简介

IBKR LME场外期货使客户得以用合成的方式交易伦敦金属交易所的产品——伦敦金属交易所是一家端对端（peer to peer）的交易所，通常不对非成员投资者开放。

LME场外期货是以IB英国（IBUK）作为对手方的场外衍生品合约。LME场外期货在价格、交易单位、类型和合约参数方面均参照对应的LME期货，但该产品自身不是注册的合约。不允许实物交割。

IBKR LME场外期货需通过您的保证金账户交易，因此您既可提交多头头寸，也可提交带杠杆的空头头寸。保证金率与LME设置的比例相同。与其他期货一样，LME场外期货的保证金率基于风险（SPAN），因此比例可变。视合约不同，当前保证金率在6到9%之间。

合约

IBKR就以下金属提供以第三个星期三为到期日的场外期货：

第三个星期三到期

LME提供一系列能满足实物交易者和对冲者需求的合约。其中比较主要的有每日发行的3个月远期期货，实物交易者通过此类期货可精确地满足对冲需求。

第三个星期三到期的合约是以月为单位的合约，也能很好地满足金融交易者的需求。正如其名称所表明的，此类合约在每月的第三个星期三到期，尽管在LME以实物交割，但在IBKR严格以现金交割。第三个星期三到期的合约越来越受欢迎，占LME未平仓合约的65%。

报价及市场数据

IBKR从LME（二级市场数据）获取实时报价，且不会扩大报价价差。每个客户定单会先在交易所被对冲，然后LME场外定单将以对冲时的价格成交。

现金流

IBKR LME场外期货的每日保证金波动及已实现盈亏每天以现金结算，与标准期货一样。相反，底层LME合约的现金流仅当合约到期后才结算。

保证金

IBKR LME场外期货的保证金要求与LME底层合约的保证金要求相同。LME使用标准投资组合风险分析法（SPAN）计算初始保证金。

与其它期货合约一样，保证金率对于每份合约均为一个绝对值，且通常每月更新一次。

交易许可

您需要在账户管理中设置“英国金属”的交易许可。

市场数据

您需要订阅伦敦金属交易所二级数据，目前定价为1.00英镑。

LME场外产品相关资源

产品列表及合约详情链接
佣金
保证金要求

常见问题

开始交易LME场外期货前需要做什么？
您需要在账户管理中设置“英国金属”的交易许可。如果您的账户在IB LLC开立，或是由IB LLC提供服务的IB UK账户，则我们将设置一个新的账户板块（即您当前的账户号码加上后缀“F”）。设置确认后您便可以开始交易了。您无需单独为F账户注资，资金会从您的主账户自动转入以满足保证金要求。

LME场外期货交易与头寸在报表中如何反映？
您的头寸持有在单独的账户板块中，该账户板块以您的主账户号码加上后缀“F”加以区分。您可以选择单独查看F板块的活动报表，也可以选择与主账户合并查看。您可在账户管理的报表窗口进行选择。

交易LME场外期货适用哪些账户保护条款？
LME场外期货以IB英国作为您的交易对方，不是在受监管的交易所进行交易，也不是在中央结算所进行结算。因IB英国是您交易的对手方，您会面临与IB英国交易相关的财务和商业风险，包括信用风险。但请注意，所有客户资金永远都是完全隔离的，包括对机构客户。IB英国是英国金融服务补偿计划（“FSCS”）参与者。IB英国不是美国证券投资者保护公司（“SIPC”）成员。

我能否通过电话交易LME场外期货？ 不能。在极端情况下我们可能同意通过电话处理平仓定单，但绝不会通过电话处理开仓定单。

Background

On 3 January 2018, a new Directive 2014/65/EC (“MiFID II”) and Regulation (EU) No 600/2014 (“MiFIR”) will become effective, introducing new requirements on position limits and position reporting for commodity derivatives and emission allowances.

National Competent Authorities (“NCAs”) (i.e. regulators) of each European Economic Area (“EEA”) Country will calculate the limits on the size of the net position that a person can hold in commodity derivatives traded on an EU venue or its “economically equivalent contracts” (“EEOTC”).

The European Securities and Markets Authority (“ESMA”) intends to publish approved position limits on its website.
Limits will be set for the spot month and all other months, for both physically settled and cash settled commodities.
Investment firms trading in commodity derivatives and emissions allowances are obliged, on a daily basis, to report
their own positions in commodity derivatives traded on a trading venue and EEOTC contracts, as well as those of
their clients and the clients of those clients until the end client is reached, to the NCA.

Clients holding positions have to be identified using specified National Identifiers for individuals and LEIs for
organisations under MiFID II.

Interactive Brokers’ Implementation of the Requirements

In order to comply with its reporting obligations, IB will not allow its clients to trade if they have not provided the
specific National Identifier or LEI that is necessary for reporting positions of in scope financial products.

Whenever possible, IB will act to prevent account holders from entering transactions that may result in a position
limit violation. This process will include monitoring account activity, sending a series of notifications intended to
allow the account holder to self-manage exposure and placing trading restrictions on 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%.
    

What is the trading symbol?
Cboe/CFE: Enter the underlying symbol GXBT in order to bring up the futures. Please note, there are currently no new contracts offered for trading as of June 2019.

• Through Futures Order Presets. In Classic TWS, click Edit followed by Global Configuration. In Mosaic, click File followed by Global Configuration. Expand the Presets section on the left side and select Futures. The first section will be Timing, and you will want to check the box that says "Allow order to be activated, triggered, or filled outside of regular trading hours (if available)". Click Apply and OK once finished.
• Through the order line. In both Classic TWS as well as Mosaic, click on the Time in Force field and check the box at the bottom that says "Trigger outide RTH". In WebTrader, check the box at the end of the order line that says "Fill Outside RTH".
• Through the Order Ticket. In the Time in Force section, check the box that says "Allow this order to be filled outside of regular trading hours".

Please see the following link for more information on trading futures outside of regular trading hours:

https://www.interactivebrokers.com/en/index.php?f=719

• Non-Professional
  • Level 1: CME Real-Time Non-Professional Level 1
  • Level 1: US Securities Snapshot and Futures Value Bundle (NP,L1)
  • Level 2: CME Real-Time Non-Professional Level 2
  • Level 2: US Value Bundle PLUS (NP,L2)
    • Requires US Securities Snapshot and Futures Value Bundle
    • This is only for depth of book
• Professional
  • Level 2: CME Real-Time Professional Level 2 (There is no CME Pro level 1 product)

Back to Table of Contents: Bitcoin and Other Cryptocurrency Products @ IBKR

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

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).