Mégis mit tetszenek gondolni a Forex és CFD kereskedés talán azért virágzott fel az elmúlt 10 év alatt mert az emberek egyszerre kedvet kaptak devizával kereskedni? Ugyan már… Azért virágzott fel mert kockázatmentesen lehet hatalmas pénzeket leakasztani a szerencsétlen ügyfelekről, amiből simán lehet finanszírozni a csapból is folyó forex reklámokat. Ennek a sok hozzáértővel rendelkező (mint a futball) biznisznek a “szépsége”, hogy nem csak az ügyfelek, de még a szakemberek nagy többsége sem nagyon érti, hogy miként is működik a letollazás. Ez a blog és amit az Ultra FX-el csináltunk azért úttörő a hazai piacon mert nem csak megszabadítja a forex tradert a last look miatti láthatatlan és félelmetes terhektől, de felvilágosító munkát is végez. Elsőkét dobtunk követ a tudatlanság végtelen tengerébe és végre vannak követők is akik kezdik kapirgálni, hogy miről is van itt szó. Ma megjelent egy cikk az FX Week -ben ami azt részletezi, hogy akár akkora botrány forrása is lehet az amiről már eddig is eleget írtam, mint amekkora lóg a levegőben a deviza fixing manipulációjával kapcsolatban. Na de jöjjön a cikk:
Cím: Last look orders come under scrutiny
Author: Michael Watt
Source: FX Week | 11 Jul 2014
Banks engaged in “unfair liquidity provision”
Market-makers stand accused of using last look order types aggressively to dial up the profitability of their books, with some buy-side participants warning the practice deserves as much regulatory scrutiny as the allegations of benchmark manipulation.
Last look market-making allows price providers to reject orders within a short period of time if the trade is deemed unfavourable, which gives dealers a significant information advantage and damages the execution quality of customers.
“The market, especially participants on the buy side, needs to be more aware of what is going on here,” says the head of trading at a major European pension fund. “The way some sell-side providers use last look is very worrying and this behaviour could be the source of another scandal along the lines of benchmark fixing.”
The last look order type was introduced during the early days of e-FX trading, when the time taken for a bank in London and a client in Singapore to contact one another, negotiate a price and execute a trade could run to dozens of seconds or longer. As those seconds ticked by, the market could move significantly, often putting the sell-side provider at risk.
Despite technological improvements, the use of last look persists. There are concerns that sophisticated market-makers are holding on to trades for longer than necessary – several hundreds rather than dozens of milliseconds (ms) – to see if the market moves for or against their side of the trade during that time. If it moves against, the banks can use last look to reject the trade, often to the client’s disadvantage.
Such behaviour is hard to prove, but a senior e-FX trader at a large, London-based bank believes he has found compelling evidence of it, after carrying out research for a client.
“We put together a chart on the response times and order fill ratios of the 12 banks this client traded with. They were all big banks; essentially the top dozen liquidity providers in the market,” he says.
The trader found that of those 12 banks, four had average response times of less than 100ms and order fill rates of 88–98%. For another four, these figures were 250–350ms and 75%.
The trader’s suspicions of last look abuse were heightened by the data from the final four banks, which had an average latency of 450–550ms and fill rates of 50–65%.
“That basically means those dealers are using last look to throw away every single trade they don’t like. That is not about latency protection – it’s about unfair liquidity provision.”
According to the senior trader, the banks in this final set of four enjoy the highest market share with that particular client. “They can make really tight prices, but they sit on trades and throw away the ones they don’t like. If I’m a client, I’m going to think those banks are the bees’ knees because of those low prices, but they are actually providing the worst service by rejecting trades. I think there is a debate to be had about the fairness of this and regulators might get involved eventually,” he says.
The heads of e-FX trading at three other global dealer banks have also noticed such behaviour. All wished to remain anonymous and declined to point the finger at specific banks, but one indicated that at least 60% of his sell-side competitors engaged in the practice. Several other major banks either declined to comment on the topic or were unable to provide a response by press time.
The problem many participants have with the abuse of last look is not only that it leaves a lot of unfilled orders. It can also turn the market against liquidity takers in a short space of time, as banks can use the extra response time to buy the same amount of currency in the market because they know the price will go up due to interest from the buy-side client.
Without last look, many doubt e-FX trading would have grown so strongly over the last decade. There are some who believe buy-side firms should accept that if they want tight prices, they must allow banks some level of optionality over execution.
However, several trading platforms are taking steps to eliminate or restrict the use of last look on their systems. LMAX Exchange, for instance, does not allow the practice at all, and KCG Hotspot limits its last look response time to 200ms.
Some participants are pushing for a cultural shift in how buy-side clients judge the performance of their sell-side counterparties. “It’s vitally important that clients look beyond market share to judge the performance of their liquidity providers,” says Jeremy Smart, global head of electronic distribution at RBS in London.
“The quality of liquidity provided cannot be measured by the core price alone – you have to take into account the average response time and order fill ratio. It is relatively easy for somebody to provide very tight spreads if they don’t routinely have to stand behind those prices.”
(A cikk írja, hogy a “trader’s suspicions of last look abuse…” Mi tudnák olyasmiket mutatni, hogy ne csak gyanakodni kelljen :). Na de ez nem a mi feladatunk… A jó hír pedig az, hogy a magyar nyelvű olvasóim az eddigi cikkekből már most többet tudnak a deviza árfolyamokról meg ami mögötte van, mint a kint még csak gyanakvó traderek.)