在本文中，我们将解读外汇经纪商特意创造的用来吸引客户的说辞。作者表达了他在外汇平台商工作期间形成的关于商业替代原则的个人观点。这里，我们介绍了一系列的实用方法，它们可以帮助你批判性地看待经纪商的活动。本人不涉及那些依照经纪商代理协议运作的IB。我们指的是公司，以自己的名义做交易却充当清算机构的角色。

 “清算机构”: 交易直接转到银行同业拆放市场
这种说法是为了掩盖经纪商与交易者之间的利益冲突。这一说法的提出者试图强调由于单子是在银行同业拆放市场中执行，经纪商作为中间方是不会从客户的损失中获利的。经纪商的利润只来源于点差、隔夜利息以及佣金等。

• 根据最流行的模式，流通性提供者基于FIX/FAST协议为经纪商提供报价。比较有名的流通性提供者有巴克莱银行，摩根大通银行，瑞士联合银行，德意志银行等等。
• 公司的一个聚合器（比如一个独立的服务器）负责清算：它从流通性提供者那里获得最小的要价以及最高的出价，并为交易者提供良好的交易环境。
• 交易者基于当前价格做出执行交易的请求，经纪商将该请求递交到大宗经纪机构（伙伴）。
• 大宗经纪机构以报价成交该请求。

这种模式也有变本：一些公司声称它们使用公司的账户来执行交易请求，以此来维持客户的匿名性；一些公司直接将客户ECN账户的交易请求递交到同业银行。就复杂性和多阶段性（多至6步的数据传输）而言，这些方案是类似的。在揭穿这些说辞之前，让我们列举出几点使新公司维持竞争力假象的原因。

• 与专业交易者不同的是，交易新手除了盈利之外还有一系列别的交易动机。这些动机无一例外地阻碍成功交易，而且很难去除。其中一个动机是来源于金融领域的自负：一些人天真地认为每一笔交易请求都在巴克莱或者摩根银行处理。
• 交易新手对数据视而不见并且高估了利益冲突。费城金融，美国的一家投资公司，它对美国零售经纪商公布的数据做了一项独立的研究。经纪商是否有任何理由为投资者人为制造困难？存款预期亏损是否由过程心理决定？赌博心理的兴奋性以及缺少资金管理使得外汇经纪商可以像赌场一样获得可观收益。你真的认为赌场会不顾及名声地去干预轮盘赌或者标识扑克牌？
• 交易者不理解保证金交易的原则。银行间货币操作的比率是1：1。缺乏流动性的是交易者而不是银行。杠杆交易意味着经纪商需要提供自己的资金来传达一笔交易。如果杠杆是1：500，那么经纪商就需要50万美金来开设1000美金的仓位。如果将客户的交易请求数量计算在内的话，经纪商需要有最大的投资银行所拥有的资金量。
• 最后，失败的交易者寻找他交易策略之外的失败原因——称作“受害者心理”。承认自己的错误对于他们来说相当的困难。但这不意味着你不应该批判性地看到经纪商的服务，同时，也不说明不应该夸大经纪商的缺点。

有两种方法可以打破经纪商的神话：技术手段以及司法手段。两种方法都可以得出：同业机构模式实际上是不适合外汇经纪商的竞争环境。

技术冲突
你是否曾经想过，为什么对冲基金会将它们的服务器直接的放置在证券交易所大楼？市场直接准入（DMA）技术是唯一可以避免跨平台延迟、降低订单执行时间至0.5~3毫秒的技术。这样一来，公司就可以使用银行或者证券公司的设备并且可以拥有自己的操作环境、决定报价。如果对冲基金使用算法交易，那么它会经常地更新自己的软件以及下载新的程序模块。意思是，如果一个公司的交易服务器与外汇交易所或者是别的证券公司的服务器位于同一个房间，那么它可以在1毫秒内获得报价。否则，它就只能在延迟10-100毫秒后得到以太网或者延迟500-600毫秒得到卫星连接的报价。
代理服务器以及信号中断服务器的使用导致了报价的更长时间的滞后性。每一个代理服务器都会收到无数的交易请求并按照顺序执行，这在商业的DMA模式中是不存在的。你曾经是否想过，一个订单在收到报价与执行之间会有多长时间的延迟？为了测试你的电脑连接经纪商的服务器，你可以使用一些简单易用的程序或访问http://ping.eu/ping/，输入主机服务地址器或者IP。
“Avg”字段显示了传递一个信号（交易）到服务器并执行它所需要的平均时间。结果比DMA执行模式的效果差了300倍。你可以使用这个程序测试与别的经纪商（声称自己是中间银行机构）服务器之间的速度，测试结果同样是100-1000毫秒的延迟。这个测试得出的主要结论是：目前的中间银行执行一个请求时间是500 – 1000毫秒。因此，代表流通性提供者执行交易甚至主要经纪商都是不可能的。
假设服务器执行订单有500毫秒的延迟，这种情况下，在1.12770点位卖出在银行执行之前将会导致35次重复报价。我们现在很不幸运，并且价格没有在3秒内回到该价位，那么经纪商是如何反映的？

1. 它向交易者重复报价（这种情况下是5~6次）；
2. 它自己承担风险开仓，并等待价格回归该区间。

在第一种情况下，服务质量大幅下降。如果你准备在市场平静时期重复6次报价，那么这就是你要寻找的模式。第二种情况，经纪商脱离机构范畴并充当了做市商，因此，它不再实际上地传递头寸。为了订单的最优执行，经纪商现有状态下能承担的最大延迟是30~1000毫秒。

FX brokerage: view from inside

In this article we try to dispel a myth, intentionally created by FX brokers to attract clients. The author expresses his personal opinion, formed when working for a FX broker with alternate business principles. We express a number of practical methods that allow you to examine critically broker's activity and will probably let you dispel the myth yourself. The article doesn't concern introducing brokers (IB) that openly operate conforming to agency agreement. We refer to companies, making deals on their behalf but positioning themselves as clearing agents.

“Clearing agent”: deals are transferred directly to interbank market
This myth is aimed to cloak the broker-client interest conflict. Authors of this myth underscore that a broker-agent doesn't stand to benefit from trader's loss because the deal is executed in interbank market with the broker being an intermediary. The only broker's profits are spread and swaps, commissions etc.

• According to the most popular model (figure below), the company-agent receives a quotes stream from several liquidity providers using FIX/FAST protocol. Further on, respected establishments are listed: Barclays, JP Morgan, UBS, Deutsche Bank etc.;
• A company's aggregator (i. e. a separate server) carries out clearing: it forms minimum Ask and maximum Bid, following providers' streams, and creates optimal conditions for clients;
• A client makes a request to execute a deal at the current price; the request is transferred by the broker-agent to a prime broker (partner);
• The prime broker executes the request at the quoted price.
The model has variations: some companies assert that they execute a request from the company's account, preserving a client's anonymity. Some - that every trader's request is transferred directly from his or her ECN account to interbank. These schemes are alike in relation to their complexity and multiple stages: up to six steps of data transferring. Before busting the myth, let's go on and name the reasons that make newcomer companies sustain the illusion to remain competitive. 

• A beginning trader, unlike a professional one, has a number of other motivators except making money. These motivations impede successful trading and don't let be impartial, but it's hard to throw them off. One of the motivations is the sense of self-importance, engendered by belonging to financial sector. Someone really likes to think that every request is processed by Barclays and JP Morgan;
• A beginning trader turns a blind eye to statistics and overestimates conflict of interests. American investment company, Philadelphia Financial, undertook an independent study based on data, revealed by the US retail brokers. The chart below shows the probability of a complete deposit loss. This brings up the question: is there any sense for a broker to create artificial difficulties to an investor, if deposit loss expectancy is determined by process psychology? Gambling excitement and lack of risk management makes an FX broker almost as cost-effective as a casino is. Do you really think that a casino tampers roulette or marks cards, mindlessly risking its reputation? If so, take a look at the statistics of putting stake on Zero;
• A trader doesn't understand the principles of marginal trading. Interbank currency operations have the 1:1 leverage. Banks do not lack liquidity. A client does. That is why trading with leverage means that a broker has to provide its own funds to transmit a position. If the leverage is 1:500, a broker has to deliver $0.5 million own funds to open a $1000 order. Taking into consideration the number of clients' requests, a broker has to possess that much liquidity as biggest investment bank have;
• Finally, a losing trader feels like looking for an external reason beyond his or her strategy – so called “victim mentality”. It is unbearably hard to admit mistakes of your own. But it doesn't imply that you should not critically analyze broker's services, yet, it doesn't mean you are supposed to overestimate broker's disadvantages.

There are two methods of busting this myth: a technological one and a juridical one. Both methods lead to the following conclusion: interbank agency model is practically impossible within the competitive environment of FX brokers.

Technology conflicts
Have you ever wondered why hedge funds place their servers directly inside a stock exchange building? The Direct Market Access (DMA) technology is the only way to reduce request processing time to 0.5-3 ms and avoid additional cross-network delay in order execution. In this case a company uses bank's or stock's equipment and has the opportunity to imbed its own program environment, determining quote stream. If a hedge fund uses algorithmic trading, it occasionally upgrades software and downloads new program modules. That means that if a company's trade server is located within the server room of MICEX or another stock venue, a typical quote resolution available will be 1 ms. Removed access gives additional signal delay of 10-100 ms for Ethernet or 500-600 ms for satellite link.  
 
Proxy servers and signal repeaters usage results in longer delays. Every proxy server receives millions requests and lines them up in a queue, creating a time lag, which is a priori absent in DMA business model. Have you ever thought about how long the delay is between receiving a quote and executing an order (except for delays caused by user)?
To test lag in transmission from your PC to a broker's server you may take advantage of several easy-to-use programs or services as http://ping.eu/ping/. Enter an IP or a host server address in the field. Below is the ping of “agent” trading proxy-server when connecting from my home PC (100Mbps Ethernet).

The “Avg” field shows overall time, needed to transmit a signal (an order) to server and confirm it, i. e. to make one trade. The result is 300 times worse than with DMA. You may repeat the experiment with any other server of a broker, describing itself as an “interbank agent” and get the same delay in a range of 100-1000 ms. The basic conclusion from the test is as follows: to execute a request at the current interbank price it has to remain the same for 500 – 1000 ms. Otherwise execution on behalf of a liquidity provider or even of a prime broker becomes impossible. Let us consider the EUR/USD BID and ASK chart by the biggest liquidity provider - Ducascopy bank. It is 17:00 (MSK), 02.14.2015. Market is relatively calm: there has been no important macroeconomic news or indicators for one hour.

A 1000-ms-wide window is chosen at random. Inside that window 44 ticks are located. If you move it 1 step forward, the tick number will rise to 50. Let us assume that a trade server executes orders with a 500 ms delay. In this case a request to sell at 1.12770 will lead to 35 requotes, before a bank confirms it. Currently we are unlucky and the price hasn't returned to the stated level in 3 seconds. What is a broker's reaction?

1. It sends a requotes to a client (5-6 requotes in this case);

2. It opens a position at its own risk, waiting for the price to be back into the range.

In the first case, services quality falls sufficiently. In the second case, broker goes beyond agent model boundaries and becomes a market maker, i.e. doesn't really transmit position anymore. For best requests execution the maximum delay a broker can afford is 30 ms or 1000 ms/N in the current market stance. If you are ready for 6 times requotes in the calm market, that's the model you are looking for!

本文翻译由兄弟财经提供

文章来源：http://www.fxstreet.com/education/forex-basics/fx-brokerage-view-from-inside/2015/03/10/