Allocation of Partial Fills

Title:

How are executions allocated when an order receives a partial fill because an insufficient quantity is available to complete the allocation of shares/contracts to sub-accounts?

 

Overview:

From time-to-time, one may experience an allocation order which is partially executed and is canceled prior to being completed (i.e. market closes, contract expires, halts due to news, prices move in an unfavorable direction, etc.). In such cases, IB determines which customers (who were originally included in the order group and/or profile) will receive the executed shares/contracts. The methodology used by IB to impartially determine who receives the shares/contacts in the event of a partial fill is described in this article.

 

Background:

Before placing an order CTAs and FAs are given the ability to predetermine the method by which an execution is to be allocated amongst client accounts. They can do so by first creating a group (i.e. ratio/percentage) or profile (i.e. specific amount) wherein a distinct number of shares/contracts are specified per client account (i.e. pre-trade allocation). These amounts can be prearranged based on certain account values including the clients’ Net Liquidation Total, Available Equity, etc., or indicated prior to the order execution using Ratios, Percentages, etc. Each group and/or profile is generally created with the assumption that the order will be executed in full. However, as we will see, this is not always the case. Therefore, we are providing examples that describe and demonstrate the process used to allocate partial executions with pre-defined groups and/or profiles and how the allocations are determined.

Here is the list of allocation methods with brief descriptions about how they work.

·         AvailableEquity
Use sub account’ available equality value as ratio. 

·         NetLiq
Use subaccount’ net liquidation value as ratio

·         EqualQuantity
Same ratio for each account

·         PctChange1:Portion of the allocation logic is in Trader Workstation (the initial calculation of the desired quantities per account).

·         Profile

The ratio is prescribed by the user

·         Inline Profile

The ratio is prescribed by the user.

·         Model1:
Roughly speaking, we use each account NLV in the model as the desired ratio. It is possible to dynamically add (invest) or remove (divest) accounts to/from a model, which can change allocation of the existing orders.

 

 

 

Basic Examples:

Details:

CTA/FA has 3-clients with a predefined profile titled “XYZ commodities” for orders of 50 contracts which (upon execution) are allocated as follows:

Account (A) = 25 contracts

Account (B) = 15 contracts

Account (C) = 10 contracts

 

Example #1:

CTA/FA creates a DAY order to buy 50 Sept 2016 XYZ future contracts and specifies “XYZ commodities” as the predefined allocation profile. Upon transmission at 10 am (ET) the order begins to execute2but in very small portions and over a very long period of time. At 2 pm (ET) the order is canceled prior to being executed in full. As a result, only a portion of the order is filled (i.e., 7 of the 50 contracts are filled or 14%). For each account the system initially allocates by rounding fractional amounts down to whole numbers:

 

Account (A) = 14% of 25 = 3.5 rounded down to 3

Account (B) = 14% of 15 = 2.1 rounded down to 2

Account (C) = 14% of 10 = 1.4 rounded down to 1

 

To Summarize:

A: initially receives 3 contracts, which is 3/25 of desired (fill ratio = 0.12)

B: initially receives 2 contracts, which is 2/15 of desired (fill ratio = 0.134)

C: initially receives 1 contract, which is 1/10 of desired (fill ratio = 0.10)

 

The system then allocates the next (and final) contract to an account with the smallest ratio (i.e. Account C which currently has a ratio of 0.10).

A: final allocation of 3 contracts, which is 3/25 of desired (fill ratio = 0.12)

B: final allocation of 2 contracts, which is 2/15 of desired (fill ratio = 0.134)

C: final allocation of 2 contract, which is 2/10 of desired (fill ratio = 0.20)

The execution(s) received have now been allocated in full.

 

Example #2:

CTA/FA creates a DAY order to buy 50 Sept 2016 XYZ future contracts and specifies “XYZ commodities” as the predefined allocation profile. Upon transmission at 11 am (ET) the order begins to be filled3 but in very small portions and over a very long period of time. At 1 pm (ET) the order is canceled prior being executed in full. As a result, only a portion of the order is executed (i.e., 5 of the 50 contracts are filled or 10%).For each account, the system initially allocates by rounding fractional amounts down to whole numbers:

 

Account (A) = 10% of 25 = 2.5 rounded down to 2

Account (B) = 10% of 15 = 1.5 rounded down to 1

Account (C) = 10% of 10 = 1 (no rounding necessary)

 

To Summarize:

A: initially receives 2 contracts, which is 2/25 of desired (fill ratio = 0.08)

B: initially receives 1 contract, which is 1/15 of desired (fill ratio = 0.067)

C: initially receives 1 contract, which is 1/10 of desired (fill ratio = 0.10)

The system then allocates the next (and final) contract to an account with the smallest ratio (i.e. to Account B which currently has a ratio of 0.067).

A: final allocation of 2 contracts, which is 2/25 of desired (fill ratio = 0.08)

B: final allocation of 2 contracts, which is 2/15 of desired (fill ratio = 0.134)

C: final allocation of 1 contract, which is 1/10 of desired (fill ratio = 0.10)

 

The execution(s) received have now been allocated in full.

Example #3:

CTA/FA creates a DAY order to buy 50 Sept 2016 XYZ future contracts and specifies “XYZ commodities” as the predefined allocation profile. Upon transmission at 11 am (ET) the order begins to be executed2  but in very small portions and over a very long period of time. At 12 pm (ET) the order is canceled prior to being executed in full. As a result, only a portion of the order is filled (i.e., 3 of the 50 contracts are filled or 6%). Normally the system initially allocates by rounding fractional amounts down to whole numbers, however for a fill size of less than 4 shares/contracts, IB first allocates based on the following random allocation methodology.

 

In this case, since the fill size is 3, we skip the rounding fractional amounts down.

 

For the first share/contract, all A, B and C have the same initial fill ratio and fill quantity, so we randomly pick an account and allocate this share/contract. The system randomly chose account A for allocation of the first share/contract.

 

To Summarize3:

A: initially receives 1 contract, which is 1/25 of desired (fill ratio = 0.04)

B: initially receives 0 contracts, which is 0/15 of desired (fill ratio = 0.00)

C: initially receives 0 contracts, which is 0/10 of desired (fill ratio = 0.00)

 

Next, the system will perform a random allocation amongst the remaining accounts (in this case accounts B & C, each with an equal probability) to determine who will receive the next share/contract.

 

The system randomly chose account B for allocation of the second share/contract.

A: 1 contract, which is 1/25 of desired (fill ratio = 0.04)

B: 1 contract, which is 1/15 of desired (fill ratio = 0.067)

C: 0 contracts, which is 0/10 of desired (fill ratio = 0.00)

 

The system then allocates the final [3] share/contract to an account(s) with the smallest ratio (i.e. Account C which currently has a ratio of 0.00).

A: final allocation of 1 contract, which is 1/25 of desired (fill ratio = 0.04)

B: final allocation of 1 contract, which is 1/15 of desired (fill ratio = 0.067)

C: final allocation of 1 contract, which is 1/10 of desired (fill ratio = 0.10)

 

The execution(s) received have now been allocated in full.

 

Available allocation Flags

Besides the allocation methods above, user can choose the following flags, which also influence the allocation:

·         Strict per-account allocation.
For the initially submitted order if one or more subaccounts are rejected by the credit checking, we reject the whole order.

·         “Close positions first”1.This is the default handling mode for all orders which close a position (whether or not they are also opening position on the other side or not). The calculation are slightly different and ensure that we do not start opening position for one account if another account still has a position to close, except in few more complex cases.


Other factor affects allocations:

1)      Mutual Fund: the allocation has two steps. The first execution report is received before market open. We allocate based onMonetaryValue for buy order and MonetaryValueShares for sell order. Later, when second execution report which has the NetAssetValue comes, we do the final allocation based on first allocation report.

2)      Allocate in Lot Size: if a user chooses (thru account config) to prefer whole-lot allocations for stocks, the calculations are more complex and will be described in the next version of this document.

3)      Combo allocation1: we allocate combo trades as a unit, resulting in slightly different calculations.

4)      Long/short split1: applied to orders for stocks, warrants or structured products. When allocating long sell orders, we only allocate to accounts which have long position: resulting in calculations being more complex.

5)      For non-guaranteed smart combo: we do allocation by each leg instead of combo.

6)      In case of trade bust or correction1: the allocations are adjusted using more complex logic.

7)      Account exclusion1: Some subaccounts could be excluded from allocation for the following reasons, no trading permission, employee restriction, broker restriction, RejectIfOpening, prop account restrictions, dynamic size violation, MoneyMarketRules restriction for mutual fund. We do not allocate to excluded accountsand we cancel the order after other accounts are filled. In case of partial restriction (e.g. account is permitted to close but not to open, or account has enough excess liquidity only for a portion of the desired position).

 

 

Footnotes:

1.        Details of these calculations will be included in the next revision of this document.

2.        To continue observing margin in each account on a real-time basis, IB allocates each trade immediately (behind the scenes) however from the CTA and/or FA (or client’s) point of view, the final distribution of the execution at an average price typically occurs when the trade is executed in full, is canceled or at the end of day (whichever happens first).

3.       If no account has a ratio greater than 1.0 or multiple accounts are tied in the final step (i.e. ratio = 0.00), the first step is skipped and allocation of the first share/contract is decided via step two (i.e. random allocation).

 

Additional Information Regarding the Use of Stop Orders

U.S. equity markets occasionally experience periods of extraordinary volatility and price dislocation. Sometimes these occurrences are prolonged and at other times they are of very short duration. Stop orders may play a role in contributing to downward price pressure and market volatility and may result in executions at prices very far from the trigger price. 

Investors may use stop sell orders to help protect a profit position in the event the price of a stock declines or to limit a loss. In addition, investors with a short position may use stop buy orders to help limit losses in the event of price increases. However, because stop orders, once triggered, become market orders, investors immediately face the same risks inherent with market orders – particularly during volatile market conditions when orders may be executed at prices materially above or below expected prices.
 
While stop orders may be a useful tool for investors to help monitor the price of their positions, stop orders are not without potential risks.  If you choose to trade using stop orders, please keep the following information in mind:
 
·         Stop prices are not guaranteed execution prices. A “stop order” becomes a “market order” when the “stop price” is reached and the resulting order is required to be executed fully and promptly at the current market price. Therefore, the price at which a stop order ultimately is executed may be very different from the investor’s “stop price.” Accordingly, while a customer may receive a prompt execution of a stop order that becomes a market order, during volatile market conditions, the execution price may be significantly different from the stop price, if the market is moving rapidly.
 
·         Stop orders may be triggered by a short-lived, dramatic price change. During periods of volatile market conditions, the price of a stock can move significantly in a short period of time and trigger an execution of a stop order (and the stock may later resume trading at its prior price level). Investors should understand that if their stop order is triggered under these circumstances, their order may be filled at an undesirable price, and the price may subsequently stabilize during the same trading day.
 
·         Sell stop orders may exacerbate price declines during times of extreme volatility. The activation of sell stop orders may add downward price pressure on a security. If triggered during a precipitous price decline, a sell stop order also is more likely to result in an execution well below the stop price.
 
·         Placing a “limit price” on a stop order may help manage some of these risks. A stop order with a “limit price” (a “stop limit” order) becomes a “limit order” when the stock reaches or exceeds the “stop price.” A “limit order” is an order to buy or sell a security for an amount no worse than a specific price (i.e., the “limit price”). By using a stop limit order instead of a regular stop order, a customer will receive additional certainty with respect to the price the customer receives for the stock. However, investors also should be aware that, because a sell order cannot be filled at a price that is lower (or a buy order for a price that is higher) than the limit price selected, there is the possibility that the order will not be filled at all. Customers should consider using limit orders in cases where they prioritize achieving a desired target price more than receiving an immediate execution irrespective of price.
 
·         The risks inherent in stop orders may be higher during illiquid market hours or around the open and close when markets may be more volatile. This may be of heightened importance for illiquid stocks, which may become even harder to sell at the then current price level and may experience added price dislocation during times of extraordinary market volatility. Customers should consider restricting the time of day during which a stop order may be triggered to prevent stop orders from activating during illiquid market hours or around the open and close when markets may be more volatile, and consider using other order types during these periods.
 
·         In light of the risks inherent in using stop orders, customers should carefully consider using other order types that may also be consistent with their trading needs.

Notice of Special Margin Requirements Relating to UK Referendum (BrExit)

NOTICE DATED 16 June 2016

On 23 June 2016, the UK will vote on a referendum (i.e., BrExit) to decide whether to remain a part of the European Union. This vote is expected to create substantial market volatility in the days leading up to the vote and perhaps even greater volatility should the final vote be for the UK to separate from the EU. The market consensus suggests that separation would lead to a weaker GBP, lower equity prices in the short term, and a possible secondary adverse effect on the EUR due to the precedent setting event of a country leaving the EU.

In anticipation of this volatility, IB will be increasing margin across a range of products, including the following:


• GBP currency/assets: maintenance margin 7.5% (now 2.5%), initial margin 12% (now 9%)
• EUR currency/assets: maintenance margin 5% (now 3.0%), initial margin 5% (now 4%)
• GBP/EUR currency futures: same margins as for spot FX above
• GBP/EUR currency options: scanning range for maintenance margin will increase to 7%.
• FTSE index derivatives: scanning range for maintenance margin will increase from 5.6% to 8%
• GBP denominated stocks: portfolio margin maintenance of 20% (already in place)
• CFDs on GBP denominated stocks: same as the underlying stock
• UK linked stocks (for example, ADRs on UK stocks: portfolio margin maintenance will increase to 20%
 

Changes are to be implemented in steps over a 4 business days period starting 16 June, 2016. IB urges all clients with substantial positions in products that are considered exposed to the BrExit vote, in particular those with net short option positions, to prepare for substantially higher upcoming margin requirements and adjust their risk and/or capital positions accordingly.
 

有關實物交割規則的信息

IB不具備進行實物交割的條件。對於需通過底層商品實物交割進行結算的期貨合約(實物交割期貨),帳戶持有人可能無法發起或接收底層商品交割。

帳戶持有人有義務瞭解每種產品的結算期限。如果帳戶持有人未在結算截止日期前平倉實物交割期貨合約中的頭寸,IB可能在無事先通知的情況下清算該帳戶持有人即將到期合約中的頭寸。請注意,清算不會影響未成交定單;帳戶持有人必須確保根據實時頭寸對平倉頭寸的未結定單進行調整。

為避免即將到期期貨合約交割,帳戶持有人必須在結算截止日期前延期或平倉頭寸。

下方列出了期貨與期貨期權合約的相關結算截止日期。您還可通過帳戶管理查看此信息。登錄帳戶管理后,選擇屏幕右上方的書本圖標,然後選擇交易 > 交割與行權。

可在IB網站的幫助與聯繫 > 合約搜索獲取相關的第一通知日、第一頭寸日以及最後交易日信息。所有日期信息都在盡最大努力的基礎上提供,並且須通過查看交易所網站上的合約條款進行驗證。

 

實物交割期貨政策總結

合約

是否交割

結算截止日期

ZB, ZN, ZF (ECBOT)

第一通知日(做多)或最後交易日(做空)前一個工作日公開叫價交易結束前2小時

ZT (ECBOT) futures, Japanese Govt Bond Futures (JGB)

第一頭寸日(做多)前第二個工作日結束時或最後交易日(做空)前第二個工作日結束時

EUREXUS futures

第一頭寸日(做多)或最後交易日(做空)前一個工作日結束時

EUREXUS 2 yr Jumbo bond (FTN2) and 3 yr bond (FTN3) futures

第一頭寸日(做多)或最後交易日(做空)前第二個工作日結束時

IPE contracts (GAS, NGS)

第一頭寸日(做多)前第二個工作日結束時或最後交易日(做空)的前一天結束時

GLOBEX LIVE CATTLE (LE)

第一意向日(做多)或最後交易日(做空)前第二個工作日結束時

GLOBEX NOK, SEK, PLZ, CZK, ILS, KRW and HUF, and correspondent Euro rates

做多與做空最後交易日前第五個工作日結束時

GBL, GBM, GBS, GBX (Eurex), CONF (SOFFEX)

最後交易日交易結束前2小時

GLOBEX currency futures (EUR, GBP, CHF, AUD, CAD, JPY, HKD)

是*

不適用*

GLOBEX Ethanol futures (ET)

第一頭寸日(做多)或最後交易日(做空)前第五個工作日結束時

NG futures (NYMEX) 第一頭寸日或最後交易日(取較早者)(做多)前一個工作日結束時,或最後交易日(做空)前一個工作日結束時

所有其它合約

第一頭寸日或最後交易日(取較早者)(做多)前第二個工作日結束時,或最後交易日(做空)前第二個工作日結束時

*因現金和IRA帳戶不得持有外匯,上方列出的所有其他合約的清算計畫也將適用於現金和IRA帳戶內的外匯產品。

實物交割期貨期權政策總結

合約

是否交割

結算截止日期

OZB, OZN, OZF, OZT (ECBOT)                                               

第一通知日(做多)或最後交易日(做空)前一個工作日公開叫價交易結束前4小時

所有其它合約

如果期權到期日在底層期貨第一頭寸日之前,期權將可到期成為期貨(如果是價外期權,到期則毫無價值)。如果最後存在期貨頭寸,則會受結算截止日期的制約,如上所述。

 

如何更改定单数量预设

传统模式交易者工作站布局

魔方布局

"EMIR": Reporting to Trade Repository Obligations and Interactive Brokers Delegated Service to help meet your obligations

 

1. Background: In 2009 the G20 pledged to undertake reforms aimed at increasing transparency and reducing counterparty risk in the OTC derivatives market post the financial crisis of 2008. The European market infrastructure regulation (“EMIR”) implements most of these pledges in the EU. EMIR is a EU regulation and entered into force on 16 August 2012.
 
2. Financial instruments and asset classes reportable under EMIR: OTC and Exchange Traded derivatives for the following asset classes: credit, interest, equity, commodity and foreign exchange derivatives Reporting obligation does not apply to exchange traded warrants.
 
3. Who do EMIR reporting obligations apply to: Reporting obligations normally apply to all counterparties established in the EU with the exception of natural persons. They apply to:
* Financial Counterparties (“FC”)
* Non-financial counterparties above the clearing threshold (“NFC+”)
* Non-financial counterparties below the clearing threshold (“NFC-“)
* Third country Entities outside the EU (“TCE”) in some limited circumstances
 
The reporting obligations essentially apply to any entity established in the EU that has entered into a derivatives contract.
 
4. Financial counterparties (“FC”): include banks, investment firms, credit institutions, insurers, UCITS and pension schemes and Alternative Investment Fund managed by an AIFM. The Alternative Investment Fund (“AIF”) will only become an FC if the manager of that AIF is authorised under the Alternative Investment Fund Managers Directive (“AIFMD”), so a fund outside the EU may be subject to EMIR reporting requirements.
 
5. Non-Financial Counterparty (“NFC”): A NFC is defined as an undertaking established in the EU other than those defined as a FC or a Central Counterparty (“CCP”), like the Clearing Houses. NFCs have lesser obligations than FCs. But when an NFC breaches a “clearing threshold” it becomes an NFC+, when it is subject to almost the same obligations as FCs (including collateral and valuation reporting). NFCs below the clearing threshold are known as NFC-s. In practice anyone other than a natural individual person (i.e. an individual or individuals operating a joint
account) is defined as an NFC- and subject to reporting obligations.
 
INTERACTIVE BROKERS DELEGATED REPORTING SERVICE TO HELP MEET YOUR REPORTING OBLIGATIONS
 
6. What service will Interactive Brokers offer to its customers to facilitate them fulfill their reporting obligations i.e. will it offer a delegated service for trade reporting as well as facilitating issuance of LEI: As noted above, both FCs
and NFCs must report details of their transactions (both OTC and ETD) to authorized Trade Repositories. This obligation can be discharged directly through a Trade Repository, or by delegating the operational aspects of reporting to the counterparty or a third party (who submits reports on their behalf).
 
Interactive Brokers intends to facilitate the issuance of LEIs and offer delegated reporting to customers for whom it executes and clear trades, subject to customer consent, to the extent it is possible to do so from an operational, legal and regulatory perspective.
 
If you are subject to EMIR Reporting you will shortly be able to log into the IB Account Management system and apply for an LEI and delegate your reporting to Interactive Brokers.
 
We intend to include valuation reporting but only if and to the extent and for so long as it is permissible for Interactive brokers to do so from a legal and regulatory perspective and where the counterparty is required to do so (i.e. in cases where it is a FC or NFC+).
 
However, this would be subject to condition that Interactive Brokers uses its own trade valuation for reporting purposes.
 
7. Can EMIR reporting be delegated: EMIR allows either counterparty to delegate reporting to a third-party. If a counterparty or CCP delegates reporting to a third party, it remains ultimately responsible for complying with the reporting obligation. Likewise, the counterparty or CCP must ensure that the third party to whom it has delegated reports correctly. Brokers and dealers do not have a reporting obligation when acting purely in an agency capacity. If a block trade gives rise to multiple transactions, each transaction would have to be reported.
 
FUNDS AND SUB-FUNDS - The obligations under EMIR are on the counterparty which may be the fund or sub-fund. The fund or sub-fund that is the principal to transactions will have to provide details of their classification (FC, NFC+ or NFC-), authorization for delegated reporting and Legal Entity Identifier (“LEI”) application.
 
8. Exemptions under Article 1(4) and 1(5) of EMIR: Articles 1(4) and 1(5) of EMIR exempt certain entities from some or all of the obligations set out in EMIR, depending on their classification. Specifically, exempt entities under Article 1(4) are exempt from all obligations set out in EMIR, while exempt entities under Article 1(5) are exempt from all obligations except the reporting obligation, which continues to apply.
 
9. Entities qualifying under Article 1(4) and 1(5) of EMIR: Article 1(4) initially applied only to EU central banks, Union public bodies involved in the management of public debt and the Bank for International Settlements. Subsequently the
application of the Article 1(4) exemption was extended to include the central banks and debt management offices of the United States and Japan. The Commission has indicated that further foreign central banks and debt management offices may be added in the future if they are satisfied that equivalent regulation is put in place in those jurisdictions. Article 1(5) broadly exempts the following categories of entities:
- Multilateral development banks;
- Non-commercial public sector entities owned and guaranteed by central government; and
- The European Financial Stability Facility and the European Stability Mechanism.
 
10. OTC and Exchange Traded Derivatives: There is no distinction between reporting of exchange traded derivatives (“ETDs”) and OTC contracts within the level 1 regulations, implementing technical standards, or regulatory technical standards of ESMA.
 
The contract is to be identified by using a unique product identifier. In addition, a unique trade identifier will be required for transactions. In the event that a globally agreed system of product identifiers does not materialise, it has been suggested that International Securities Identification numbers (“ISIN”), Alternative Instruments Identifiers (“AII”), or Classification of Financial Instruments Codes (“CFI”) may serve as alternatives.
 
11. Trade repository Interactive Brokers use: Interactive Brokers (U.K.) Limited will use the services of CME ETR, which is part of the CME Group.
 
12. Issuance of Legal Entity Identifiers (“LEI”)
 
All EU counterparties entering into derivative trades will need to have a LEI In order to comply with the reporting obligation. The LEI will be used for the purpose of reporting counterparty data.
 
A LEI is a unique identifier or code attached to a legal person or structure, that will allow for the unambiguous identification of parties to financial transactions.
 
“EMIR”: Further Information on Reporting to Trade Repository Obligations
 
13. Thresholds which determine whether an NFC is an NFC+ or NFC-: Breaching any of the following clearing threshold values will mean classification as an NFC+. Positions must be calculated on a notional, 30-day rolling average basis:
• EUR 1 billion in gross notional value for OTC credit derivative contracts;
• EUR 1 billion in gross notional value for OTC equity derivative contracts;
• EUR 3 billion in gross notional value for OTC interest rate derivative contracts;
• EUR 3 billion in gross notional value for OTC FX derivative contracts; and
• EUR 3 billion in gross notional value for OTC commodity derivative contracts and other OTC derivative contracts not covered above.
 
For the purpose of calculating whether a clearing threshold has been breached, an NFC must aggregate the transactions of all non-financial entities in its group (and determine whether or not those entities are inside or outside the EU) but discount transactions entered into for hedging or treasury purposes. The term “hedging transactions” in this context means transactions objectively measureable as reducing risks directly relating to the commercial activity or treasuring financing activity of the NFC or its group.
 
14. Reporting Of Exposures: FCs and NFC+s must report on:
 
* Mark-to-market or mark-to-model valuations of each contract
* Details of all collateral posted, either on a transaction or portfolio basis (i.e. where collateral is calculated on the basis of net positions resulting from a set of contracts rather than being posted on a transaction by transaction basis)
 
15. Timetable to report to Trade repositories: The reporting start date is 12 February 2014:
 
* New contracts they enter into on or after February 12th, on a trade date +1;
* Positions open from contracts entered into on or after 16 August 2012 and still open on February 12th, 2014 must be reported to a trade repository by February 12th 2014;
* Positions open from contracts entered into before 16th August and still open on February 12th, 2014 must be reported to a trade repository by 13th May 2014;
* Reporting of valuation and collateral must be reported to a trade repository by 12th August 2014;
* Contracts that were either entered before, on or after 16 August 2012 but not open on 12th February 2014 must be reported to a trade repository by February 12th, 2017.
 
16. What must be reported and when: Information must be reported on the counterparties to each trade (counterparty data) and the contracts themselves (common data).
 
There are 26 items that must be reported with regard to counterparty data, and 59 items that must be reported with regard to common data. These items are set out within tables 1 and 2 of the Annex to the ESMA’s Regulatory technical standards on minimum details to be reported to trade repositories.
 
Counterparties and CCPs have to make a report:
 
* when a contract is entered into
* when a contract is modified
* when a contract is terminated
 
A report must be made no later than the working day following the conclusion, modification or termination of the contract.
 
17. What has to be reported and who is responsible for reporting: Reporting applies to both OTC derivatives and exchange traded derivatives. The reporting obligation applies to counterparties to a trade, irrespective of their classification. Please note:
 
* Reporting of valuation and collateral is only required for FCs and NFC+s
* Every trade must be normally be reported by both counterparties.
 
THIS INFORMATION IS GUIDANCE FOR INTERACTIVE BROKERS CLEARED CUSTOMERS ONLY
 
NOTE: THE INFORMATION ABOVE IS NOT INTENDED TO BE A COMPREHENSIVE, EXHAUSTIVE NOR A DEFINITIVE INTERPRETATION OF THE REGULATION, BUT A SUMMARY OF ESMA’S EMIR REGULATION AND RESULTING TRADE REPOSITORY REPORTING OBLIGATIONS.

 

Determining Tick Value

Financial instruments are subject to minimum price changes or increments which are commonly referred to as ticks. Tick values vary by instrument and are determined by the listing exchange. IB provides this information directly from the Contract Search tool on the website or via the Trader Workstation (TWS). To access from TWS, enter a symbol on the quote line, right click and from the drop-down window select the Contract Info and then Details menu options.  The contract specifications window for the instrument will then be displayed (Exhibit 1).

To determine the notional value of a tick, multiple the tick increment by the contract trade unit or multiplier.  As illustrated in the example below, the LIFFE Mini Silver futures contact has a tick value or minimum increment of .001 which, when multiplied by the contract multiplier of 1,000 ounces, results in a minimum tick value of $1.00 per contract.  Accordingly, every tick change up or down results in a profit or loss of $1.00 per LIFFE Mini Silver futures contract.

 

Exhibit 1

Compatibility between MetaTrader and Interactive Brokers

Übersicht: 

IB provides to its account holders a variety of proprietary trading platforms at no cost and therefore does not actively promote or offer the platforms or add-on software of other vendors. Nonetheless, as IB's principal trading platform, the TraderWorkstation (TWS), operates with an open API, there are numerous third-party vendors who create order entry, charting and various other analytical programs which operate in conjunction with the TWS for purposes of executing orders through IB. As these API specifications are made public, we are not necessarily aware of all vendors who create applications to integrate with the TWS but do operate a program referred to as the Investors Marketplace which operates as a self-service community bringing together third party vendors who have products and services to offer with IB customers seeking to fill a specific need.

While MetaQuotes Software is not a participant of IB's Investors Marketplace, on a collaboration with oneZero Financial System they offer the oneZero Hub Gateway to connect MetaTrader 5 with TWS. Clients interested would need to contact oneZero directly for additional assistance. Please refer to the Contact section from the following URL.

Note: Besides oneZero Hub Gateway, different vendors such as Trade-Commander and jTWSdata also offer a software which they represent, acts as a bridge between MetaTrader 4/5 and the TWS. As is the case with other third-party software applications, IB is not in a position to provide information or recommendations as to the compatibility or operation of such software.

Commodity Futures & Futures Options Position Limits

Regulators and exchanges typically impose limits on the number of commodity positions any customer may maintain with the intent of controlling excessive speculation, deterring market manipulation, ensuring sufficient market liquidity for bona fide hedgers and to prevent disruptions to the price discovery function of the underlying market. These limits are intended as strict caps, with no one account or group of related accounts allowed to aggregate or maintain a position in excess of the stated limit. Outlined below is an overview of the various limit types, calculation considerations, enforcement and links for finding additional information.

I. POSITION LIMIT TYPES

Position limits generally fall into one of the following 4 categories:

1. All Months Limit - apply to the account holder's positions summed across all delivery months for a given contract (e.g. positions in CBOT Oat futures contract for the Mar, May, Jul, Sep and Dec delivery months combined).

2. Single Month Limit - apply to the account holder's positions in any given futures delivery month (e.g. positions in CBOT Oat futures contract for any of the Mar, May, Jul, Sep and Dec delivery months). Note that in certain instances, the limit may vary by delivery month.

3. Spot Month Limit - apply to the account holder's positions in the contract month currently in delivery. For example, the March contract month for a product having delivery months of March, June, September and December, while considered a nearby month at the start of the year, does not become a spot month contract for position limit purposes until the date it actually enters delivery. Most spot month limits become effective at the close of trading on the day prior to the First Notice Date (e.g., if the First Notice Date for a Dec contract is the last trading date of the prior month, then the spot month limit would apply as of the close of business on Nov 29th). In other instances, the limit goes into effect or tightens during the last 3-10 days of trading.

4. Expiration Month Limit - expiration month limits apply to the account holder's positions in the contract currently in its last month of trading.  Most expiration month limits become effective at the open of trading on the first business day of the last trading month.  If the contract ceases trading before delivery begins, then the expiration month may precede the delivery month. (e.g., if the last trade date for a Dec contract is Nov 30th, then the expiration month limit would apply as Nov 1st). In other instances, the limit goes into effect or tightens during the last 3-10 days of trading.

 

II. CALCULATION CONSIDERATIONS

- Position limits are determined by aggregating option and futures contracts. In the case of option contracts, the position is converted to an equivalent futures position based upon the delta calculations provided by the exchange.

- Positions in contracts with non-standard notional values (e.g. mini-sized contracts) are normalized prior to aggregation.

- Most limits are applied on a net position basis (long - short) although certain are applied on a gross position basis (long + short). For purposes of determining the net or gross position, long calls and short puts are considered equivalent to long futures positions (subject to the delta adjustment) and short calls and long puts equivalent to short futures positions.

- Limits are imposed on both an intra-day and end of day basis.

 

III. ENFORCING LIMITS

IB acts to prevent account holders from entering into transactions which would result in a position limit violation. This process includes monitoring account activity, sending a series of notifications intended to allow the account holder to self-manage exposure and placing trading restrictions upon accounts approaching a limit. Examples of notifications which are sent via email, TWS bulletin and Message Center are as follows:

1. Information Level - sent when the position exceeds 50% of the limit. Intended to inform as to the existence of the position limit and its level.

2. Warning Level - sent when the position exceeds 70% of the limit. Intended to provide advance warning that account will be subject to trading restrictions should exposure increase to 90%.

3. Restriction Level - sent when the position exceeds 90% of the limit. Provides notice that account is restricted to closing transactions until exposure has been reduced to 85%.

 

IV. ADDITIONAL INFORMATION

For additional information, including various exchange rules position limit thresholds by contract and limit type, please refer to the following website links:

CFE ( Rule 412) - http://cfe.cboe.com/publish/CFERuleBook/CFERuleBook.pdf

CME (Rule 559) - http://www.cmegroup.com/rulebook/CME/index.html

CME (CBOT Rule 559) - http://www.cmegroup.com/rulebook/CBOT/index.html

CME (NYMEX Rule 559) - http://www.cmegroup.com/rulebook/NYMEX/index.html

ELX Futures (Rule IV-11) - http://www.elxfutures.com/PDFs/Rulebooks/ELX-FUTURES-RULEBOOK.aspx

ICE US / NYBOT (Rules 6.26 to 6.28) - https://www.theice.com/publicdocs/rulebooks/futures_us/6_Regulatory.pdf

NYSE LIFFE (Rule 420) - http://www.nyseliffeus.com/rulebook

OneChicago (Rule 414) - http://www.onechicago.com/wp-content/uploads/rules/OneChicago_Current_Rulebook.pdf

 

 

Overview of the OneChicago NoDiv Contract

The OneChicago NoDiv single stock futures contract (OCX.NoDivRisk) differs from the Exchange's traditional single stock futures contract by virtue of its handling of ordinary distributions (e.g., dividends, capital gains, etc.).  Whereas the traditional contract is not adjusted for such ordinary distributions (the discounted expectations are reflected in the price), the NoDiv contract is intended to remove the risk of dividend expectations through a price adjustment made by the clearinghouse. The adjustment is made on the morning of the ex-date to ensure that the effect of the distribution is removed from the daily mark-to-market or cash variation pay/collect.

For example, assume a NoDiv contract which closes at $50.00 on the business day prior the ex-date at which stockholders of a $1.00 dividend are to be determined. On the ex-date OCC will adjust that prior day's final settlement price from $50.00 downward by the amount of the dividend to $49.00. The effect of this adjustment will be to ensure that the dividend has no impact upon the cash variation pay/collect as of ex-date close (i.e., short position holder does not receive the $1.00 variation collect and the long holder incur the $1.00 payment).


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