Clients maintaining a U.S. futures or futures option position at a quantity exceeding the CFTC's reportable thresholds may be contacted directly by the CFTC file with a request that they complete a Form 40. Contact will generally be made via email and clients are encouraged to respond to such requests in a timely manner to avoid trading restrictions and/or fines imposed by CFTC upon their account at the FCM.
Completion of the Form requires the following steps:
2. Complete Form 40 - You will receive an email notification from the CFTC once your Portal Account has been approved. Note that this approval may take up to 2 business days from the date you complete the New User Request Form. The email will contain a link to the Portal where you will be prompted to log in: https://portal.cftc.gov/
Instructions for completing the form are available at: https://www.ecfr.gov/cgi-bin/text-idx?node=ap17.1.18_106.a
Note that Portal provides the opportunity to save a copy of your submission in XML format, a recommended step, as this allows for uploading the file to the Portal should you need to make modifications at a later date. This will eliminate the need to renter the form in its entirety.
The CFTC will send a confirmation email upon successful completion of your Form 40.
3. Confirm with IBKR - forward your confirmation email, or other evidence that you have submitted the Form 40 to cftc_form40_filing@interactivebrokers.com. This will assist to ensure that your account is not subject to CFTC directed restrictions or fines.
The CFTC, the primary regulator of U.S. commodity futures markets and Futures Commission Merchants (FCMs), operates a comprehensive system of collecting information on market participants as part of its market surveillance and large trader reporting program.
IBKR, as a registered FCM providing clients with access to those markets, is obligated to report to the CFTC information on clients who hold a position in a quantity that exceeds defined thresholds (i.e., a "reportable position"). In order to report this information, IBKR requires clients trading U.S. futures or futures options to complete an online CFTC Ownership and Control Reporting form at the point the client requests futures trading permissions.
Once a client holds a "reportable position", the CFTC may then contact that client directly and require them to file more detailed information via CFTC Form 40. The information required of this report includes the following:
Clients who fail to complete this Form in a timely manner may be subject to trading restrictions and/or fines imposed by CFTC upon their account at the FCM. It is therefore imperative that clients immediately respond to these CFTC requests.
To complete the CFTC Form 40, clients must first register for a CFTC Portal Account, an online process which is subject to a review period of 2 business days from the point of initial registration to acknowledgement of approval by the CFTC. For information regarding this registration process and completing the Form 40, see KB3149.
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。
IBKR就以下金属提供以第三个星期三为到期日的场外期货:
金属 | IB代码 | 价格 美元/ | 倍数 |
高级原铝 | AH | 公吨 | 25 |
A级铜 | CA | 公吨 | 25 |
初级镍 | NI | 公吨 | 6 |
标准铅 | PB | 公吨 | 25 |
锡 | SNLME | 公吨 | 5 |
特等锌 | ZSLME | 公吨 | 25 |
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%。
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。
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。
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。
您需要在账户管理中设置“英国金属”的交易许可。
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。
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。
IBKR LME OTC Futures provide clients synthetic access to the London Metal Exchange, a peer to peer exchange not generally available to non-member investors.
The LME OTC Futures are OTC derivative contracts with IBUK as the counterparty. The LME OTC Futures reference the corresponding LME future in terms of price, lot size, type and specification but are themselves not registered contracts. Physical delivery is not permitted.
IBKR LME OTC Futures are traded through your margin account, and you can therefore enter long as well as short leveraged positions. Margin rates equal those established by the LME. Like other futures they are risk-based (SPAN), and therefore variable. Current margins range between 6 and 9% depending on the contract.
IBKR offers OTC Futures on the 3rd Wednesday expirations for the following metals:
Metal | IB Symbol | Price USD/ | Multiplier |
High Grade Primary Aluminium | AH | Metric Ton | 25 |
Copper Grade A | CA | Metric Ton | 25 |
Primary Nickel | NI | Metric Ton | 6 |
Standard Lead | PB | Metric Ton | 25 |
Tin | SNLME | Metric Ton | 5 |
Special High Grade Zinc | ZSLME | Metric Ton | 25 |
The LME features a range of contracts adapted to the needs of physical traders and hedgers. The principal among them are daily 3-month forwards used by physical traders to precisely match their hedges to their needs.
The 3rd Wednesday contracts are monthly contracts, like futures, and as such better adapted to the needs of financial traders. As the name suggests, they expire on the 3rd Wednesday of each month and, although physically settled on the LME, are strictly cash-settled at IBKR. The 3rd Wednesday contracts have become increasingly popular and account for 65% of open interest on the LME.
IBKR streams quotes from the LME (L2 market data) and does not widen the quote. Every client order is first hedged on exchange and the LME OTC order filled at the price of the hedge.
Daily variation margin and realized P&L for the IBKR LME OTC Futures are cash-settled daily, like a standard future. By contrast, cash flows for the underlying LME contract are only settled after the contract has expired.
The margin requirements for the IBKR LME OTC Futures equal the requirement for the underlying contract on the LME. LME uses Standard Portfolio Analysis of Risk (SPAN) to calculate Initial Margin.
Like for other futures, the margin rates are established as an absolute value per contract and usually updated monthly.
You will need to set up permissions for United Kingdom Metals in Account Management.
You will need a subscription for Level II London Metal Exchange, currently GBP 1.00.
Product Listings & Links to Contract Details
Commissions
Margin Requirements
What do I need to do to start trading LME OTC Futures?
You need to set up trading permission for United Kingdom Metals in Account Management. If you have an IB LLC or an IB UK account carried by IB LLC we will set up a new account segment (identified with your existing account number plus the suffix “F”). Once the set-up is confirmed you can begin to trade. You do not need to fund the F segment separately; funds will be automatically transferred from your main account to meet margin requirements.
How are my LME OTC Futures trades and positions reflected in my statements?
Your positions are held in a separate account segment identified by your primary account number with the suffix “F”. You can choose to view Activity Statements for the F-segment either separately or consolidated with your main account. You can make the choice in the statement window in Account Management.
What account protections apply when trading LME OTC Futures?
LME OTC Futures are contracts with IB UK as your counterparty, and are not traded on a regulated exchange and are not cleared on a central clearinghouse. Since IB UK is the counterparty to your trades, you are exposed to the financial and business risks, including credit risk, associated with dealing with IB UK. Please note however that all client funds are always fully segregated, including for institutional clients. IB UK is a participant in the UK Financial Services Compensation Scheme ("FSCS"). IB UK is not a member of the U.S. Securities Investor Protection Corporation (“SIPC”).
Can I trade LME OTC Futures over the phone?
No. In exceptional cases we may agree to process closing orders over the phone, but never opening orders.
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:
交易代码是什么?
Cboe/CFE:输入底层证券代码GXBT,从而找到对应的期货
有关在常规交易时间以外交易期货的更多信息,请见以下链接:
https://www.interactivebrokers.com/cn/index.php?f=4186
退休账户(如IRA、SIPP账户)及日本居民不得交易比特币。
单边保证金(Outright Margin): 单边多头头寸的保证金要求为前一天的最近合约月结算价格的50%。对于单边空头头寸,CFE合约的保证金率当前被设定为每份合约40,000美元,而CME合约的头寸是CFE的5倍,因而交易开始时的保证金要求为200,000美元。
价差保证金(Spread Margin): 客户每份多头合约和空头合约的维持保证金之差(单条多头和空头边均适用50%的保证金率),外加每个价差组合的费用,该费用等于所有可交易的XBT期货合约中最高日结算价格的25%。
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.
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
Trading will not be offered in retirement accounts (e.g., IRA, SIPP) or for residents of Japan.
Outright Margin: The margin requirement for outright long positions will be set at 50% of the prior day's lead month settlement price. In the case of outright short positions, the margin rate for the CME contracts is currently set at USD 200,000.
Spread Margin: The net difference between the outright customer maintenance margin requirements on each long and short contracts (using 50% for both the long and the short leg) plus, for each spread, a spread charge equal to 25% of the daily settlement price that is the greatest among all XBT futures contracts available for trading.
Clients are reminded that IBKR does not issue margin calls and may modify margin requirements at any time, at IBKR's sole discretion.
Please refer to the following section of the IBKR website for current margin requirements for all products: https://www.interactivebrokers.com/en/index.php?f=24176Back to Table of Contents: Bitcoin and Other Cryptocurrency Products @ IBKR
Trading and investing in volatility-related Exchange-Traded Products (ETPs) is not appropriate for all investors and presents different risks than other types of products. Among other things, ETPs are subject to the risks you may face if investing in the components of the ETP, including the risks relating to investing in complex securities (such as futures and swaps) and risks associated with the effects of leveraged investing in geared funds. Investors should be familiar with the diverse characteristics of each ETF, ETN, future, option, swap and any other relevant security type. We have summarized several risk factors (as identified in prospectuses for ETPs and in other sources) and included links so you can conduct further research. Please keep in mind that this is not a complete list of the risks associated with these products and investors are responsible for understanding and familiarizing themselves completely before entering into risk-taking activities. By providing this information, Interactive Brokers (IB) is not offering investment or trading advice regarding ETPs to any customer. Customers (and/or their independent financial advisors) must decide for themselves whether ETPs are an appropriate investment for their portfolios.
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:
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.