How does Depth of Market affect your FX transactional cost
- 1. ADVANCED MARKETS PURIFYING INSTITUTIONAL FX Presenter: Richard Perona VP of Institutional FX How does DoM affect your transactional cost
- 2. COMPANY • Prime of Prime solutions provider powering leading FX Brokers • ASIC registered, 100% STP and transparent institutional brokerage (ALSL 444649) • Institutional shareholders include Macquarie Bank (ASX: MQG) and GFI Group LLC a division of BGC Partners Inc. (NASDAQ: BGCP) • Primed by UBS AG • Deep multibank liquidity • Cutting-edge, low-latency technology infrastructure
- 3. WHY ADVANCED MARKETS • Enhanced safety of funds through Segregated Custodial accounts at Macquarie Bank • FX, Metals, Energy Commodities & CFDs at up to 100:1 leverage • Multiple liquidity channels: MT4, Fortex Proprietary Desktop & Web platforms, Fortex Web MT4 • Matching engine in Equinix NY4 datacenter • Private cages in NY4 and HK3 • Sub-millisecond internal latency • Cross-connects to major banks and ECNs
- 4. Via our institutional client base, Advanced Markets liquidity serves over and estimated 40,000 institutional and individual clients in more than 30 countries.
- 6. PRIME BROKER
- 7. PRESENTED BY With more than 17 years experience, Rich has been immersed in the FX market with a broad history ranging from trading desks at major world banks to managing flow at the retail brokers. He has a deep understanding of the FX industry while specializing in G20 & exotic currency trading. At Advanced Markets, Rich assists financial institutions around the globe to integrate FX as an asset class & identify applicate markets along with technologies to suit their overall strategy.
- 8. TODAY’S AGENDA • What is Depth of Market • How to Read Depth of Market • Order Types / Why the Matter • Understanding VWAP • Execution • What is Block Trading / FOX • Background of Block Trading • How it Works • Who will Benefit from Block Trading / FOX • Case Study
- 9. WHAT IS DEPTH OF MARKET
- 10. HOW TO READ DEPTH Screen shot of XAU/USD taken @ 10.35am EST 5/5/2017
- 11. WHY ORDER TYPES MATTER 1. Limit Orders 2. Market Orders • Time in Force • GTC • FOK (Fill or Kill) • IOC (Immediate or Cancel) Screen shot of EUR/USD taken @ 10.45am EST 5/5/2017
- 12. WHAT IS VWAP Screen shot of XAU/USD taken @ 10.35am EST 5/5/2017
- 13. VWAP EXECUTION Example – Order to BUY 5 mio AUDSGD @ 1.03823 5 Legs VWAP execution price is 1.03821 1. 1,100,000 X 1.03823 = 1,142,053 SGD 2. 1,000,000 X 1.03816 = 1,038,160 SGD 3. 1,900,000 X 1.03826 = 1,972,694 SGD 4. 500,000 X 1.03820 = 519,100 SGD 5. 500,000 X 1.03817 = 519,085 SGD Total = 5,191,092 SGD / 5,000,000 AUD = 1.03821
- 14. WHAT IS BLOCK TRADING / F.O.X
- 15. BACKGROUND OF BLOCK TRADING • Cause market fluctuation • Minimized adverse effects on the market price • Used by institutional investors for large sums
- 16. F.O.X. TRADING
- 17. F.O.X. TRADING Screen shot of EUR/USD taken @ 11.34am EST 5/25/2017
- 19. CASE STUDY VWAP VS. FOX • VWAP Market order SELL 10mio • 10 legs to sweep • At Mercy of the market movement • FOX Market Order to SELL 10mio
- 20. QUESTIONS?
- 21. CONTACT US rperona@amifx.com Charlotte 11325 North Community House Rd. Suite 425 Charlotte, NC 28277 Boston 20 Park Plaza, 4th Floor Suites 412 & 414 Boston, MA 02116 International Phone: +1-345-949-5555 Richard Perona VP of Institutional FX