Hi, Just wondering what is consider an acceptible fill rate where the exchanges won't get pissed off? 1:100 <---- I'm pretty sure this is okay, but what about 1:500 1:1000 ??
each exchange has its own rules, but as low as 10:1 can get you in trouble. The gray area is that exchange rules and ratios are generally applied firm wide, so maybe your firm is well within limits and they turn a blind eye on your 100k orders each day, or maybe they see it as a revenue source and carge you for everything they can. I think I've heard IB on globex is as low as 1:6 or something. Bottom line is it's different everywhere, but there is almost always somewhere that will welcome the liquidity.