I notice a very low limit for what they call the volume ratio on ES. 4-1 Firms supposedly being fined if their message/fill ratio exceeds that. Seems very low to me and has anyone has a problem with this? I would think cancel and replace would easily go over 4-1. Other contracts have a limit as high as 75-1. +++++++++++++++++++++++++++= I notice this has been discussed in the past. Still, any recent updates on how this is playing out in real time?
It's calculated at the FCM's level so if you are doing more than 4/1 but there are other traders( price takers ) at your FCM compensating with almost no cancels( like the majority of unsophisticated traders do ), then your firm will not be fined. The exception is IB that keeps track of your personal cancel/replace count and deliver warnings. In reality, I haven't heard of anyone who has actually been fined, so...
my firm is in regular violation of the messaging limits for treasury futures, we recently got a warning but have never been fined that i know of
Was this you? You drove this poor guy crazy! http://www.elitetrader.com/vb/showthread.php?s=&threadid=158026&highlight=ZN