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Kate
just sent a great link to this discussion, buried within which is a link to the
CME statement regarding excess messaging.
Yes,
I'm sure that trailing stops affect this, especially among scalpers who may be
adjusting their stops every tick or so. I'm also sure that the abundance of good
front-end trading software like NinjaTrader, which make automatic target and
trailing stop adjustments, hasn't helped either.
Andrew
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.
Earl
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