IB's option cancellation fee

Quote from babutime:

Thanks for that spreadsheet!

Yeah C# is definitely nice but unless you're gonna do some full-fledged marketable product, I'd stick with VB. I've used C# a while back at a software company I worked at. Mostly database stuff. I didn't like it THAT much- partly cuz it's half assed.

VB is simple and nice and easy to learn and work with. C++ is the big daddy but you (probably) won't need that either. In between the two lies C#.

If your goal is something insane- Visual C++ or even Java- plenty of libraries for just about anything financial. If it is something simple, I'd stick to VB.

... apologies to the OP. We have seriously gone off on tangents.
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Well my goals are pretty simple, at least thus far, so maybe I'll just stick with VB as you say. No need in overcomplicating. Thanks for the tip :)
 
Quote from Options12:

You received notices of margin calls despite only using 5 - 10% of margin? Portfolio Margin or Reg T?

I think IB might be the only broker that uses software to auto-liquidate intra-day due to an intra-day margin call. If you know of others, please let me know.

Thanks.
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Reg-T... Margin calls came from EOD price glitches every time. At the close on Friday the posted spreads can get a little wacky. Enough to take my account below maintenance margin levels. The first one freaked me out a bit, but the second and third time it happened I didn't worry about it. I just get a notice that says to wire money by the open of the next trading day. Generally, right after I get the message, the prices are back close to where they should be.

I don't know of any others that use algos to auto-liquidate intraday, but I would guess that most of the big ones use software to a certain extent. It would get a bit complicated to keep up with 10,000 client accounts during a flash crash. Do you really want them to be liquidating positions manually?

IMO, the risk of them blowing out my account due to an auto-liquidation error is much lower than the risk of an unregulated rogue trader bringing down the entire firm. Also, if it was a program glitch that causes the liquidation, then I have some legal recourse. If it is a rogue trader, that is just a stated risk of trading commodities.
 
Quote from TskTsk:

Well my goals are pretty simple, at least thus far, so maybe I'll just stick with VB as you say. No need in overcomplicating. Thanks for the tip :)
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Still lots of companies use VB for risk software development. A few years ago, when I was interviewing, all they did was throw in some VAR based on log-normal distribution at 99.99% C.I.

Now that shit's happened, they use some form of stable distribution and code that in. LOL!!

So yeah VB is pretty friggin powerful for all it's worth. And the express version is free from Microsoft- SQLite and all that included.

Good luck. Keep us posted on your developments!

I'll begin Java tomorrow.
 
Quote from babutime:

Still lots of companies use VB for risk software development. A few years ago, when I was interviewing, all they did was throw in some VAR based on log-normal distribution at 99.99% C.I.

Now that shit's happened, they use some form of stable distribution and code that in. LOL!!

So yeah VB is pretty friggin powerful for all it's worth. And the express version is free from Microsoft- SQLite and all that included.

Good luck. Keep us posted on your developments!

I'll begin Java tomorrow.
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Not bad, I always had the impression VB was too simple for such tasks.. My opinion has definitely changed a bit now... Think I'll just stick with VB for the time being

Thanks for this and good luck with your developments as well!
 
Quote from Epic:

I don't know of any others that use algos to auto-liquidate intraday, but I would guess that most of the big ones use software to a certain extent. It would get a bit complicated to keep up with 10,000 client accounts during a flash crash. Do you really want them to be liquidating positions manually?
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Epic, Yes, you would absolutely want your firm to use a manual liquidation during a flash crash.

The last thing you would want is an auto-liquidation algo to wipe out positions during the worst few minutes of a flash crash.

Using auto-liquidation algos during a flash crash would mean that the firm's customer capital base would be severely damaged by the time the market returned to normal.
 
Quote from Options12:

Epic, Yes, you would absolutely want your firm to use a manual liquidation during a flash crash.

The last thing you would want is an auto-liquidation algo to wipe out positions during the worst few minutes of a flash crash.

Using auto-liquidation algos during a flash crash would mean that the firm's customer capital base would be severely damaged by the time the market returned to normal.
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What if there was no short term recovery, but instead follow through selling causing greater losses?
 
Quote from rmorse:

The exchanges charge cancellation fees from hitting a ratio of cancellations to executed orders and is monitored at the broker dealer level.

Because IB hits those levels from their own trading, it's easier to charge everyone than just charge the account that creates the fees.

The fees come from the option exchanges because they cause bandwidth issues. When I was on the AMEX, trading firms could shut down the system by sending millions of IOC orders in during a short period of time. We had to add system capacity to cover these orders which were making it difficult for our customers to trade.
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And just remember - these fees are not to raise revenue for the exchanges. They are to cover the costs of bandwidth.

One market-maker streaming quotes might have ten million price changes over the course of a day. Your 46 cancels will incur heavy fees.

All the best,
Your IB Team
 
Quote from Publicus:

And just remember - these fees are not to raise revenue for the exchanges. They are to cover the costs of bandwidth.

One market-maker streaming quotes might have ten million price changes over the course of a day. Your 46 cancels will incur heavy fees.

All the best,
Your IB Team
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Sorry but you are wrong as market makers are not subject to the same set of constraints and thus their quotes are not factored in by the exchanges in the calculation for clients (never mind that the MM quotes are run via separate APIs, lines, logins, ids, etc).

You should do some research before you make false statements.
 
I believe cancellation fees are only for "customers", which are generally not charged on most floors for execution. "pro customer" , firm electronic and local MM are not subject to cancellation fees because they pay higher fees for trading.
 
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