What is the meaning of removing from, or adding liquidity to, the market?

Overview: 

The first point to understand is what a marketable order is.  Marketable orders are either market orders or buy and sell limit orders whose limit price is at or above/below the current market price.  A marketable buy limit order would have a limit price set at or above the current ask in the market.  Conversely, a marketable sell limit order would have a limit price set at or below the current bid in the market. 

Marketable orders remove liquidity from the market. 

Non-marketable orders are buy and sell limit orders in which the limit price is below/above the current market price.  A non-marketable buy limit order would have a limit price that is below the current ask in the market.  Conversely, a non-marketable sell limit order would have a limit price that is above the current bid in the market. 

Non-marketable orders add liquidity to the market.

Why am I receiving notifications concerning the number of messages being sent to the CME’s Globex trading platform?

 

Based upon the premise that the Globex platform is negatively affected when clients send excessive messages (e.g., orders, modifies and cancels) that do not provide market value, the CME imposes monetary penalties upon clearing members submitting orders on behalf of its clients in excess of benchmark volume ratios for a given product.   IBKR, in turn, maintains the right to pass these charges on to clients and will send a warning message when a violation appears imminent. Clients who receive this notice and continue to send excessive messages may be subject to surcharge fee of $2,000 each time a product benchmark is violated. Additional information regarding the CME Globex messaging policy can be found on the CME Group web site. 

Why has my order to initiate a position in Berkshire Hathaway B Shares (BRK B) not been filled?

Overview: 

Traders should familiarize themselves with the unit of trade convention for BRK B along with IB’s policies with respect to odd lot orders.  Due to the relatively low trading volume in BRK B, NYSE Arca (the primary listing exchange for this security) has designated it as a 10-share unit issue.  A round lot in this security is therefore set at 10 shares as opposed to the standard round lot unit of 100 shares. If your opening buy or sell order is for an amount less than 10 shares, it is considered an odd-lot.  As a matter of policy, odd-lot orders are prohibited from being routed to NYSE Arca.  In addition, only those odd-lot orders which serve to open a position and which are part of a basket order or market-on-close (MOC) order may be sent to NYSE or AMEX.   Opening orders which do not meet that criteria are typically routed to a regional exchange or an ECN where they will remain until a matching order is found.  Odd-lot orders which serve to close a position may be routed to any market center to which IBKR routes orders and can be directed either by the client or via IB SmartRouting.

Why is my Stop Limit Order for Globex listed futures contracts generating an error message regarding the price?

Overview: 

The order handling rules associated with CME Globex futures transactions contain restrictions regarding the relationship between the order limit price and stop price which may not exist in other market venues. In the case of a Sell Stop Limit Order, the limit price must be less than or equal to the stop price (<=).  In the case of a Buy Stop Limit Order, the limit price must be greater than or equal to the stop price (>=).  Sell (Buy) Stop Limit Orders entered outside this convention will generate the following error message: “LMT price should be less than or equal to (equal to or better than) STP price

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