Very interesting, Andrew, thank you. I checked the CME site and find
nothing on cancellation fees. Checked IB's CME discussion forum and
there is no indication that this is coming from IB and not CME. Can you share
any additional information regarding the source of this? While I don't doubt
what you say, I'm reluctant to post this information to the IB forum
without some firm basis in fact.
I wonder if some IB functions such as Trailing Stop are sending
cancel/replace messages on each tick to a higher high or lower low.
----- Original Message -----
Sent: Tuesday, May 31, 2005 9:23 AM
Subject: RE: [RT] CME Cancellation
Fees
...and that's a very misleading statement from IB. From what I can
tell, CME doesn't have a cancellation fee, but WILL be fining IB $2000 a day
starting August 1st if their ratio of messages to trades doesn't improve. For
some reason IB has decided to pass that on in the form of their own
cancellation fee starting tomorrow. Many other brokers are not affected, so we
may see traders leaving IB for more pleasant shores.
So
far today after modifications and missed fills, I'm down around $6 in
cancellation fees. Not a huge amount, but annoying
nevertheless.
Andrew
CBOE implemented order cancellation fees to drive out off-exchange
traders who were competing too fiercely for business by narrowing spreads.
At the time, I complained to the SEC which took no action on this blatant
move to reduce outside competition.
The CME appears to have learned by the absence of any pushback:
The Chicago Mercantile Exchange
(CME) will be introducing new
cancellation fees and, as of June 1,
2005, IB will be charging $1 for each
CME cancellation with a credit of
$5 for each CME executed trade. Execution
credits are applied against
cancel or modify fees for the day. Execution
credits cannot be greater
than cancel/modify fees.
I guess we will have to think twice
before entering a limit order which might not be hit or adjusting our stops
too frequently.
Earl