Hi We are looking at getting into HFT on US equities. Most of the experience is in FX/Futures, and my knowledge of how low comms go might be stale. $3/10000 is what we have been offered--is this good/bad/average? On a 20 USD stock this comes out to $15/million notional.
That rate is called 3 mils or $0.0003/share. I don't know any customers that get that rate anymore for execution and clearing. I'm not sure what you meant by,"On a 20 USD stock this comes out to $15/million notional". If you are charged 3 mils and you trade 100M shares in a month, that will cost you $30,000 in commission. Keep in mind that this US equity MM strategy is very competitive with many players getting directed order flow. And, non-display market data fees at co-locations like NY4 have gone up substantially 01/01/2015. See attached:
Thanks for the response. We are 3mils excluding pass-through fees and excluding colo charges (although Mahwah is probably enough to start). I don't think we would be subject to non-display fees, but I'm not sure. Why do you think we would be?
Because you fit the definition. An automated trading system. 3 mils is a very good rate. Examples of Non-Display Use are, but are not limited to: Any trading in any asset class Automated order or quote generation and/or order pegging Price referencing for algorithmic trading Price referencing for smart order routing Operations control programs Investment analysis Order verification Surveillance programs Risk management Compliance Portfolio Valuation Good luck..bob