Pitfalls and special rules from brokers and exchanges

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mike168
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Pitfalls and special rules from brokers and exchanges

Post by mike168 » Sun Apr 23, 2006 5:27 am

In view of recent events I decided to start this thread which I hope will collect some special rules and execution pitfalls from brokers and exchanges. I would like to invite those of you who know more to add to this list:

1. Interactive Brokers (IB)
IB defines RTH differently for eCBOT & Globex.
The "allow stop orders to trigger outside of regular trading hours" setting have important implications for ecbot and Globex orders.
If you trade ecbot futures, this could make your stop order not working during part of the trading day.
If you trade Globex futures and use Stop orders and Stop-limit orders you should know that one order will be executed while the other will not, depending the time of the day and the above setting.

2. CME
If you trade Globex Eurodollar futures you should know the "excessive messaging rule". In short, if you place 2 day orders/cancel/correct (making a total of 4 including the automatic canceling after the day) during RTH (NOT open out-cry, which is within RTH) and none of these was executed, you will be liable to be fined $2000 if you do this twice within a 30 day period.

3. eCBOT
They will cancel your stop order if it doesn't get filled within a predetermined price range.
If you send an order outside of their "fair market value", you will be fined $1000 to $5000 per event.

disclaimer: these are based on my personal knowledge and you should refer to the specific sections of rules from the brokers and exchanges.

zacharyoxman
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Post by zacharyoxman » Mon Apr 24, 2006 3:55 pm

Not to take this off topic, but does this apply to clients directly? As a broker, this is the first I have heard of any charges or fees. Are there links from the CBOT or other sources?

mike168
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Post by mike168 » Mon Apr 24, 2006 6:51 pm

eCBOT charge:
http://www.interactivebrokers.com/en/tr ... entity=llc

CME Globex charge:
http://www.cme.com/trading/get/sup/mess ... 12089.html

In both cases IB has said it will pass on these charge to its client directly.

RedRock
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Post by RedRock » Fri Apr 28, 2006 12:00 am

This, from the 'Man'...


Recently the CBOT® has had several inquiries into Dynamic Price Limits and Order Entry functionality on its electronic trading platform. The information is an overview and links to further details are below. Dynamic Price Limits Dynamic price limits prevent obvious errors in order entry and move automatically with the market throughout the trading day based on last traded price or best bid/offer. All product month/series have dynamic price limits which will reject orders that are not within the price limits. Cont..
364 For instance, given a last trade price of 10.00 and dynamic price limit of .15, buy limit orders higher than 10.15 or sell limit orders lower than 9.85 will be rejected. If an order is entered outside of the dynamic price limits, it is rejected by the trading host and a message is sent to the user indicating the reason for rejecting the order. A market order will match against any resting bids or offers in the market up to the dynamic price limit range. If there is any remaining quantity on the market order after it reaches the dynamic price limit, it will be automatically canceled by the trading host. In volatile markets, Market Operations reserves the right to increase the dynamic price limit range in order to maintain seamless order flow. Cont...
366 Stop Orders Stop Market Order functionality is offered on the e-cbot trading host and Independent Software Vendors (ISVs) front-end software solutions. There is a difference in how these orders react to the dynamic price limit range. To minimize the impact of cascading prices resulting from the activation of e-cbot supported stop orders, dynamic price limit functionality will freeze upon the activation of an initial stop order. The freezing of dynamic price limits will continue until all stop orders triggered by the initial stop order activation have completed. Cont...
367 ISV Supported Stop Orders do not reside on the e-cbot trading host until the stop order is triggered and then they are entered in the e-cbot host for execution as a market or limit. Therefore, the e-cbot host treats these orders according to the limit and market order dynamic price limit logic described in the above sections. Each ISV supported stop market order, once triggered, is entered into the host as a market order, and may move the market by the amount of the dynamic price limit range.

mike168
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Post by mike168 » Fri Apr 28, 2006 5:36 am

I could see no reason for cancelling the order instead of limiting the order price to the extreme ends of the "dynamic range". No word on fine. I just wonder if IB made it up or it's never enforced?

BARLI
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Re: Pitfalls and special rules from brokers and exchanges

Post by BARLI » Sat Apr 29, 2006 8:59 pm

mike168 wrote:In view of recent events I decided to start this thread which I hope will collect some special rules and execution pitfalls from brokers and exchanges. I would like to invite those of you who know more to add to this list:

1. Interactive Brokers (IB)
IB defines RTH differently for eCBOT & Globex.
The "allow stop orders to trigger outside of regular trading hours" setting have important implications for ecbot and Globex orders.
If you trade ecbot futures, this could make your stop order not working during part of the trading day.
If you trade Globex futures and use Stop orders and Stop-limit orders you should know that one order will be executed while the other will not, depending the time of the day and the above setting.

2. CME
If you trade Globex Eurodollar futures you should know the "excessive messaging rule". In short, if you place 2 day orders/cancel/correct (making a total of 4 including the automatic canceling after the day) during RTH (NOT open out-cry, which is within RTH) and none of these was executed, you will be liable to be fined $2000 if you do this twice within a 30 day period.

3. eCBOT
They will cancel your stop order if it doesn't get filled within a predetermined price range.
If you send an order outside of their "fair market value", you will be fined $1000 to $5000 per event.

disclaimer: these are based on my personal knowledge and you should refer to the specific sections of rules from the brokers and exchanges.

whats fair market value? and what markets do you trade at ecbot?

mike168
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Post by mike168 » Sat Apr 29, 2006 10:44 pm

Please refer to this link:

http://www.interactivebrokers.com/en/tr ... entity=llc

Personally I trade interest rate derivatives at ecbot but this charge is not particularly related to my trading.

BARLI
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Post by BARLI » Sat Apr 29, 2006 11:14 pm

Trades outside these ranges will be cancelled by ECBOT and they impose a severe $1000 USD per event penalty and these penalties can increase to $5000 per event
can you bring an example of a situation when there would a fine?

mike168
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Post by mike168 » Sun Apr 30, 2006 8:31 am

I think you should ask IB for this as they are the source of this info.

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