what's the fine

Discussion in 'Financial Futures' started by dumb_mother, Dec 16, 2010.

  1. for violating the 8-1 submit to execute ratio? also anyone know if it is based on order quantity or simply orders- ie could i fake 100x 1000 lots and then offset it by doing 20 1-lots? also does it matter which market you do it in- ie could you fake in the zn and then offset it with a lot of 1-lots in the tu later?

    was unsure of these things and wanted to avoid a fine. please don't tell me how stupid it is to fake stuff- it's kind of like telling a poker player never to bluff- i mean bluffing is bad if you bluff poorly, but tell some LAG players not to bluff and they'll laugh at you.
  2. bone

    bone ET Sponsor

    Well, the message-to-fill ratio varies between exchanges, and each exchange website will have a circular or member notice detailing their latest policy. Usually it is around 18:1. They also change the policy sometimes between products to promote liquidity, and some exchanges designate "off-hours" where they change the policy or even suspend it to promote liquidity.

    The message policy, depending upon the exchange, is usually applicable for all types of messages including a cancellation or quantity change. Some exchanges will let you reduce your quantity size while maintaining queue position.

    Having been recipient of said warnings down through the years, the exchange always tends to deal directly with your broker and as they say, the sh*t flows downstream from there. Typically, the first case is a direct warning from your broker to you, with somebody at your FCM telling you to 'knock it off'. The fines are structured according to the severity of your infraction(s), and the pisser is that the exchange typically docks the FCM and the FCM deducts it from your trading account - and your clearing agreement allows for it whether you realize it or not.
  3. olias


    I like your analogy
  4. thanks for the info- at least it sounds like i'll get a warning- i'm not worried about the fines being deducted without my knowledge just want to know what pain i'm in for when they hit (i'm sure i've made up for it with all my stealing anyways) i typically trade 2-3k contracts a day it is just i'm not sure how many distinct orders those come in~ i probably fake at least 300 orders a day and try and make up for it by 1-lotting the tu 150 times when that was going to be what i hedged with anyways (also if you give up the edge on 50 or so of those they tend to move it one price against you anyways to try and f those 50 and you end up getting the edge on the other 100 but that is beyond the point)

    thanks bone for the response- not sure if i've posted enough to warrant your noticing my sn but i do read your posts when they are in threads i'm interested in. wish you the best.


    on a side note any idea if my ploy of 1-lotting the tu will let me escape their wraith? i was at a different firm before and could hide all my faking in the midst of 50 traders' orders- now i'm the only one at my new firm trading futures (the rest just trade options) so i'm worried i might stick out a bit more if that doesn't work.

  5. Why do you think they call him bone. One of his fines, was 2 broken bones. After that he finally stopped trading, and decided to teach for a living.

  6. TraDaToR


  7. bone

    bone ET Sponsor

    "on a side note any idea if my ploy of 1-lotting the tu will let me escape their wraith?"

    If they are fills, yes. Several years ago, I used to use quite a bit of automation like AutoSpreader for example to trade the Eurex yield curve. I used to keep count of my messages and ping off some one-lot buy or sell fills to keep my message-to-fill ratio down. Please be advised that if you have FIFO priority in the queue and are crossing the fills with yourself to satisfy the policy you will get a phone call directly from the exchange - that is frowned upon. The fine structure used to be much smaller - firms were abusing the system; basically buying themselves additional messages.

    If you use TT, you can keep track of your messages via the command log window and your position monitor window. While I still use the AutoSpreader on the Pro license, I don't turn it on until the market is trading right at my level. TT does (or used to)offer a plug-in app to monitor your message-to-fill ratio as I recall. It may still be available on a custom basis from them.
  8. bone

    bone ET Sponsor

    "One of his fines, was 2 broken bones."

    Almost. I actually never got a formal fine - but the Eurex, Liffe, and ICE desks have my cell phone number. They have called me more about crossing orders than messages these days [that's another topic altogether]. You have to be selective - if you turn on your automation and keep it on for extended time periods, your FCM will get a nasty phone call. Even after building out their ECNs the exchanges are very proactive about making sure that the system isn't 'abused' in their eyes.

    One of the big reasons I don't use automated spreading tools as much as I used to is that IF you are pricing (quoting) one product based upon the price of another [and why wouldn't you] at that same exchange, your order is designated by the exchange as 'contingent' which keeps you in the back of the order queue in terms of FIFO fill priority. So, in essence, even with the AutoSpreader the market pretty much has to trade through you in order to get filled. I actually still manually leg most of my spread trades with price limit orders that have better FIFO order priority with the exchange.
  9. bone

    bone ET Sponsor

    " i was at a different firm before and could hide all my faking in the midst of 50 traders' orders"

    Ditto. We cleared Deutsche Bank for Eurex and I was the only "Size" HF high volume spread trader at a big Chicago prop firm of about 50 scalpers. I am positive that it was a big help for me that I was intermingling with alot of 'background' noise. Again, I think the key is not to be 'lazy' or abusive to the point where you make yourself obvious.
  10. TT allows you to view your transactions / fills or fills / transactions. i use autospreader all day and live off this as it allows me to stay within the exchnange mandates. as for crossing yourself, use the avoid orders that cross feature or you're gonna have big brother on your doorstep.
    #10     Dec 17, 2010