Factors That Shape Fill Rates in FX ECN Market Making
Summary
The discussion asks how to model the probability that passive quotes placed inside the spread will execute on foreign-exchange electronic communication networks. It supplies no reliable long-run fill-rate estimates. Instead, the responses identify factors that can make fill probability venue-specific: order size, currency pair, connectivity and liquidity access, whether a participant is aggregating or making liquidity, and each venue’s matching or priority rules. One contributor reports favorable manual fills on a particular venue, while another notes that larger orders can affect queue priority elsewhere; these are anecdotes, not measured comparisons.
For a market-making simulation, the practical lesson is to treat fill probability as conditional on venue and quoting behavior rather than assume a universal average. The original question also points to quote distance, update frequency, and market conditions such as momentum or mean reversion as relevant variables, though the answers do not quantify their effects. Any estimate would need to reflect the trader’s actual order sizes, access arrangements, instruments, and execution environment. The discussion provides no validated estimation procedure or representative sample.
Key ideas
- The discussion gives no dependable average fill probability that applies across FX ECNs.
- Fill outcomes may depend on order size, currency pair, venue connectivity, and access to liquidity.
- Venue matching rules can affect queue priority and the chance of executing passive quotes.
- A market-making model should account for quote placement and updating as well as venue-specific conditions.
- The reported venue experiences are anecdotal and do not establish comparable long-run fill rates.
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# Longer term average probabilities of fills at fx ECNs? # Longer term average probabilities of fills at fx ECNs? I am wondering whether anyone can share experiences and longer term average probabilities of fills when quoting inside the spread at various fx ECNs. I need to make an assumption of the probability of getting filled as a function of fx ECN venue, how aggressive I bid and offer inside the spread (in terms of how far away from current best bid/offer and how frequent to modify), and as function of current micro market dynamics (momentum vs mean reversion). I am just looking for an approximate figure that averages out over a longer period (days, weeks,...) and ignoring micro market dynamics and how aggressively the quoting is performed. I intend to eventually quote concurrently on both sides at several ECNs I have access to (FxOne, Integral FxInside, FastMatch, LMAX, FxAll, Hotspot). Not all lend themselves to quoting inside the current spread (due to last look provisions and what have you). I can colocate/proximity locate in the same building as most of mentioned ECNs. Edit: I am not looking for a specific number but rather wonder how others model fill probabilities when testing market making algorithms. Thanks ## Answer by Felipe Alanis (score 2) https://quant.stackexchange.com/a/15657 I think it will also depend on the amount of the orders you will entering. In FXInside it will also depend if you are just aggregating or using a HUB, and even if you use the HUB it will depend if you are enable to "make liquidity" otherwise you will be only sending an agressive watch order waiting a market move. I don't have any number to share with you, but by manually trading I could said hotspot has good fill rations for bids and offers inside the spread. Don't know neither if Bloomberg Tradebook is available via fix, but I can remember a lot of small amount fills, if your are planing to send small orders, maybe it could help. Its easy to get filled if there is a "fishing algo" in the other side taking small amounts to see if there is real liquidity. The other way around with FastMatch, because there you will gain priority based in the order size. And the last but not less important, obviously it will depend in the currency pair, but for sure you are taking that in account already. ## Answer by Ariel Silahian (score 0) https://quant.stackexchange.com/a/23030 Wow, this is the 1 million question. No answer available to that. From what I saw is that that question varies from ecn to ecn. You will be very depending on each ecn and how they connect you to liquidity takers.
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