Snapshots of quotes or how slippage happens
Trading in ECN – это новое веяние услуги, которые предлагают различные компании, ДЦ и брокеры. В ней много различных плюсов для трейдера, однако иногда возникают заминки, связанные с исполнением ордеров по цене, которой вроде бы и не было в терминале. Причиной тому — snapshots of quotes.
So, in ECN the quotes are in snapshots. Snapshot — это срез рынка, котировки системы в определенный момент времени. Например, контрагент шлет котировки 100 раз в секунду, а брокер показывает всего раз в секунду, вот quotes per second show - this is the snapshot.
Many quotes that came from the counterparty between the two snapshots do not get into the system. In terms of potatoes, here is the following story: a seller at the market sells potatoes for 10 rubles in the morning, 11 rubles in the afternoon, and 12 rubles in the evening. The broker snapshots in the morning and evening, so he only shows the prices of 10 and 12 rubles. As you can see, the daytime price is different, but the broker did not show it to you. Although, even if you see it, not the fact that you can buy at it, because the sales volume of potatoes at this price is limited, and you are not the only buyer - there may not be enough for everyone.
There is an opinion (quote from the forum):
Anyway, it seems to me, in the personal cabinet of the company should be displayed ALL quotes that came from the counterparty: and at 10 p, and 11 p, and 12 p. Otherwise, what is the point in an incomplete archive of quotes? After all, if the day the seller was running out of potatoes, for example (later still have to bring), then the day he last bucket sold at 14 p., and we have not seen it in the snapshot. And the next day, saying: "And how do I have potatoes at 14 p.? In the morning it was 10 p, in the evening at 12 p, and where did 14 p? Therefore, in the LC should be all quotations, to show: "And the last bucket at 14 p was, that's what you bought.
On the one hand the desire is understandable, but on the other hand, alas, impossible. For example, in our company (the company GKFX - editor's note) at the last "peyrolach"There was a specific case: the system received 70,000 quotes per minute. Immediately we have a very large amount of hard disk space on the server. Such flow of quotes takes gigabytes of memory per minute, no archives would be enough. And imagine, even if we manage to store it, how can we deal with it?
Рекомендация тут может быть только одна — Try different companies. If it often happens that you ask a company to buy potatoes for 10 p, and they sell them to you for 14 p, then look for another where this happens less often.
However, don't forget one subtle point - we all know that there are companies that do not take trades to counterparties or to the interbank market. By spinning them inside their financial system and not depending on the flow of third-party quotes, they can "not slide" at all, showing the quality of work, until, however, you start earning. That's why no slippage - is not an unambiguous argument in favor of the company, but the rare slippage in profitable trading, in most cases, is an indication that the company is working on a brokerage scheme and is interested in your profits.