Typical fees and commsions for Eurex et al at pro futures firms in Europe... -------------------------------------------------------------------------------- If you are interested in trading in Gibraltar, try the GH Financials branch office. They only cater for experienced traders though (no training package), but they offer the best deal: Desk: £1600/month (includes RTS/TT one exchange front end. internet, remote trading connectivity, Bloomberg, Charts/Forecasting and Squawk) Liffe Futures and Options 0-25000 lots/month £0.41/lot 25000+ lots/month £0.34/lot (in excess of 25000 every lot is charged at £0.34 flat rate.) Liffe liquidity rebates are passed separately and directly to the trader. Eurex Bund/Bobl/Schatz 0-20000 lots/month Euro0.36/lot 20000-80000 lots/month Euro0.30/lot 80000+ lots/month Euro0.27/lot Eurostoxx: add Euro0.10/lot Dax : add Euro0.30/lot (Eurex fees graduated, once the limit is reached the following band will apply
TT has had a gateway for the new eurex pricefeed. I believe it was available for production use before the Nov eurex API upgrade.
Thank you all for your input. It's given me a few pointers on what to try next. I'm based in London and have OK connectivity. However the hop over the pond to the US does effect the performance of the strategy against US exchanges. Essentially I don't get filled when I expect to and hence miss crucial opportunities. I suspect its caused by network latency over the pond. By the time I get the data and my system reacts to it and issues an order the market has already moved. Off topic - latency in my automated trading system is less than 5 ms (executing on a Linux box and NOT a Windows box - since the clock measurements in Windows OS's have a resolution of 17-25ms, whereas Linux clock resolution is true milliseconds) I can replicate the strategy decay by simulating network latency by adding a bit of latency in my trading system. If the trading system was co-located nearer the exchange / broker servers the strategy would perform much better. Next stage is to get co-located!!
To follow up on what Futures Shark said, I've been using TT to access Eurex's non-netted price feed since January of '07, and I've been very happy with it. Eurex made their XFI feed available at the end of '06. EBS is the feed that was released just recently. EBS has a number of advantages over XFI, but from a performance standpoint the differences are incremental. So, bottom line, for a high performance price feed XFI is good, available today, and available through TT. I also think TT has made a pre-release EBS product available, so I would assume that's coming soon.
My apologies, it was the Enhanced Transaction Solution (ETS-feed) from April 14th 2008 I intended to refer to - and the latency improvements I mentioned was indicated to me by Eurex with regards to this particular connection. http://www.eurexchange.com/download/documents/circulars/cf2192007e.pdf