HFT US equities comms

O

obsidian

Hi

We are looking at getting into HFT on US equities. Most of the experience is in FX/Futures, and my knowledge of how low comms go might be stale.

$3/10000 is what we have been offered--is this good/bad/average? On a 20 USD stock this comes out to $15/million notional.
 
That rate is called 3 mils or $0.0003/share. I don't know any customers that get that rate anymore for execution and clearing. I'm not sure what you meant by,"On a 20 USD stock this comes out to $15/million notional". If you are charged 3 mils and you trade 100M shares in a month, that will cost you $30,000 in commission.

Keep in mind that this US equity MM strategy is very competitive with many players getting directed order flow. And, non-display market data fees at co-locations like NY4 have gone up substantially 01/01/2015. See attached:
 

Attachments

Thanks for the response. We are 3mils excluding pass-through fees and excluding colo charges (although Mahwah is probably enough to start).

I don't think we would be subject to non-display fees, but I'm not sure. Why do you think we would be?
 
Because you fit the definition. An automated trading system. 3 mils is a very good rate.

Examples of Non-Display Use are, but are not limited to:  Any trading in any asset classAutomated order or quote generation and/or order pegging  Price referencing for algorithmic trading  Price referencing for smart order routing  Operations control programs  Investment analysis  Order verification  Surveillance programs  Risk management  Compliance  Portfolio Valuation

Good luck..bob
 
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