LIFFE messaging charges

[Directional]

when trading on LIFFE using an automated strategy, LIFFE will charge the trader messaging fee's if the message/trade ratio is less than 2:1

ie: you can only send 2 messages to every 1 trade (ie: 2 requotes), or else they will charge you a fee for the message.

my question is, how do they know if the message is an automated signal, or a manual entry?

is there something in the backend of TT or at the clearer which picks up on the message origin? does LIFFE take any message sent through TT API as an automated signal, for example?

 

[arabianights]

Can't help you with your enquiry, but what exacatly is a message? Surely this isn't implying you have to trade one in three orders that you submit?

 

[Directional]

thats basically it, if you send and cancel orders via automation, liffe charges a fee, something like 20p per message, for each submit if its outside a certain submit vs fill ratio. The ratio is, last time I checked, 2:1.

So if you're doing any kind of automated quoting then you're basically stuffed on their fee's if you have to do any regular price adjusting.

 

[Glenn]

thats basically it, if you send and cancel orders via automation, liffe charges a fee, something like 20p per message, for each submit if its outside a certain submit vs fill ratio. The ratio is, last time I checked, 2:1.

So if you're doing any kind of automated quoting then you're basically stuffed on their fee's if you have to do any regular price adjusting.

The longer your timeframe the less the effect.
Also it depends on the sequence of your mods/cancellations in relation to your executions.
The way that the message fees are passed through (or not) to you may vary between brokers. Here are some examples from IB:-

"Eurex Futures executed through TWS:
1. Customer enters an order for 10 contracts, modifies and cancels. No futures orders are executed the rest of the day.

1 x EUR 0.50 = EUR 0.50 Modification fee
1 x EUR 0.50 = EUR 0.50 Cancellation fee

EUR 1.00 in modification/cancellation fees are charged.

2. Customer enters an order for 10 contracts, modifies the order 5 times and executes.

5 x EUR 0.50 = EUR 2.50 Modification fee
1 x EUR 2.50 = EUR 2.50 Execution credit

Since credit is equal to cancellation fee, nothing is charged.

3. Customer enters an order for 10 contracts in ESTX50 and 10 contracts in DAX. Customer modifies his DAX order and executes the ESTX50 order.

1 x EUR 0.50 = EUR 0.50 Modification fee (DAX)
1 x EUR 2.50 = EUR 2.50 Execution credit (ESTX50)

Since the execution credit only applies in the same product on the same day, EUR 0.50 in modification fees are charged.

Many exchanges charge fees to their members for orders that are cancelled or modified, and IB charges certain related fees to its customers to help cover these exchange fees. Please note however, that the Modify/Cancel fees listed above are not intended to be a direct "pass-through" of exchange fees. The Modify/Cancel fees that IB charges to its customers may be higher or lower than the fees that an exchange may impose on IB. IB may charge Modify/Cancel fees to its customers for orders sent to exchanges that do not impose such fees, or vice versa."

Glenn

 

[$spreader]

But doesn't the new scheme give everyone a massive 5000 messages per day before the message/trade ratio kicks in - even the most proficient price injection models/auto-spreaders will struggle to get near that amount of messages and even then they will do a certain amount of trades which entitles them to even more messages.

To be honest I don't know what this new scheme hopes to achieve,it seems like a waste of time to me.