I think this is the main concern -- dummies that don't bother to look at what their automated trading systems are doing. I was optimizing a system last night with good results. When I looked at the order posting log I couldn't believe it was working at all, but it was. It was changing stops on almost every tick! Fortunately this was just a simulation. The same system worked just as well with an average of 1.4 orders per execution. Perhaps this is why IB decided to delay the dollar fee -- they realized they could easily find the troublemakers and talk to them individually instead. One or two traders could easily have been the cause of the whole thing.
From CME Globex Newsletter (September 2005 edition): The surcharge phase of the CME Globex Messaging Policy will become effective Sunday, October 2, 2005. For further information on the CME Globex Messaging Policy, please see www.cme.com/messagingpolicy Source: www.cme.com/trading/get/sup/glxnews2825.html
I admit I kind of lost track of the whole thing. How is IB finally going to pass this charge on to its clients?
Spot on. Please stop blaming us for being 'wasteful' with the brokerage industry's scarce resources, especially when calling remote (slow) order modification a 'free' option. Such blaming is a bit rich coming from guys with a proven track record of extracting proper money out of order execution decade after decade (they call themselves 'brokers' BTW). Whose money is it in the brokers pockets? The free-riding clients, perhaps? How many of them did *not* close their accounts within their first year, having cleaned up their stakes completely, while feasting on the said free options? Was it the free option of 2.4 USD per execution, including the ones with unusual slippage, the ones failed during legging (which have to be closed), and the ones stopped out after hitting a loss limit? Or perhaps the free option of 1$ per customer per day, including the non-trading ones? And how about the free option of no-interest bearing cash account on customer deposits up to 10k? I mean, at least one of 'them insiders', namely AMEX can skip the hypocrisy bit and admit that it is 'improper' market making they don't want their clients to engage in. Where is the Sherman Act may I ask? Cancellation fees in option markets - another case of cracking down on bandwidth misuse? But how about the ban on opposite-side orders - do these increase bandwidth usage more than two same-side orders? And how about that multi-second modification delay for hidden orders on exchanges such as CFE? Do non-hidden orders consume less bandwidth? Or is it that the non-hidden ones can be overtaken with ease (overwhelmed with size, choose your poison) by the market-maker's sub-millisecond bot? Perhaps there are no remote market makers on GLOBEX as some would like us to believe. But if so, why hasn't CFE joined the decimalization trend? Who opposes reducing to pennies one of the highest-valued price increments among all index futures? CME members just got another great idea at milking their monopoly power - they want to monopolize the order book as well. They just hate that swarm of one-lotters constantly modifying orders in 'their' book, enjoying the 'their' 10 MHz+ internal quote frequency. No, they want you to monitor the officially approved quotes from afar, with properly uncompetitive latency, letting you feast on the crumbs left over by exchange seat holders. Off my soap box now, and don't take it personally IB - I still think you (IB) are 'the' place to learn how to trade. I would be long gone (many would argue - for the better if I weren't saved one day from my human frailties by the reasonably fast programmatic access to the world markets that IB provides, still *cheaper* than the revenues, but not exactly free. But as soon as futures follow in the options (or ETFs) footsteps, profitable low-capitalization customers will become the legend of the past. In fact I think it's time to start learning the investors' tricks (and there are some, much to my surprise) - these may come handy when futures exchanges go native and/or the tax on leverage kicks in.