If you want an example of a poor fill rate, 15:40 Redcar. I had some automated stuff working on this race. It was trying to lay two horses and not one single order filled in four minutes. All I did was offer to the market.
I guess I could have just been unlucky but of all the volume in the race, can you really believe that it's possible to not get a single order filled?
Fill rate
Peter, do you store information regarding matched amounts per runner at frequent intervals?
If so, you can check the data to see if the matched amounts went up without you being matched (assuming you were at the front). And if it turns out that that is the case then something fishy is definitely going on, and Betfair are no longer implementing a fair first come first serve matching process.
If you don't have such data then I do, and I'd be happy to investigate the matching that went on during the time your bets were offered. You'd need to give me fairly accurate bet details though.
Most my automated strategies tend to take prices, but sometimes it does offer. I've noticed a significant drop in PnL recently (down after PC3, then better, now worse again).
If so, you can check the data to see if the matched amounts went up without you being matched (assuming you were at the front). And if it turns out that that is the case then something fishy is definitely going on, and Betfair are no longer implementing a fair first come first serve matching process.
If you don't have such data then I do, and I'd be happy to investigate the matching that went on during the time your bets were offered. You'd need to give me fairly accurate bet details though.
Most my automated strategies tend to take prices, but sometimes it does offer. I've noticed a significant drop in PnL recently (down after PC3, then better, now worse again).
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andyfuller
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- Joined: Wed Mar 25, 2009 12:23 pm
Out of interest what were the odds on these two runners Peter?
I am guessing they must be towards the back end of the book?
I am guessing they must be towards the back end of the book?
Well do let me know if you'd like me to look closer at the data. I tend to collect data on a per second rate or sometimes faster.
Alternatively I can slice out the part you're interested in and send that to you if you give me the times. I just have current prices/volumes, matched amount per runner and last matched price from which you can approximate what's been matched in the 1 sec period.
Alternatively I can slice out the part you're interested in and send that to you if you give me the times. I just have current prices/volumes, matched amount per runner and last matched price from which you can approximate what's been matched in the 1 sec period.
I have to be a bit paranoid here again and question Betfair. They do have winning accounts flagged obviously. Could bets originating from big winners be treated differently?
Note I'm not a consistent winner. I always found it strange when my account was in the red that all my bets were always filled amazingly quickly, even for very big amounts. I'm not kidding about this, even when I was offering pretty big amounts (100s) I have to tell you all that they always filled very quickly.
Note I'm not a consistent winner. I always found it strange when my account was in the red that all my bets were always filled amazingly quickly, even for very big amounts. I'm not kidding about this, even when I was offering pretty big amounts (100s) I have to tell you all that they always filled very quickly.
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Will Sharpe
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I think you need to ask yourself if its realistic that Betfair would act against "winning" accounts by treating flagged orders from such accounts differently?
My take is that there is no need to do that since the introduction of PC2&PC3. Betfair comes out on top everyday anyhow.
My take is that there is no need to do that since the introduction of PC2&PC3. Betfair comes out on top everyday anyhow.
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andyfuller
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- Joined: Wed Mar 25, 2009 12:23 pm
It would be good to know what odds the horses were Peter mentioned. In the past when people have been talking about fill rate I have perhaps wrongly always assumed they were talking about the front few in the betting. I pay very little attention to the back end of the book so perhaps in the past when people like Peter have been saying the fill rate was poor we were in fact talking about different things.
When I do do things at the back end of the book I always find the fill rate very slow and can often sit there getting next to nothing matched but I rarely touch this part of the market.
When I do do things at the back end of the book I always find the fill rate very slow and can often sit there getting next to nothing matched but I rarely touch this part of the market.
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andyfuller
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- Joined: Wed Mar 25, 2009 12:23 pm
That is very odd then if you were at the front of the book on that race as I was trading that race and was getting orders filled when offering orders up to the market.
When you say offering money up and not getting any filled I am assuming you mean at the current prices as opposed to a few ticks away and the market just not coming to your orders?
When you say offering money up and not getting any filled I am assuming you mean at the current prices as opposed to a few ticks away and the market just not coming to your orders?