An acceptible fill rate

Discussion in 'Automated Trading' started by Sky123987, Oct 13, 2008.

  1. 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

    1:1000 ??
  2. C99


    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.