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I'm looking for a forex brokerage that allows me to:

  • add limit orders to the order book and
  • trade against other clients

    However, when I look at the looks of fxcm, alpari, robofx, ... it appears all that they do is:

1) take my order (only as a market order)

2) take the prime they get from their liquidity

3) add 1 pip on it on either direction

4) process my order

Ideally, I'd like to be able to place orders to trade against other clients on the same brokerage/ECN.

Is there any brokers that let me do this?

Thanks!

(I'm looking for the smallest brokerage that'll let me test some algorithms before I get eaten alive by the teams of Stats PhDs, CS PhDs, and FPGA-weilding PhDs).

Bonus points if it supports the FIX protocol.

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No personal experience with it, but how about LMAX? –  emsfeld Dec 5 '12 at 12:38
    
What do you mean by trade against other clients? The broker has to take the other side of your trade in forex, at least initially, until they can fill an opposing order. That's how I understand it. –  grayQuant Feb 13 '13 at 4:10
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2 Answers 2

I have recently been looking for the same type of broker. This link gives a list of brokers with the minimum deposit required and commission charged. It also gives a concise helpful descriptions of NDD, STP, ECN (right at the bottom).

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You did not give an indication of how much you intend to fund your "operations" with thus disregarding this, I can recommend the following from personal experience:

  • Interactive Brokers (Excellent fx executions/fills, zero to extremely manageable slippage, highly competitive spreads and commission structure for what you get, FIX protocol, ECN based business model. Minus: Snapshot data, no true tick based data. )

  • Lmax (one of the best APIs I have seen and interesting business model, ECN)

  • FXAll (superior executions and liquidity, tight spreads, manageable commission structures, FIX connectivity, ECN

  • DukasCopy (pretty well established Swiss broker, tight spreads, ok liquidity,FIX connectivity, ECN based business model)

Caveat: It all depends on how much size you intend to trade (not all brokers/ECNs offer equally superior liquidity), which pairs you want to trade (not everyone offers competitive emerging market currency executions), what exact connectivity you seek, and even more importantly what trade frequency you target (= whether you want to be co-located or not).

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I tested IB once and you can test their API without funding your account, it works with past data I think. You can test your custom algos and do almost the same as with a real account. At the time it was the best option I could find. –  JordanBelf Dec 6 '12 at 1:51
    
@JordanBelf, not entirely correct, you can access a "test account" without funding any account, however, the data is unusable for any algo testing purposes. You can hardly do anything that comes close to a real account. Yes, you can submit orders and get fills but thats it, everything else is fictitious. However, once funding an account you can request a "paper trading account" which is based on your real-time market subscriptions and behaves a lot more like a real account, barring of course market internals such as queue priority, slippage, ... –  Matt Wolf Dec 6 '12 at 2:45
    
actually you are right, thinking about it I recall now that the beta test with real data was from a NT provider for a limited time. –  JordanBelf Dec 7 '12 at 18:37
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