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Yes, Eurex has a mechanism called 'transaction limits', which was
originally instituted after several instances when new versions of
members' order entry systems caused updated quotes to be sent every
second.
One description of the Eurex mechanism is as follows:
In order to encourage a responsible attitude
towards use of the system's resources by members, Eurex defines limits
for the number of transactions generated on a member's front end which
are transmitted to the Eurex back end. Every "request" transaction
which generates a response to the user (e.g. Order/Quote- Add, Change,
Delete, and inquiries etc.) counts as a transaction. Product-specific
limits (number of transactions per product, per day per member) and
non-product-specific limits (number of non-product-specific transactions
per day per member) are defined. Separate limits are set for the number
of MASS Quote transactions that can be generated as part of the
product-specific limits.
Members are potentially liable for additional fees if the number of
transactions entered into the Eurex system during one day exceeds any
of the limits set in each category.
http://www.eurexchange.com/marketaccess/marketmodel/trade_types2.html#P210_24547
Eurex does not have any concept of market makers rounding up orders to
a size of ten options, so that is not an issue for Eurex. It is purely
a mechanism for penalizing excessive system activity.
Note that this charge is between the exchange and its 'members'. What
the members charge their customers can be another story, which is one
of Alex's points.
Regards
DanG
qwerasdf12345 wrote:
Doesn't Eurex have a fee structure along those lines? Something
like "X number of messages into the trading system per day is
reasonable for your type of client. X+Y we'll tolerate, but we'll
charge you for Y" with X being a fairly high number and tied to the
actual volume transacted by that client.
--- In realtraders@xxxxxxxxxxxxxxx, "Hill, Ernest E"
<ernie.hill@xxxx> wrote:
I am with you Earl. I may stop trading index options strictly on
principal since I frequently alter my bids as the market moves. The
idea
of hitting small traders that trade in lots of 10-20 with this fee
is
absurd. If the reason is to target system abusers then it should be
a
fee based on volume of order cancellations not every one.
E
-----Original Message-----
From: EarlA [mailto:earl.a@x...]
Sent: Wednesday, April 23, 2003 5:34 PM
To: realtraders@xxxxxxxxxxxxxxx
Subject: Re: [RT] Option order cancellation fees
So you penalize the small traders because they don't deal in
50
contracts at
a time. The small traders pull back and now there is less
liquidity ... but
then the only good liquidity is liquidity provided by market
makers ... what
a crock. So too is the assumption that brokerage firms will
not
pass along
the fee because they won't get hit with it 98% of the time.
When
you have a
brokerage firm which runs razor thin commissions, they are
going
to assume
that they will get hit with it because they can't afford to
assume that they
won't. Yes, maybe the fat cat brokerage firms like Schwab and
Fidelity,
which charge high commissions can eat the fee, but so what.
And
you can kiss
GTC orders via the deep discount firms goodbye because their
customers will
get hit with a cancellation fee for canceling or modifying the
order.
I pay $1.00 to IB to execute one $16,000 contract for a deep
in
the money
SPX Put and you guys charge me $1.20 to cancel an order ...
what
a deal!
I can't wait to return the call I received from the SEC today!
Earl
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