什麼是有毒FX Flow辯論?


2

因此,基本上,我想辯論一下,找出被ECN和場所標記為"有毒"的真正原因。如何避免被標記?哪種策略是有毒的,為什麼?

下面是一家經紀公司發現的文章...因此該文章中的觀點不可能是該目標。

Article about toxix FX flow


有什麼想法嗎?

1

Usually it's aggressiveness of your orders + short term alpha. While it's equities not FX, I think you may find something interesting in the recent Barclays LX darkpool lawsuit documents.


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The primary way ECNs determine if a liquidity taker's flow is 'toxic' or not is by looking at aftermath charts. The aftermath chart shows the average mark-to-market profit of trades done by the liquidity taker as a function of either time or number of top-of-book updates (optionally broken down by currency pair). The trade profit is usually viewed from the liquidity provider's perspective, and so the aftermath chart is typically equal to half the average bid/ask spread at the inception of the trade, corresponding to the y-intercept of the aftermath chart.

Now, the time it takes for the aftermath curve to decay to zero represents the average amount of time a liquidity provider has to monetize the spread earned at inception after trading with the given liquidity taker (by matching the trade with another liquidity taker, for example). If this amount of time is relatively short (typ. a few seconds), then the flow is harder to monetize. Such flow is considered 'sharp', and very sharp flow is considered 'toxic'.