Eurex cancellation fee

Discussion in 'Index Futures' started by just21, Feb 5, 2004.

  1. just21


    How much is the Eurex cancellation fee for limit orders? Does this make trading spreads on Eurex uneconmic when using xtrader pro which is constantly changing limit orders?
  2. Most brokers do not charge any Eurex cancellation fees.
  3. BKuerbs


    IB does charge a Cancel- and Modification fee for Eurex products:

    0.50€ for each modification or deletion of an order. On the other hand: you get an execution credit of 2.50€ per side, that is one roundturn yields 5.00€ credit. This is independent of the size of the order.

    Any credits you have at the end of the day will be deleted, any debits deducted from your cash.

    Ib claims to keep a balance of debit and credit for each product traded on Eurex, but last time I tested it, I found that credits earned in e.g. the Bund apply to cancels in e.g. the Eurostoxx future.

    Eurex introduced these fees, though in a somewhat different form, to "punish" program trading.


    Bernd Kuerbs
  4. Quiet1


    I believe the eurex rule was that a member (ie not customer) would be charged cancellations fees for the extent to which their cancellations exceeded their fills by an order of more than 5:1.

    I just tried to check the place in the Eurex documents where I previously read this but could not find it. Anyone spotted it in the latest docs?

  5. so there might be fees for cancels on the new USA Eurex

    interest rate complex ?

    well I might have to stay with the CBOT then :p
  6. But IB's gonna charge it on and say "no we didn't start it."

  7. I don't particularly like IB; but you got a vendetta going ...
  8. Quiet1


    excerpt below from

    as you can see its not straightforward...with every exchange having rules like this, who'd be a broker?



    "9.3 Transaction Limits

    In order to encourage a responsible attitude towards use of the system's resources by members, Eurex defines limits for the number of transactions generated on a member's front end which are transmitted to the Eurex back end. Every "request" transaction which generates a response to the user (e.g. Order/Quote- Add, Change, Delete, and inquiries etc.) counts as a transaction. Product-specific limits (number of transactions per product, per day per member) and non-product-specific limits (number of non-product-specific transactions per day per member) are defined. Separate limits are set for the number of MASS Quote transactions that can be generated as part of the product-specific limits.

    Members are potentially liable for additional fees if the number of transactions entered into the Eurex system during one day exceeds any of the limits set in each category.

    In Report RPTCB065 (System Transaction Overview) exchange participants receive an overview of the number of transactions that were entered in each category during the trading day, broken down per product, where appropriate, and the additional fees liable due to exceeding any limit.

    Report RPTCB068 (Transaction Mix Report) provides exchange members with detailed information about their transaction behaviour, broken down by product, originating node, and individual trader.

    Members who use Quote Machines or order routing programs should pay particular attention to the transaction limits and the fees charged for exceeding them. Quote machines and similar applications have to be linked to the Exchange system via the programmable interface. Moreover, Eurex Management must approve the use of such applications. (Application forms are available from Eurex Marketing and Sales via the contact persons listed in the "Participation" section of this information folder.)

    Excess transaction fees which become due are not charged automatically. In the event of transaction limits being exceeded, Eurex will investigate the causes on an individual case by case basis before charging the associated fees. In justified cases, the fees may be waived. For continuing violation of transaction limits, Eurex will charge the excess transaction fees to the respective member.

    The following Eurex transaction limits apply per member, per exchange day:

    Product Floor Factor/
    Trade Limit per Product
    Normal Mass Quote(MASSQ)

    Non-product-specific n/a n/a 8000 n/a

    Equity Options (incl. Options on XTFs) n/a n/a 4500 3500

    Index Options n/a n/a 7000 3500

    Options on Interest Rate Futures n/a n/a 12000 9000

    Futures 12000 5 n/a n/a

    Product Fee per Transaction in Excess of Limit
    Products with
    Currency EUR Products with
    Currency CHF

    < 50 % 50-100 % > 100 % < 50 % 50-100 % > 100 %

    Non-product-specific 0.05 0.20 0.50 0.08 0.32 0.80

    Equity Options (incl. Options on XTFs) 0.05 0.20 0.50 0.08 0.32 0.80

    Index Options 0.05 0.20 0.50 0.08 0.32 0.80

    Options on Interest Rate Futures 0.05 0.20 0.50 n/a n/a n/a

    Futures 0.05 0.20 0.50 0.08 0.32 0.80

    For Futures products the number of transactions available per member and per exchange day is dependent on the number of trades executed by the member in the product concerned.Independent of their trading activity, each member has a minimum number of transactions (the 'floor') available each day in each futures product. In addition, by means of multiplying a product-specific parameter (the 'factor') by the number of trades executed in a particular product, a second daily total for a member's available transactions per product is calculated.The actual transaction limit (TL) for each individual member, per product per exchange day is the larger of the two numbers, i.e.TL = the greater of (number of executed trades in product XYZ times XYZ 'factor') or ('floor' for product XYZ).Currently the factor for all futures products is 5 and the floor is 12,000.Example:

    EURO-STOXX 50 Future (FESX); Member's executed trades in FESX on a particular day = 3,000.
    Transaction Limit on FESX for the member on that day = Max (3,000 * 5; 12,000) = Max (15,000; 12,000) = 15,000 "
  9. Most brokers don't offer API access to allow customer computer trading. The cancellation fee would probably never arise in manual trading, so most brokers don't charge it. With a computer trader which repeatedly places orders on the system and then cancels or modifies them, it could be a big problem.
  10. #10     Mar 19, 2004