CBOT messaging policy

Today I received following information from CBOT (source e-cbot Bulletin # 46 of 2004) concerning their message policy:

ITMs who exceed 8,000 order message submissions with less than 10% fill percentage or exceed 1,000 messages with less than 0.5% fill percentage will be charged accordingly:

100%-110% of messgae submission cap / surcharges .10
111 - 120 / .20
120 or greater / .25

surcharges will not be applied to both tiers if traded contract volume equals 10% or greater of total message submissions.

tier 1 order message submission / per contr day
greater than 10% no limits
less than 10% order cap 8,000

tier 2
less than 0.5% greater than 1,000 messages

I would like to ask Rufus his opinion about this. (As far as I understood from him he thought that there was nothing definite - maybe something changed after this bulletin, I just don't know)

Setharb, as far as I know, CBOT includes mini dow options/futures, 30 yr 10 yr and 5 yr notes.
2 yr tr. notes are excluded
About metals I could not find any info so maybe these are excluded. Could anybody check this please.

Thanks, regards
 
im not 100% but i would have thought that metals are excluded as cbot wants to ramp up the volume - so no point putting in limits on executions or depth

whats the motivation on message limits? obviously it puts a lot of strain on the it platforms. any other reason?
 
i agree, one of the reasons for the exchange is to limit the number of traffic so it will not slow down the platform. Furthermore it will give stability. Bit I think there are some reasons; like extra revenues. One other reason could be that some partcipants/members will have some privileges. I do not like this idea by the way as I am a remote/independant trader.
 
Quote from mats:

i agree, one of the reasons for the exchange is to limit the number of traffic so it will not slow down the platform. Furthermore it will give stability. Bit I think there are some reasons; like extra revenues. One other reason could be that some partcipants/members will have some privileges. I do not like this idea by the way as I am a remote/independant trader.
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remember that the exchanges are owned by the clearing members. most people forget this and assume the markets are fair even playing fields where little guy plays on the same rules as the big guy!
 
Quote from mats:

Today I received following information from CBOT (source e-cbot Bulletin # 46 of 2004) concerning their message policy:

ITMs who exceed 8,000 order message submissions with less than 10% fill percentage or exceed 1,000 messages with less than 0.5% fill percentage will be charged accordingly:

100%-110% of messgae submission cap / surcharges .10
111 - 120 / .20
120 or greater / .25

surcharges will not be applied to both tiers if traded contract volume equals 10% or greater of total message submissions.

tier 1 order message submission / per contr day
greater than 10% no limits
less than 10% order cap 8,000

tier 2
less than 0.5% greater than 1,000 messages

I would like to ask Rufus his opinion about this. (As far as I understood from him he thought that there was nothing definite - maybe something changed after this bulletin, I just don't know)
More...

Interesting, this is news to me, but the bulletin is quite clear as to this covering 5 and 10 year, and the YM. I guess I belong to tier II, but well within bounds of the messaging policy (a 0.5% fill rate is just very low, that means 50 fills on 1000 messages, which includes market orders). I am going to check it out with my contact at eCBOT.

Also keep in mind that this is per ITM, which unlike the Merc rule (which is per firm), and a single system can utilize multiple ITMs (I know that TT restrict to one to one, but that's TT). However, the clearing firms usually do not issue multiple ITMs (which can be quite hard to get) to the same entity (note I didn't say account).
 
Quote from mats:

i agree, one of the reasons for the exchange is to limit the number of traffic so it will not slow down the platform. Furthermore it will give stability. Bit I think there are some reasons; like extra revenues. One other reason could be that some partcipants/members will have some privileges. I do not like this idea by the way as I am a remote/independant trader.
More...

Even though my systems (ATSs) are the target of these rules, I generally like this type of rules. This means that "real" client orders will get to the exchange faster, too many auto-spreaders would just stack the order book with small orders (1-2-3 lots) that clogs up the system, and on top of that the orders don't even get filled. Real client orders doesn't get through, both eCBOT and Globex experienced problems with message rates during peaks.

Yes, I hated the TT autospreader product the first time I saw it in action, the logic that can be programmed is just too simplistic, I saw one trader generating at least 2000 orders for each actual fill, that's just silly, and take up the valuable computing resources that other traders can utilize.
 
Quote from FredBloggs:

remember that the exchanges are owned by the clearing members. most people forget this and assume the markets are fair even playing fields where little guy plays on the same rules as the big guy!
More...

But if the little guys are just "noise" and worse, clog up the pipes for the actual traders, then they should pay for the portion of computing resources that they used, right? For instance, let's say Globex can handle 300 msg / sec, and of those, 30 msg /sec are the little "place and cancel" guys (who hope to get hit on one of them), then it is right that these guys to pay for 10% of the computing resources, right?

Let's say a guy generating 2k 1 lot orders, and get filled on say 20 lots, just pays around $10 (!!) of exchange fees (I am using a $0.50 exchange fee here, plus $0.25 for Globex, so $12.50). Somehow I don't think $10 would pay for the electricity of running the exchange matching systems.

On the other hand, if a large trader generating 2k 50 lot orders, still get filled on 20 orders, or 1000 lots, would pay $260 (I am using the member fee of 0.21, and $50 Globex fee).

The computing resource used by the little guy and the large guy is virtually the same (I admit some overhead in processing the partial fills of 50 lots).
 
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