I hv got confirmation from IB that it is postponed (msg reproduced below): The CME has decided to postpone the implementation of their new cancellation fee policy (messaging fees) until further notice. _As such, IB will not be implementing cancellation fees for Globex at this time.
The new CME rules will not have much impact on this sort of algorithmic trading. The message ratios are high enough that the majority of tranching programs will not need to be modified.
It is delayed until October 1st; the message limits will likely be different from those that were originally announced. incidentally I have been looking at a user who today executed 78 1 lots on Globex and submitted 16,254 revisions. I would argue that majority of IB customers would benefit from SOME cancellation fees, as they would prevent the overly active customers from burning the existing bandwidth to Globex.
That's an average of 208 changes per trade. It's not hard to imagine an auto-system that updates stops and targets every minute doing that. It only 3.5 hours of updates/trade... From my perspective automated trading is only going to get bigger and trying to squelch it with surcharges is not smart. I'd route to Eurex if I were in that situation...and they had the product and the liquidity.
Yes, indeed and then they would quickly institute the cancellation fees just like they did in Europe. I agree that the automated trading is going to get bigger. However, the customers who utilize the routing system disproportionately to the income they generate to their broker and exchange through the execution fees/commisions will have to get charged some other way. There is no free lunch.
While I agree that there is no free lunch, $1 is excessive. If you want to monitor and update your orders via an API, you are going to do that multiple times a day under any circumstances. If I do that once every 10 minutes (39x/day from the open) -- which is absurdly slow -- then I am out $39 less the $5 credit just to track my position properly. That $34/day is around $8500/year just to manage one position. That's robbery!
I agree that the $1 charge combined with the 5:1 execution credit is excessive. (As I indicated earlier, the limits will be different from those originally announced). At the same time though the execution credit should not have to be 208:1, to satisfy the bandwidth-guzzling customer I described. He will very likely have to change his strategy to avoid payment.
IBsoft, Go easy. My comment wasn't directed at you/IB. It is the CME's math that has me irked. However, as you say we don't now what the full picture is yet so I'll just chill out, have a cool one, and wait to see what comes forth in the next month or so. However, my real point is that your "bandwidth" guzzling customer isn't really doing anything that unusual for an autotrader. And CME's "offer" to make use of the bandwidth is absurd.