(Updates with comment from CME spokesman, additional detail throughout.)
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MB TRADING TO CHARGE FOR HIGH FREQUENCY MESSAGE FEE
by Michael Greenberg
This was just sent to MB Trading clients. The fee actually makes sense as what they describe here is a 'toxic' retail trading flow where traders (especially high-frequency and users of EAs) are sending myriads of orders which clutter the feed and prevent normal run of business. To the best of my knowledge this is the first such retail fee however major ECNs like ICAP are filtering such players for a long time now.
Effective March 1, 2012, MB Trading Forex will begin passing through a service charge for clients engaging in ultra-high frequency FX trading, which results in a high number of order message requests with minimal trade executions. The high frequency message fee is a pass-through fee that is related to a recent charge associated with trade reporting costs now enforced by the NFA.
The high frequency message fee only applies to clients who have less than 10% executions of the total messages sent and further that send in excess of 100 requests per symbol per day. These requests include: New, cancel, and change/replace order messages. This new fee is .005 per request sent that day on symbols meeting the high frequency message criteria.
This fee will be assessed daily during the maintenance clearing process.
For example, if you submitted:
50 orders for a symbol + 110 change orders + cancel 40 of the orders = a total of 200 order message requests for the day.
Of these 200 requests you received 10 executions (fills) on that symbol for the day, this would be an execution rate of: 10 Executions / 200 messages = 5%.
You would therefore not meet the minimum requirement of 10% fill rate; you would be subject to the $0.005/message fee computed as follows:
200 messages X .005 msg. fee = $1.00, applied on that day's fee report for that symbol.
Please note, this fee only applies to client requests. Any messages that are generated by our servers do not apply, for example price changes on trailing stops.
If you have any questions or concerns, please feel free to call our office 888-628-3001 or e-mail email@example.com."
MB Trading Forex
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