Clarification Time: (1) most exchanges consider an order modification as a cancel-replace. You can see this by the fact that you lose time precedence on price modifications and in most cases, also on size modifications. The replace order is treated as a new order for whatever purpose, be it pricing or priority. (2) Many E-T commentators are only considering the US market in their discussions. IB is a global broker. Non US exchanges almost all have a minimum and maximum fees (effectively ticket fees) which is applied to the trading and/or clearing events. These minima get re-applied whenever an order is modified. They do not charge the order fees for multiple fills at multiple prices (for example on a market order that executes at various levels); they do charge if the order was modified and then new executions resulted. (3) IB has order minimums and maximums but in the past only (and incorrectly) applied the logic to order as originally submitted without considering the mutations. We found that a non-trivial population of clients were doing things like: buy 10'000 shares XYZ @ 42, iceberg, show 500 (on an exchange where we applied a commission cap). Then the client would modify the price up and down all day, and if necessary, would refill the size. They could trade an unlimited amount of stock for 29 EUR. Day trade all day for 58 EUR by adding a sell side as well. We had to address this kind of misuse. (4) The billing will work as follows: you submit an order. An order ID will be assigned. If the order is modified (by the client), the order ID will be incremented (or to be exact, a version number will be incremented). Billing considerations, which formerly were based on the original order ID only, will now be based on the orderID+versionNumber. All executions derived from a given OID+VN will be treated together when considering minima and maxima regardless of which exchange the order executed at. (5) Order version numbers only get incremented if the client is responsible for the order modification. If IB's systems modify an order, for example as a result of the parameters applied for trailing stops, volatility orders, or spread/conditionals, then we do not consider these as order mutations. You can submit a complex order and have it fill at various times and prices all under a single min/max commission application as long as the client did not themselves modify the order attributes. Note that IB continues to pay all exchange fees where order mins/maxes apply because they have a less generous billing model than does IB. (6) In case point 5 was not clear, there should be no interaction between the execution path or ultimate venue and the commission model. If you route SMART, and IB executes at multiple exchanges and perhaps at multiple prices, there is only one minimum fee (or maximum fee). (7) The change should only affect clients getting many small fills for the minimum trade size, say 100 shares of US stock or 1 lot options where the client modified the order between fills. We think clients using the system normally (i.e. creating orders to get the best fills rather than to leverage a hole in the billing model) will not experience a substantive change in costs. (8) The order ID algorithms is system wide. It is not related or limited to any particular exchange or asset class. (9) I fully expect the conversation to continue when the actual change goes in place tomorrow. While we will try to respond to various concerns if they actually come up, it should be understood that the past/current approach was actually in error and the new approach to order ID management (and the effect it has on other things such as commissions) is more consistent with industry standards. I hope this is of some assistance.
Thank you for the explanation. This all makes sense and I can see why you made the change. However, this change will cause a significant number of minimum ticket charges for those of us who aren't gaming your billing system. This wouldn't be that bad except for the fact that your minimum ticket charge for unbundled US equity trades only reflects a 200 share minimum at the highest trade breakpoint, 70 cents. Those of use who are at lower commission breakpoints end up having a higher share minimum because of this hard minimum ticket charge. So your high volume traders who trade thinner stocks are going to get nailed on this. You can't fairly change how you incur a minimum ticket charge given the way you currently calculate a minimum ticket charge. A fairer way to calculate the charge is to charge a 200 shr minimum, calculated based on the breakpoint that is currently being charged, ie. if I'm at the .2 breakpoint, the minimum ticket should be 40 cents. Or better yet, change to 100 shr minimum like the rest of the world.
I must say I am deeply disappointed at how this has been thought thru by IB. They've batch applied logic across all products, when ea. has it's own unique issues. For high volume traders, it takes 700+sh at the .001 tier, to overcome the minimum charge--no small hurdle in a fragmented market. I ask that you give US stock charges additional thought, as well as the minimum charge which does not decrease with volume. This doesn't serve either's best intrests.
IBj, How is this going to appear in our execution window if I modify an order and incur a new minimum ticket charge? Will this "new" execution start a new parent line or will it continue on as a new entry under the original parent order?
I'm not sure I understand why the gaming problem isn't solvable but simply removing the max cap with each OID+VN. Why re-apply the min commission too? This really punishes the API users as there's no way in ones code to prevent modifying an order in between partial fills because of timing issues -- my code might slightly adjust the order price in between the fill on the exchange and the OrderStatus event. This probably happens to me dozens of times a day, so I'm screwed.
My system is very simple, but not sure yet on this new structure. Once I've entered my equity play with a bracket, I have a stop and a target. My target is always a limit, my stop is moved periodically as my stock moves. I'm not concerned with the stop as that is on IB's server until or if triggered. It then becomes a market order and fills. 1. If my stop triggers, the limit cancells. Is there an extra charge for the cancelled limit? 2. Market conditions cause me to manually change my limit target either to a higher or lower number. Will I be charged extra for this action? In both examples, assume 100 share play. (below min) 200 share play. (min) 500 share play. (above min) Thanks
I went through my IB statement for yesterday and it looks like the min charge on partials resulted in about a 20% increase for me. Yesterday was actually not so bad in terms of partial fills -- I see a lot more partials on panicy days, some times as much as 50% of my fills. But 20% is still a lot. It wouldn't bother me as much if IB was just passing the costs to the customer, but that 20% was pure profit for them since the exchanges didn't charge the min for each partial. Several of the partials were at the same trade price but I guess my software must have temporarily adjusted the order and changed it back. I'm going to need to rewrite my software this weekend to freeze the order for at least a few minutes to avoid some of those charges. BTW, the realtime commission amounts in the Trades window do not reflect the change, so you can't trust them anymore.
I crossed the ASK to cover 2 US option contracts thru SMART and it got routed to BOX this morning. COSTed me $2.30. It is usually $1.40ish. If anyone knows why, please tell me.
You probably TOOK liquidity and thus you had to pay the additional fee. If you PROVIDED liquidity, you would have gotten a credit. Not all names are part of the pilot program. I believe that the penny option names have this new fee structure.