My experience is with futures, and of course all electronic futures exchanges have very strict Message-to-Fill Ratio Policies, and it is usually just less than 20:1. CME, ICE and Eurex have those circulars posted on their websites buried in the exchange regulations. An FCM has absolutely no control over enforcement - the exchange notifies the clearing firm directly and not the account holder - and the sh*t flows downhill from there. Violators almost always are notified by the clearing firm and not the exchange. And they take fines out of trading accounts in some cases, or restrict access to the end user. Doesn't matter if you're a member or non-member as far as I am aware. Each cancel or replace or price change or quantity change is a message to the exchange that carries your own unique electronic footprint complete with identifiers. The fact of the matter is that ECN infrastructure is currency to an exchange, and they get paid on executed trades and not electronic messages. I am very careful not to run my spread automation when markets are not trading at my level of interest, and I have software plug-ins to monitor my Message-to-Fill ratios. There have been times when I will fire off 1-lot orders and lose a few hundred dollars or more for the sake of satisfying my daily quota of fills versus messages. If you think about it, why would an exchange tolerate several hundred electronic communication messages in order to process only one fill? In the futures world, at least, they want you to actually trade and not flood the ECN with a bunch of cute geek garbage. Maybe that's why the futures don't have the level of HFT ills as the equity markets.
just curios-why this shit does not apply for all those HFT/subpenny shops? i guess because they are special...and all that crap is for retailers only? fucking free markets right there...democracy my hairy ass... somebody have to finally kill retail guy,right? if not SEC with their PDT rule then maybe exchange,HFT,sub penny fucks..then who's left?..ahh..broker...right...
man..English is obviously is not my native language..i never attend any college or school..i hope you can forgive me for my funny accent.. still..making some decent money in trading field and not going to give up easily, without at least some explanation from IB about this 780 ratio shit just tell me, where is the 782 ratio come from? ratio=782 submit=781 modify=3 cancel=780 executed=1 (781+3+780)/1+1....kinda not really 782... fucking clowns..i didn't come up with this shit..they did(Thank you shortie) http://ibkb.interactivebrokers.com/node/1343 OER = (Order Submissions + Order Revisions + Order Cancellations) / (Executed Orders + 1)
the credit goes to orionn. you are missing ")", it is 782. get some sleep. i get a feeling that IB won't listen to us since they are short on bandwidth.
I am on the futures side too and agree for the most part, but I only trade cancel/replace systems on semi-liquid/illiquid instruments that are not part of exchange messaging benchmarks policy. IB would have never heard of me from any exchange. I don't slow the system on those low activity instruments. I got a >100:1 ratio just because they are correlated to other instruments and require order modification every few seconds, with or without executions. We are legitimately pissed for one thing, it's only happening with IB. My other FCM will be glad to get my business as I won't cause them any problem with the exchanges. Last time I asked them about it, they were like :" Just do it ( on benchmarked products ), we rarely hear from the exchanges, even for abusers, and when we do, they give us time to adjust". You see the difference. We are the retail pikers, we 're screwed. I'm sure IB isn't applying this policy to their bigger HF clients. I am sure Timber Hill respect those ratios to show the example...What a joke. PS: I disabled my autosystems today. I don't want to risk getting charged.
I've recently learned to my rather innocent surprise that as a market maker you can turn over 10% of the exchange annual volume and never need to show up on top of the order book... And here we have Timber Hill - the global market maker and IBKR - the broker-dealer being in the same hands... ... Glass-Steagall come back, all is forgiven! But separation of the two entities may be rather difficult, given that "all properties are used by both our market making and electronic brokerage segments." Talk about Chinese walls... (src: http://sec.edgar-online.com/interac...istration-statement/2007/04/30/section24.aspx ) I wonder if IBKR has come under short-term investor pressure to perform since they went public... First they removed the conditional order execution guarantee (equity pair trades can be only executed as Non-guaranteed, i.e. with the 'failed legs' risk on the customer) and now it seems they have started de facto charging cancellation fees for *all markets*. I suppose we should be grateful that we do not have to deal with a broker who: 1) charges a 2 USD cancellation fee on every order modification, 2) imposes a minimum delay of 15 seconds between two consecutive orders, 3) prohibits placing two simultaneous opposite-side orders on the same security, and 4) prohibits placing computer-originating orders... requiring humans to manually confirm the order on the 'API' page... If any of the above seems a bit too far-fetched than you haven't traded U.S. options Where exactly are S.E.C. eyes 'averted' when we need them most? (rhetorical really, let's keep this discussion decent IMO these are PR disasters for IB, because such bonus features like order execution guarantee or the free order cancellation option are like wages - you just cannot cut them in nominal terms (without widespread strikes), the ratchet mechanism applying... The more productive question is: where else would you get $0.85+Exchange fees for 1-lot futures trading? I mean I know a certain brokerage proprietary arm and even a 9-figure AUM hedge fund who respectively pay 50% and 250% higher commissions for US futures (well, they used to pay before I told them of IB - so they switched... no, not to IB So I suppose the best strategy is to adapt. If they don't let you automate your strategy because it happens to be theirs as well, then so be it. You have probably long ago stopped trying to automate market making = arbitrage strategies with their API... Just can't be done. So perhaps this time you can also somehow adapt... rewriting your order management logic a bit, blocking orders until nearly marketable, introducing the 'market-making' mode (replacing cancellations with 'jump' modifications), and using server-side code a bit more... check for example if you can make servers perform the cancellations for you, e.g. using GTD orders... (which are incidentally supported by exchanges). If it cannot be done, then rethink if that edge was sustainable... I mean buying outright options may even improve your performance Besides IB, don't be evil - this new message must come with an early warning fed back to the API, just like you do with your 50/150 messages per second limits... 101 Max rate of messages per second has been exceeded. 1011 Order Inefficiency Ratio too high. Will kill you on cancellation fees now or else one loses confidence in the system... which can now transition into the 'paid cancellations' mode in your absence, without any warnings from the API (unless your ATS can parse their emails - I certainly can't without the NewSpeak Dictionary.
interesting how the ratio calculation formula does not take into account the order size. a 10 lot (or 1000 share) trader could have the same ratio as a 1 lot (or 100 share) trader. so both consume the same bandwith and computing resources. however the 10 lot trader is paying 10 times the commisions.
It's fairly clear that the formula IB used to decide who to send emails to was overly simplistic. I'm sure the point of this initial email was to get the higher bandwidth API traders to look at their systems and attempt to optimize them -- they even offer several suggestions on how to do so. The email was probably sent out to anyone with a 20:1 ratio and, maybe >500 messages sent in the given time period. I don't know that they plan to begin enforcing restrictions on traders that exceed those thresholds since that would drive away a lot of business and probably not be good PR. I would expect them though to contact traders, at their discretion using other data and analysis, whose systems appear to impact overall server performance. I would imagine they've done that in the past already. We'll have to see if IB continues to harass us with emails on our OER, or if this was just a "friendly reminder" one-time thing. In any case, I will look at ways to optimize my software, while researching other brokers... just in case.
If you are trading futures and think that switching FCMs will solve your messaging problems - get ready for heartbreak. I have gotten member rates on MF, RCG, and Advantage and they are all incredibly compliant to the exchange messaging policy. It is possible to get relief, authorized or un-authorized from the exchange, for more frequent messaging in less liquid names and newer contracts, especially off-hours. But of course that carries another burden altogether. Having personally experienced GS making shares hard-to-borrow on Redi when their in-house prop equities trading volume was setting record highs gives credence to my personal conviction that you might very well be correct about IB hogging up all the bandwidth for TH's use. Bandwidth is currency.