(1) eurex states that traders cannot high tick themselves or low tick themselves in order to trade with themselves to artificially imply a price is trading this however does not apply to complex black box systems doing huge volume - dont know why.obviously because they do huge volume. (2) yes the fee schedule is structured differently in that according to the new fee schedule this year specifically targeting these companies they will discount on round trips over a million upto 2.5 million in the region of 33%. this does two things. you can scratch alot of trades. upto 75 percfent for one company i know about. it allows you to trade with yourself in big size to create the impression something is going on. (3) there is very little paper in this market compared to the total volume trading. exchanges have indicated in the region of less than 5% on a good day. hence there is no flow. everybody knows where everything is in relation to everything else.unfortunately there are no longer any idiots about. (4) top ten accounts at eurex are all black box based systems. fact and account for the majority of the volume. (5) THIS IS NOT A WHINE OR A WHINGE.these are all factual statements from conversations with exchange officials or exchange memorandums. the eurex memo about the reduced fee schedule for the benefit ot black box system trading came out as recently as 3 months ago and was implemented this year.
These computerized systems are the new specialist/floor traders. They can manipulate a market just as the floor traders did. If you ask me they need to be regulated and regulated and then regulated some more so they will no longer print money in these financial contracts and there will once again become something known as price discovery!!!!!!!!! For the sake of all manual traders out there and especially the scalpers like me TO HELL WITH THE MACHINES!!!!!!!!!
We just got this new extra rebate from February volume paid last week, the big prop houses do enough volume (~6mil/month on eurex) to qualify as well as the machines. If you're a high volume spreader, you might consider moving to an outfit that hits these volumes if you don't get the new rebate where you are.
I'm not a high volume trader (few thousand a day) as i trade outrights but in this case the percentage volume you do for the company is then weighted on whatever rebate they receive. Own account traders do not participate in this rebate as they are not technically classified as prop, it's only the backed trader volumes which get the rebate. It'll be approaching £five figures over the year extra rebate personally if we maintain current volumes so no complaints. I believe eurex count the equity index future volumes separately from interest rate product volumes so in effect they hand out two separate rebates.
i was actually interested in how much of the rebate they were giving back to traders. as marex prolly gets the full 30% rebate which works out to 6 cents off the bund, how much of that 6 cents are they giving back? have they structured any deals with big size OAs to move them to prop so they can get the rebate?
Well the rebate is only on contracts traded over those boundaries rather than setting all preceeded lots to the new low cost. The firm keep their fee per lot structure as normal and the exchange base cut is passed on in full I believe but again only on the volumes over those levels. You're allocated a proportion of this upper rebate based on your percentage total backed volume for the company which seems fair. I have no idea about any own accounts moving to backed to take advantage or whether eurex might dissaprove of such moves on a legal basis. I guess you'd need to look at the split you'd then need to pay the firm (depending on your negotiating skills) against the rebate advantage.
Is anyone else having problems this month with the order flow of the bund? It's appearing very difficult to trade for me.
Lot of people I speak to are, and I include myself. Apparently we have to stop looking at the book and the tape.
I think our challenge could be created by Apama software. http://www.progress.com/apama/apama_algo/index.ssp Courtesy of one Dr John Bates. Apama was founded towards the end of 1999 by two alumni of Cambridge University, who had collaborated in the university's computer lab for the best part of the previous decade. I believe it is the most widely used algorithmic software and is now advanced enough to read reuters headlines by itself. You get a "whitebox" system which is customisable and used by some big firms. http://www.progress.com/apama/customers/index.ssp Slide 16 below shows how if this is set to read a reuters release ie non farms, locals will never get a look in. http://library.corporate-ir.net/library/86/869/86919/items/236187/section4.pdf You can tweak the system to evolve itself to the patterns of other traders' orders and other systems on the fly, so it constantly evolves itself. You can organise it to back engineer its strategy based on a few hours of book action by another algo, robot v robot! If you can't beat them join them - think they start around $100k pa for 5 users for your own customisable whitebox and support. The aptly named event on April 26th "Empowering the Cash, Futures & Options Trader: Evolve or Perish" might be well worth a look! Oh and they have blog too http://apama.typepad.com/my_weblog/algorithmic_trading/index.html Guess it's time for us all to brush up on our CEPs (complex event processing) techniques! Big brother is watching your orders :eek: