Market Orders Question

[dargente]

Hi i am trading on a simulated account otherwise i would be able to figure this out in a funded account, but my question is regarding the recording of ticks on new pending orders.

Trading EURUSD : Forex

i have no current pending orders.
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Scenario #1:

BID 1.39395 10,000,000 | ASK 1.39405 10,000,000

If i place a new bid with 5,000,000 quantity at 1.39405, what happens next in the Time and Sales; will the bid rise to 1.39405 before getting executed?

RESULT A) BID 1.39405 5,000,000 ASK 1.39405 10,000,00

OR, will the very next tick in the Time and Sales show the following:

RESULT B) BID 1.39395 10,000,000 ASK 1.39405 5,000,000
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Scenario #2:

BID 1.4049 10,000,000 | ASK 1.4050 10,000,000

Similar question as scenario #1 but just for clarification using slightly different example.
Lets say i put in a bid of 2,000,000 quantity at 1.4051. What happens?

RESULT A) BID 1.4051 2,000,000 ASK 1.4050 10,000,00

There is arbitrage above, is it allowed to happen in this particular market?
OR, will the very next tick in the Time and Sales show the following:

RESULT B) BID 1.4049 10,000,000 ASK 1.4050 8,000,000
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Scenario #3:

BID 1.4100 10,000,000 | ASK 1.4101 10,000,000

If i place a buy at market order for 3,000,000 quantity, what does the very next tick show? Similar to the question above, does the bid rise to 1.4101, or is just 3M taken out immediately?
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Trying to gain insight here on how the Time and Sales is recorded in the Forex market. If the market data source makes a difference, I am using IB. Please do not provide any assumptions, but rather only respond if you are 100% certain of the outcomes based on experience.

Thanks

[NinjaTrader_Chip]

Hello dargente,

Thank you for your post.

It is important to note that when trading Forex the Time & Sales data will only be relevant for the broker you are connected to.

In scenario 1 the placing of an order will not be recorded in the Time & Sales window. If you are connected to an ECN Forex broker then your order would be represented. If were then executed the this transaction would be recorded in the Time & Sales window.

In scenario 2 arbitrage is not likely since your limit order would receive at least a partial fill of 2mln & then yours would be the best bid.

In scenario 3 it would be the same as 2 – your 3mln would be filled at 1,4101.

[dargente]

thanks for the quick reply Chip, but are you 100% sure about this?

"the placing of an order will not be recorded in the Time & Sales window. If you are connected to an ECN Forex broker then your order would be represented. If were then executed the this transaction would be recorded in the Time & Sales window."


Every new tick, whether it be price or volume is part of the time and sales, but are you saying that we can see executions as well? this is news to me. can you tell me how to get that data in forex?

thanks

[NinjaTrader_Jason]

Hello dargente,

Yes, orders submitted to the sim101 account will not be reflected in the Time and Sales window, since the Time and Sales window will display live data from the exchange. The sim order is not routed to any exchange, but remains internal in NinjaTrader.

The Time and Sales window displays all executions that occur. You can select a forex instrument in the Time and Sales window by right clicking the window and select 'Instruments'-->'Select'. Subsequently select a forex instrument to load it in the Time and Sales window.

[dargente]

ok now i see why you are coming with the sim/live account stuff. i guess i misunderstood what Chip meant. you are saying the same as Chip regarding "executions" in the forex market. First, ninjatrader time and sales window doesn't properly represent historical data. on every new tick the bid quantity is recorded as the volume traded.

my questions are geared more towards the placement of bid, ask and market orders and how they would be treated. i think i am in the wrong place to ask these questions, but was hoping a forex trader would be able to answer them.

also, maybe it is my misunderstanding, but as far as i know it we cannot see executions or trades in the forex datafeed; we can only see new bid price or volume, and new ask price or volume. is this correct, and possibly it may depend on the datafeed source - so please let me know which source you are using which provides a feed to see forex volume traded.


protected override void OnMarketData(MarketDataEventArgs e)
{
// Print some data to the Output window
if (e.MarketDataType == MarketDataType.Last)
Print("Last = " + e.Price + " " + e.Volume);
else if (e.MarketDataType == MarketDataType.Ask)
Print("Ask = " + e.Price + " " + e.Volume);
else if (e.MarketDataType == MarketDataType.Bid)
Print("Bid = " + e.Price + " " + e.Volume);
}






if (e.MarketDataType == MarketDataType.Last)




this will give the same as what the [Ninja Trader] time and sales gives, no executions, just the last bid price and quantity (not price executions or volume traded) - for forex data.

[NinjaTrader_Brett]

Hello,

Yes this is more trading advice we would be unable to answer. However I will leave this open for another trader to answer if they would like to.

Educational partners:

http://www.ninjatrader.com/webnew/partners_onlinetrading_education.htm

Let me know if I can be of further assistance.