Autospreaders and LIFFE - A WARNING

[TWI]

Just so anybody who has not registered their price injection model with LIFFE is aware that they better do it.
I started using the autotrader on TT Pro to trade Euribor on LIFFE a while ago, totally ignorant of the fact that LIFFE require you to register these models and puts a limitation on the number of messages that these models send vs. the number of lots they trade. As a result, I found out today that there was a very large bill waiting for me at Liffe for doing nothing more than running my model.
If you are doing this sort of thing, make sure you contact your account manager at LIFFE immediately as you may then just get away with it . I had to promise to turn the thing off and only sensible things in the future. Shame really, it was working for me rather well.

 

[jklondon]

interesting - I know of a company that develops a spread trading software (mostly targeted at IBs) they came across the same thing and had to introduce a pretty complex throttling solution for sending orders (i.e. avoid "uneccessary orders"). Think other markets will follow this approach as these tools and volumes grow.

Whats your opinion on the AutoSpreader in TT anyway ?

 

[TWI]

Great, until today. Actually like the "Autotrader" spreadsheet thing as it allows you to really model orders rather than just sticking simple spread levels in.

 

[jklondon]

interesting - could you stick a screenshot / attachment on here to show what it actually offers ?
I get the impression LIFFE should have been more proactive here with their Clients rather than wacking them with fines!

 

[TWI]

Not easy as cannot transfer screenshot since TT PC is on seperate network without Internet access. Have to burn to disk and copy accross. Will do this later.

 

[jklondon]

cheers

 

[jmreeve]

Quite worrying to hear this as I thought LIFFE had a fairly easy going policy in this respect.
What sort of limits to the number of cancel/modify orders vs volume are they setting?

Eurex have cancel/modify fees as a way of controlling black box traders.
Have LIFFE done something similar or is it just fining people?

 

[jklondon]

there is a ratio of orders vs trades but I cant remember what this is. Again the point it to prevent system driven traders from hogging the bandwith so to speak.

 

[jimvt]

What sort of frequency of orders, or ratio of orders/trades are we talking about before Liffe or others start penalising in some way?

 

[TWI]

Depends on the market, Euribor is set at 1lot minimum traded by the black box per 2 messages ( a message constitutes the placing of an order or the amending of an order).

 

[TWI]

It is amazing how whenever I speak to LIFFE I get the impression that they think they are the customer rather than the other way around. With the amount of money I pay them every month it is unbelievable that they can get away with this arrogance.

 

[jmreeve]

I notice there is a daily allocation of 5000 messages before any charging occurs and the majority of private automated traders will not place anywhere near this number of orders in a day.

Think this will have more impact on arcade and institutional black box traders than anyone else.

 

[jmreeve]

It is amazing how whenever I speak to LIFFE I get the impression that they think they are the customer rather than the other way around. With the amount of money I pay them every month it is unbelievable that they can get away with this arrogance.

I can see the exchanges view on this one as all these messages require the exchange to have a lot of bandwidth which costs it money. If the messages are not generating volume then the exchange is loosing out.

There are also some serious bandwidth abusers about. For instance, I was watching data from an ECN feed yesterday and before the open, the bid size on one stock kept toggling between 100 and 200 shares about 20 times per second. By the time the market opened this had generated 36000 mesages all of which were garbage.

If charging for messages makes the software developers think more carefully about order placement then I don't think it's a bad thing.

TW- Is using you autospreader still viable with these new charges?

 

[theknifemac]

I can see the exchanges view on this one as all these messages require the exchange to have a lot of bandwidth which costs it money. If the messages are not generating volume then the exchange is loosing out.

There are also some serious bandwidth abusers about. For instance, I was watching data from an ECN feed yesterday and before the open, the bid size on one stock kept toggling between 100 and 200 shares about 20 times per second. By the time the market opened this had generated 36000 mesages all of which were garbage.

If charging for messages makes the software developers think more carefully about order placement then I don't think it's a bad thing.

TW- Is using you autospreader still viable with these new charges?

Euronext Paris also charges for excessive orders in stocks. Don't know about the other Euronext exchanges.

Stew

 

[TWI]

TW- Is using you autospreader still viable with these new charges?

It is OK to use it with large volume orders but not with smaller ones. I used to do 20lots and just enter it 5-10 times at the same price, this is why I got hit with a very large bill.
Also it is fine to use on spread products as less changes are required in a day there.

 

[jklondon]

does anyone know of other autospreaders in the marketplace for interest rate products - intersted in seeing the TT sheet still

 

[jmreeve]

Euronext Paris also charges for excessive orders in stocks. Don't know about the other Euronext exchanges.

I think a lot of exchanges are likely to go this way.

Continuing to be amazed by messaging from the ECNs. SPY on ARCA requoted almost 500 times in a period of less than half a second at one point today. Impossible for any person to keep up with and very difficult for most computers to keep up with too. If using an order tax prevents this sort of activity on LIFFE then I think it must be a good thing for the majority of market participants.

 

[jmreeve]

It is OK to use it with large volume orders but not with smaller ones. I used to do 20lots and just enter it 5-10 times at the same price, this is why I got hit with a very large bill.
Also it is fine to use on spread products as less changes are required in a day there.

It will be interesting to see if there are more large trades done as the result of this change.
Suspect the larger algorthmic traders will just do a deal that lets them carry on.