Detailed Trading Fees

R

ronin266

Ok, as there is a lack of Info about trading costs on this site, and some "strange" stuff I found on a couple of brokers, I would like to write a post about the trading costs (fees) involved on Prop Trading:

As far as I know the fees are:

1. Broker commission (depends on volume and style) - From 0.000 to 3$/share or per trade basis, in some situation monthly or even yearly.

2. ECN fee - Depends on routing strategy, touched markets/books, liq. tag, etc. all the info can be found on ECN sites.

EDGA fee schedule
EDGX fee schedule
NYSE fee schedule
NYSE ARCA fee schedule
BATSZ/Y fee schedule
NASDAQ/BX/PH fee schedule
CBSX fee schedule

3. SEC fee - Like 22.4$ per M$ traded. Only applies to sell/short side SEC fees

4. Trading activity fee (TAF) - $0.000095 per share. Only applies to sell/short side FINRA

5. NSCC clearing fee - Any idea how this is calculated? NSCC schedule

Those are all right?
 
Now I've a couple of questions regarding some accounts with suspicious fees:

CASE #1

Some strange fees added:

Clear, NYSE, NSDQ. No TAF fee ??? wtf?

Wrong asuroux fee, liq tag V (add to EDGA) counted as a charge.

feees.gif


CASE #2

No NSCC, no TAF, and some Misc fee???.

feeees2.gif


In case 1 looks like overcharges. case 2 look like my orders aren't getting into the market.
 
whats your commission rate? you might need to add clearing + commission fee. Sometimes it's billed separately under what the clearing firm charges and the difference that goes to you brokerage.
 
It´s on the sheets, in case one is 0.0055, the second one 0.0003. What I'm worried about are the non standard fees of both cases.....
 
I notice in case #1 you get credited a 0.25 rebate for adding on BATS. I believe the top tier rebate is 0.29, I don't know if your broker qualifies, some do and pocket the difference.
 
This might help a bit regarding the pass through ECN fees for both taking and providing. I can't 100% guarantee the accuracy, since they do seem to change from time to time, but I checked the primary ones.

You'll note that when we use Sigma X (router) it goes to GS dark pool first, but will only fill if a full half cent price improvement takes place from NBBO, but minus a 15 cent fee, leaving 35 cents.

Gotta be REAL CAREFUL with routing since you can PAY to provide on the Inverse ECN's, and they have just minor differences, like EdgeA for example. They pay you to TAKE, and charge you to provide.

I think you guys know why and how these Inverse ECN's work, but if not, let me know, glad to help.

Anyway, this may help:

www.stocktrading.com/routing2012.xls

Don
 
Quote from Don Bright:

This might help a bit regarding the pass through ECN fees for both taking and providing. I can't 100% guarantee the accuracy, since they do seem to change from time to time, but I checked the primary ones.

You'll note that when we use Sigma X (router) it goes to GS dark pool first, but will only fill if a full half cent price improvement takes place from NBBO, but minus a 15 cent fee, leaving 35 cents.

Gotta be REAL CAREFUL with routing since you can PAY to provide on the Inverse ECN's, and they have just minor differences, like EdgeA for example. They pay you to TAKE, and charge you to provide.

I think you guys know why and how these Inverse ECN's work, but if not, let me know, glad to help.

Anyway, this may help:

www.stocktrading.com/routing2012.xls

Don
More...

Hi Don, thanks for your reply.

I thought that EDGA isn´t an inverse ECN since a long time ago (the only ones that still have that status are nsdqbx, batsy and cbsx), and now it's only a cheap take liquidity tool... Even in their fee schedule it´s specified that tag V have a rebate:

Rebates indicated by parentheses ()

Flag Description Fee/(Rebate)
V4 Add liquidity to EDGA book (Tape A) (0.0003)


Regarding the BATS rebate, I think i'ts ok for them to keep the difference, if they make any :). Now when I'm starting doing the 1% condition to get the full rebate, then I'll talk to them :).

So..... concerning the CASE 1, then, I suppose that the firm is scalping from me, taking some rebates, and overcharging with weird non-existent fees (nyse/nsdq,etc) as I suspected....

Now regarding CASE 2, what does means the lack of fees in the report?. I know that when I talk to them they will gladly add them :D. But are those orders getting to the market at all without them?. Anyone knows?.


P.S. Don, thanks for the spreadsheet, but I already have it, got it researching darkpool routes, their mechanics and fees :)

Please don't ask me about the firms by PM, i'll not say anything, I just wanna clarify this issues, and maybe help others to have more control in their reports.
 
Hi ronin, Don,

Your discussion have been very useful and I had gained valuable insights into how rebates work and the difference in the ECNs. However there are few things that I am finding it difficult to find information about and would be very grateful if you could help me out.

To start with I would like to ask you how can I actually remove liquidity on YBATS and get paid for it? I have various BATS and BYXX ECN routing options but none of these seems to do the work for me. What other options do I have if I want to get paid for removing liquidity? I had tried using CBSX but I keep getting a message that there is no connection to the CBSX server. Do I have to talk to the support guys at my prop firm to solve that problem for me?

My other question is regarding some other ECNs that I have available but have no idea what their fee structure is or the routing & order types that they have available to traders. I would greatly appreciate any additional info on these ECNs such orders types, priority of execution and fees structure. They are as follows:
TRAC, MILL, NSXS, DTTX, BYXX, NQPX, XBOS, CSFB.

I would like to thank you in advance,

Sincerely,
proptrader911
 
Quote from proptrader911:

Hi ronin, Don,

Your discussion have been very useful and I had gained valuable insights into how rebates work and the difference in the ECNs. However there are few things that I am finding it difficult to find information about and would be very grateful if you could help me out.

To start with I would like to ask you how can I actually remove liquidity on YBATS and get paid for it? I have various BATS and BYXX ECN routing options but none of these seems to do the work for me. What other options do I have if I want to get paid for removing liquidity? I had tried using CBSX but I keep getting a message that there is no connection to the CBSX server. Do I have to talk to the support guys at my prop firm to solve that problem for me?

My other question is regarding some other ECNs that I have available but have no idea what their fee structure is or the routing & order types that they have available to traders. I would greatly appreciate any additional info on these ECNs such orders types, priority of execution and fees structure. They are as follows:
TRAC, MILL, NSXS, DTTX, BYXX, NQPX, XBOS, CSFB.

I would like to thank you in advance,

Sincerely,
proptrader911
More...

NSXS - National stock exchange
BYXX - BATS Y
NQPX - NASDAQ PX
XBOS - Boston exchange
CSFB - I think it's CreditSuisse floor broker
About TRAC and MILL i'm not sure , maybe some market maker or a dark algo route.
 
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