Non-display fees

[Joan]

I use IQFeed to develop/backtest trading algorithms. But then, I would like to connect these algorithms to some broker API to send orders to the market, send orders programatically. It looks like these fees are going to make it impossible to connect to any broker API. So this means that you'll have to trade manually, which defeats the whole purpose of developing trading algorithms.

The only way that occurs to me at the moment, is trying to program the trading algorithm inside the trading platform, like in NinjaTrader or TradeStation. Are these two platforms going to be classified as Non-display?

Or stick to some big broker like IB, use their API, and hope they can stop this nonsense.

 

[wintergasp]

I use IQFeed to develop/backtest trading algorithms. But then, I would like to connect these algorithms to some broker API to send orders to the market, send orders programatically. It looks like these fees are going to make it impossible to connect to any broker API. So this means that you'll have to trade manually, which defeats the whole purpose of developing trading algorithms.

The only way that occurs to me at the moment, is trying to program the trading algorithm inside the trading platform, like in NinjaTrader or TradeStation. Are these two platforms going to be classified as Non-display?

Or stick to some big broker like IB, use their API, and hope they can stop this nonsense.

It is very likely that they will not be considered as non-display because the exchange has no way (nor does the broker) of knowing whether you use TradeStation / NinjaTrader / MultiCharts "BUY" button or whether your algo does.

 

[oversea]

It is very likely that they will not be considered as non-display because the exchange has no way (nor does the broker) of knowing whether you use TradeStation / NinjaTrader / MultiCharts "BUY" button or whether your algo does.

You beat me to it. Agreed...if you're getting your MD from a vendor and it is not deemed that you need to pay non-display fees for that feed...I don't think anyone has suggested you'd encounter problems related to the Broker API that you are using for order routing. The reason being...wintergasps's point.

 

[Joan]

It is very likely that they will not be considered as non-display because the exchange has no way (nor does the broker) of knowing whether you use TradeStation / NinjaTrader / MultiCharts "BUY" button or whether your algo does.

So, you say that if I develop my own system in C++, or Java, or whatever language, and try to connect it to a broker API I'll get classified as Non-display usage. But, if I develop my trading system inside a trading platform then I will be classified as Display usage. What an absurd and unfair way of classifying usages, don't you think?

Do the Lightspeed orders coming from the API get flagged in some way, Robert?
The Sterling Trader Activex samples look like the just generate orders the same way you would clicking on the buy button.

 

[Joan]

You beat me to it. Agreed...if you're getting your MD from a vendor and it is not deemed that you need to pay non-display fees for that feed...I don't think anyone has suggested you'd encounter problems related to the Broker API that you are using for order routing. The reason being...wintergasps's point.

Reading again the FAQ
https://www.ctaplan.com/publicdocs/ctaplan/notifications/trader-update/CTA Non Display Use FAQ.pdf

it looks to me that any Market Data you get from whatever vendor is going to be flagged as soon as it allows to process the data in a programatic way, regardless of the API you use for routing the orders. Am I wrong?

 

[wintergasp]

So, you say that if I develop my own system in C++, or Java, or whatever language, and try to connect it to a broker API I'll get classified as Non-display usage. But, if I develop my trading system inside a trading platform then I will be classified as Display usage. What an absurd and unfair way of classifying usages, don't you think?

Do the Lightspeed orders coming from the API get flagged in some way, Robert?
The Sterling Trader Activex samples look like the just generate orders the same way you would clicking on the buy button.

Yes but life is not fair.

TradeStation, MultiCharts and all those platforms have some kind of risk management embedded in their shitty script language, you can't send orders in a Loop, you can't send more than a predefined amount of contracts etc. etc. maybe that has something to do.

Wait until you see how EasyLanguage works compared to a normal language like C++ and then you'll really be mad.... most of their doc is outdated or non-existent and their support is sub-standard

 

[oversea]

Reading again the FAQ
https://www.ctaplan.com/publicdocs/ctaplan/notifications/trader-update/CTA Non Display Use FAQ.pdf

it looks to me that any Market Data you get from whatever vendor is going to be flagged as soon as it allows to process the data in a programatic way, regardless of the API you use for routing the orders. Am I wrong?

In a quick read over the FAQ I don't have this same takeaway as you. Which question/answer in the FAQ are you referring to that talks about flagging? I was initially going to wait for Bob to answer you on the flagging business, but reading what you've said now, I'm wondering if I missed something.


Also, I don't follow the process you're describing...when the MD is 'processed in a programmatic way', and subsequently is firing off orders via a separate broker API - even if the orders create some suspicion (which by the way...I imagine you'd need to be doing something close to HFT-esque trading in order to raise any real suspicions - which, I've assumed you weren't based on you saying that you'd be satisfied with IQFeed MD), how does that lead back to flagging the Market Data coming from a separate vendor? If anything, perhaps such trading/orders may flag the trader, which may lead to such trader facing some rather direct questions from the broker or exchange, is that what you meant? Because otherwise, and again I don't have experience with the NYSE, but which MD feed you're using wouldn't be visible from your orders (even if you were using the same vendor for MD/OR and all the more so when it's two separate vendors).

 

[Robert Morse]

What I am uncertain about is the intention of these fees.

Very simple, revenue generation for a monopoly that feels they can do what they want. They will drive automated traders to NASDAQ stocks or the futures, where these fees are material to their returns.

 

[Joan]

In a quick read over the FAQ I don't have this same takeaway as you. Which question/answer in the FAQ are you referring to that talks about flagging? I was initially going to wait for Bob to answer you on the flagging business, but reading what you've said now, I'm wondering if I missed something.


Also, I don't follow the process you're describing...when the MD is 'processed in a programmatic way', and subsequently is firing off orders via a separate broker API - even if the orders create some suspicion (which by the way...I imagine you'd need to be doing something close to HFT-esque trading in order to raise any real suspicions - which, I've assumed you weren't based on you saying that you'd be satisfied with IQFeed MD), how does that lead back to flagging the Market Data coming from a separate vendor? If anything, perhaps such trading/orders may flag the trader, which may lead to such trader facing some rather direct questions from the broker or exchange, is that what you meant? Because otherwise, and again I don't have experience with the NYSE, but which MD feed you're using wouldn't be visible from your orders (even if you were using the same vendor for MD/OR and all the more so when it's two separate vendors).

Sorry, flagged is not the right word. I'm not an English speaker. I meant that it looks to me, that any Market Vendor that allows to process the Market Data in a way that it's not for display purposes is going to be classified by NYSE as a non-display usage. So, just from reading the FAQ, IQFeed API looks like it'll be classified as non-display (the NYSE data FEED), which is hard to believe...

Obviously, if I'm routing orders to another broker API, without accessing market data, there should not be any trouble with that broker, but I would still be using IQFeed as non-display.

I asked Robert if Lightspeed Trader flags the API requests in some way, because if not Lightspeed servers will not be able to distinguish whether I'm requesting market data through the API or just by using the program interface. So there would not be a way of distinguishing between non-display and display usage.

Supose that LTS comes with the API already enabled by default. I don't declare that I use the market data in a non-display way, but I start to use its API. No one will be able to tell what kind of usage I'm doing, that is if my algorithm trades in a human-like way.

 

[Robert Morse]

Robert, if these fees are at the "firm" level, what about creating an entity for API users? Very vanilla: no overrides, no additional leverage, etc. What do you think?

The charge is per account name. We get charged for our use and each client will have a MD account at NYSE for their account. It is my understanding that if your LLC has multiple traders, you will get one bill. We can't redistribute to get around it.