets/reboots its servers typically between 11 PM and midnight EST every day. The impact on your 3rd party trading platform will vary but the reboot typically causes the standalone IB platform (TWS) to lose the connection, whereupon it will try to reconnect repeatedly until successful (can take minutes to hours in rare cases). Not sure what goes on between TWS and 3rd party platforms attached via the API during this time but Multicharts may need to be restarted to restore connectivity and in my experience the event will result in NinjaTrader database corruption more often than not.
- They do not officially offer historical tick data but Multicharts request and apparently receives tick data and manages to backfill tick charts one way or another (whereas NT apparently cannot).
- IB paces fulfillment of historical data requests according to strict rules (which I have yet to fathom), meaning the bandwidth is throttled and backfilling can take forever sometimes
- Resolution (tick size) for EUR/USD is 0.5 pips and spread is typically the same during peak hours. Pairs that are less frequently traded tend to have wider spreads.
- Commission based ($0.00002 per unit traded per order), minimum $2.50, meaning round trip will cost a minimum of $5.00
- Instead of lots (e.g., 100,000 units / standard lot) IB uses order dollar amount. No maximum but minimum is $25,000 to $30,000 after leverage depending on your nationality (e.g., for EUR/USD right now minimum order about 30,000 / 1.2950 ~ 24000 units)
- Leverage is relatively low (< 30 x) compared to brokers who cater to smaller accounts (100 - 400 x) and who typically allow mini-lots (10,000 units)
- While there is a mostly undocumented kludge to get around it TWS wants to shut down every day. The shut down time is configurable and during the trading week I simply bump the time back and forth manually (e.g., between 11 AM and 11 PM) to force TWS to stay active with no apparent consequences. If you lose track of the time unfortunately you lose data and will need to backfill.

Sorry to post this in multiple places but there seem to be several threads discussing this issue, so in case people search and find the posts I'm posting the same reply in multiple (2or3) threads.

I don't trade FX but I've been researching it recently. One of the things that surprised me is everybody's fascination with bid/ask spreads and none of the other costs. Specifically the unseen cost there can be when trading Forex if you hold positions at all.

Last time I did this analysis the 6E Z/H futures roll was flat which is what you would expect given the interest rate parity. If you put this position on in Forex at Interactive Brokers though – somebody who advertises a lot about how great their bid/offers are, they are going to charge you a financing cost of 1.627% to buy USD-EUR and also a financing cost of 1.59% to sell it! (For positions less than $100k for large positions >$200M they still charge 0.59% and 0.62% respectively). Yes they charge you a financing cost whether you buy or sell it! Oanda on the other hand will charge you 0.325% to buy, and nothing to sell.

On some of the more exotic currencies, the bid/offer on the carry charge at Interactive can be as much as 5% (Czech/Danish/Israeli etc). If your holding a position for days or even weeks, the difference in those financing costs far outweigh a tiny difference in bid/ask or commission.

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  #13 (permalink)
Elite Member
Los Angeles, California Republic
 
Futures Experience: Intermediate
Platform: Sierra Chart
Favorite Futures: ES, Mongolian Horse Futures
 
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Posts: 1,456 since Jan 2011
Thanks: 1,009 given, 2,238 received



bnichols View Post
- They do not officially offer historical tick data but Multicharts request and apparently receives tick data and manages to backfill tick charts one way or another (whereas NT apparently cannot).

I only saw this for the first time now. Is this still true? I really would love to be able to do this.

Know The Rules Well So You Can Break Them Effectively
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  #14 (permalink)
Elite Member
Los Angeles, California Republic
 
Futures Experience: Intermediate
Platform: Sierra Chart
Favorite Futures: ES, Mongolian Horse Futures
 
srgtroy's Avatar
 
Posts: 1,456 since Jan 2011
Thanks: 1,009 given, 2,238 received

@bnichols

Since reading about Multicharts ability to download historical tick data from IB, I have looked into it somewhat extensively, including taking a look at the TWS API. I was mystified why MultiCharts seemed to be the only charting package that could download historical tick data from IB, when even the IB API did not offer a way to retrieve historical tick data. I now see that buried deep in the MC QuoteManager settings for the InteractiveBrokers datafeed is a checked setting that substitutes one second data for tick data. So I do not believe you are actually getting historical tick data. I'm pretty sure you are getting second bars.

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