添加/消耗流动性

Overview: 

本文旨在对交易所费用、添加/消耗流动性费用以及非组合佣金提供正确的理解。

 

添加或消耗流动性的概念既适用于股票,也适用于股票/指数期权。一个定单是消耗流动性还是添加流动性,取决于定单是适销还是非适销。

适销定单会消耗流动性。
适销定单要么是市价定单,要么是限价等于或高于/低于当前市价的买入/卖出限价定单。

1. 对于适销的买入限价定单,限价等于或高于卖价。

2. 对于适销的卖出限价定单,限价等于或低于买价。

举例:
XYZ股票当前卖价尺寸/价格为400股/46.00。您输入一个买入限价定单,即以46.01的价格买入100股XYZ股票。由于定单马上就能执行,其将被视为适销定单。如果交易所会对消耗流动性收费,则客户将需缴纳该费用。


 

非适销定单会添加流动性。
非适销定单是限价低于/高于当前市价的买入/卖出限价定单。

1. 对于非适销的买入限价定单,限价低于卖价。

2. 对于非适销的卖出限价定单,限价高于买价。

举例:
XYZ股票当前卖价尺寸/价格为400股/46.00。您输入一个买入限价定单,即以45.99的价格买入100股XYZ股票。由于定单将被作为最佳买价发布至市场,而不会立即执行,其将被视为非适销定单。
若有人发送了一个适销的卖出定单,从而使您的买入限价定单得以执行,则如果有添加流动性返点,您会收到一定折扣(返点)。

请注意:
1. 所有交易期权的账户均需就消耗/添加流动性缴纳/享受期权交易所费用或返点。
2. 根据IB网站,消耗/添加流动性费用表下只有负数才是折扣(返点)。

https://www.ibkr.com.cn/cn/index.php?f=2356
股票与期权佣金/费用请参见上方链接。

IEX Discretionary Peg Order

Background: 

IEX offers a Discretionary Peg™ (D-Peg™) order type which is a non-displayed order that is priced at either the National Best Bid (NBB for buys) or National Best Offer (NBO for sells). D-Peg™ orders passively rest on the book while seeking to access liquidity at a more aggressive price up to Midpoint of the NBBO, except when IEX determines that the quote is transitioning to less aggressive price

D-Peg™ combines elements of Midpoint Peg, Primary Peg, and traditional discretionary order types.
 
Information about slow and predictable changes in the NBBO are detected in IEX's Crumbling Quote Indicator and provides D-Peg™ orders with an instruction to stop seeking access to liquidity at a more aggressive price until the quote returns to a stable state.

 

How to Place a D-Peg Order

Please note, the IEX D-Peg order type is only available via the TWS version 961 and above. Instructions for entering this order type are outlined below:

Step 1

Enter a symbol and choose a directed quote, selecting IEX as the destination. Right click on the data line and select Trade followed by Order Ticket to open the Order Ticket window.

 

Step 2

Select the REL order type from the Order Type drop down menu.

 

Step 3

Click on the Miscellaneous tab (Misc.) and at the bottom there will be a checkbox for "Discretionary up to limit". Check this box. The price that you set in the Limit Price field will be used at the discretionary price on the order.

 

 

Step 4 

Hit Preview to view the Order Preview window.

 

 

For additional information concerning this order type, please review the following exchange website link: https://www.iextrading.com/trading/dpeg/

 

 

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.

中华通—沪港通与深港通

沪港通与深港通(统称“中华通”) 是一项互联互通机制,香港和国际投资者可以通过香港联合交易所有限公司(以下简称“香港联交所”)及其清算所交易并清算上海证券交易所(以下简称“上交所”)和深圳证券交易所(以下简称“深交所”)的上市股票。

上交所/深交所有不同类型的挂牌证券,但沪港通和深港通目前阶段只能交易A股(在中国证券交易所交易的大陆公司股票)。

沪股通股票包括所有上证180指数与上证380指数的成分股,以及不在上述指数成份股内但有H股同时在联交所上市及买卖的上交所A股。

沪港通上交所产品列表和股票代码

深港通股票包括深证成份指数和深证中小创新指数成份股中所有市值不少于60亿元人民币的成份股,以及有相关H股在联交所上市的所有深交所上市A股。

深港通深交所产品列表和股票代码

盈透交易上交所/深交所证券的佣金

与交易港股的佣金相同,盈透只向客户收取交易额的0.08%作为佣金费用,每笔定单的最低佣金为15元人民币。交易所要求的交易所费用、清算费用和印花税将另行征收。费用详情请参见沪港通及深港通–北向交易费用表。

每日额度

通过沪港通和深港通达成的交易设有每日额度限制。每日额度根据“净买盘”计算,会限制沪港通和深港通下每日跨境交易的最高买盘净额。

如果北向每日额度余额在开市集合竞价时段降至零或交易已超过余额,则新的买盘将被驳回。如果北向每日额度余额在持续竞价时段或收盘集合竞价时段降至零或交易已超过余额,则当天都不会再接受买盘。联交所将于下一交易日再恢复北向买盘服务。

联交所也会公布总额度和每日额度的余额情况。

详情请参见联交所沪港通/深港通常见问题联交所沪港通/深港通规则1407

沪港通/深港通交易信息

交易货币

人民币

定单类型

盈透提供多种定单类型,但会以限价定单的形式执行交易。详情请参见我们的网站

 

最低上落价位/价差d

统一为人民币0.01元

每手单位

100股(仅适用于买盘)

碎股

仅限卖盘(应只在一个定单中出现碎股)

最大买卖盘

100万股

价格限制

前一日收盘价的±10%(对于被纳入风险警示版的股票,即ST和*ST股票,则为前一日收盘价的±5%)

日内(回转)交易

不允许

大宗交易

不支持

非自动对盘交易

不支持

定单修改

盈透会取消并替换定单

结算周期

证券:T

沪港通/深港通交易的现金款项:T+1

外汇*:T+2

*由于结算周期不同步,交易离岸人民币的客户应于股票交易的前一日(T-1)执行外汇交易,以避免不必要的利息(在不涉及假日的证券结算程序下)。

交易时段(香港时间)

上交所/深交所交易时段

交易时间

开市集合竞价

09:15 - 09:25

连续竞价(早市)

09:30 – 11:30

连续竞价(午市)

13:00 – 14:57

收市集合竞价

14:57 – 15:00

注:上交所和深交所在上午09:20到09:25和下午14:57到15:00之间不受理取消定单的请求。

半日市

若某一北向交易日为香港市场的半日市,则北向交易将继续开放直至相关中华通市场收市。有关沪股通及深股通的节假日交易安排和其它信息,请参见香港交易所网站。

披露责任

如果客户持有或控制中国内地上市发行人已发行股份达5%,则其必须于达到5%的三个工作日内以书面形式向中国证监会及相关交易所上报,并通知该上市发行人。

在这一三个工作日的通知期内,客户不得继续买卖有关上市发行人的股份。更多信息请访问IBKR知识库

持股限制

单个境外投资者在一家中国内地上市公司的持股比例不得超过该公司已发行股份总数的10%;所有境外投资者在一家上市公司A股的持股比例总和不得超过该公司已发行股份总数的30%。更多信息请访问IBKR知识库

强制出售

根据现行中国内地法规,每位盈透客户在一家上交所/深交所挂牌公司的持股不得超过该公司已发行股份总数的指定百分比。如果持股超出以下指定比例, 香港交易所将要求客户执行强制出售安排

情境

持股

单个境外投资者

大于等于挂牌公司已发行股份总数的10%

所有境外投资者

大于等于挂牌公司已发行股份总数的30%

保证金融资

中华通证券的保证金交易将受到限制,仅部分A股可以进行保证金交易。上交所和深交所会不时更新可以使用保证金的证券名单,详情请参见香港交易所网站

根据上交所和深交所相关规定,如果某只A股保证金交易活动的交易量超出规定的上限,则上交所和深交所可暂停该股票在其市场的保证金交易活动。保证金交易量降至规定上限以下时,市场会再恢复该股票的保证金交易活动。

节假日安排

客户只能在香港及内地市场均开放交易且两地银行于相应的结算日均开放服务的工作日交易中华通。此安排将确保两地市场投资者和经纪商可在相关结算日通过银行收发相关款项。

下表列举了上交所/深交所证券北向交易的节假日安排:

 

内地

香港

是否开放北向交易

第一天

工作日

工作日

开放

第二天

工作日

工作日

不开放,款项结算日当天香港市场不开市

第三天

工作日

公共假日

不开市,交易日当天香港市场不开市

第四天

公共假日

工作日

不开放,内地市场不开市

恶劣天气情况

恶劣天气情况下的交易安排可参见香港交易所网站

在哪里可以了解更多信息?

要了解有关沪港通和深港通的更多信息,请点击下方的交易所网站链接:

如关于沪港通/深港通有任何疑问,请联系盈透客户服务获取更多信息。

Hong Kong - China Stock Connect

Hong Kong – China Stock Connect (“China Connect”) is a mutual market access program through which Hong Kong and international investors can trade shares listed on the Shanghai Stock Exchange (SSE) and Shenzhen Stock Exchange (SZSE) via the Stock Exchange of Hong Kong (SEHK) and their existing clearinghouse. As a member of SEHK, IBKR provides you with direct access to trade with eligible listed products on the Shanghai and Shenzhen Stock Exchange. IBKR clients with China Connect trading permissions will be eligible to trade SSE/SZSE securities through Shanghai and Shenzhen - Stock Connect.

Among the different types of SSE/SZSE-listed securities, only A shares (shares in mainland China-based companies that trade on Chinese stock exchange) are included in the Shanghai and Shenzhen Stock Connect.

Shanghai Connect includes all the constituent stocks of the SSE 180 Index, SSE 380 Index and all the SSE-listed A shares that have corresponding H shares listed on the SEHK.

Product List and Stock Codes for SSE

Shenzhen Connect includes all the constituent stocks of the SZSE Component Index, the SZSE Small/Mid Cap Innovation Index that have a market capitalization of not less than RMB 6 billion and all the SZSE-listed A shares that have corresponding H shares listed on SEHK.

Product List and Stock Codes for SZSE

IBKR Commission for Trading SSE/SZSE Securities

Same as trading Hong Kong stocks, IBKR charges only 0.08% of trade value as a commission with a minimum CNH 15 per order. Detailed fee rates can be found in the Hong Kong – China Stock Connect Northbound fee table.

Daily Quota

Trading under Shanghai Connect and Shenzhen Connect is subject to a Daily Quota. The Daily Quota is applied on a “net buy” basis. The Daily Quota limits the maximum net buy value of cross-boundary trades under Shanghai Connect and Shenzhen Connect each day.

If the Northbound Daily Quota Balance drops to zero or the Daily Quota is exceeded during the opening call auction session, new buy orders will be rejected. Or if it happens during a continuous auction session or closing call auction session, no further buy orders will be accepted for the remainder of the day. SEHK will resume the Northbound buying service on the following trading day.

SEHK will also publish the remaining balance of the Aggregate Quota and Daily Quota.

For details, please refer to HKEX Stock Connect FAQ or HKEX Stock Connect Rule 1407

Trading Information of Shanghai and Shenzhen Connect

Trading currency

RMB

Order Type

IBKR offers various order types but will stimulate the order into limit order for execution. More information can be referred to our website.

 

Tick Size / Spread

Uniform at RMB 0.01

Board Lot

100 shares (applicable for buyers only)

Odd Lot

Sell orders only (odd lot should be made in one single order)

Max Order Size

1 million shares

Price Limit

±10% on previous closing price (±5% for stocks under special treatment under risk alert, i.e. ST and *ST stocks)

Day (Turnaround) Trading

Not allowed

Block Trade

Not available

Manual Trade

Not available

Order Modification

IBKR will cancel and replace the order for any order

modification

Settlement cycle

Securities: Settlement on T day

Cash from China Connect trades: Settlement on T+1 day

Forex*: Settlement on T+2 day

*Due to the unsynchronized settlement cycle, clients who exchange CNH themselves should execute the Forex trade one day prior to the stock trade (T-1) to avoid the extra day’s interest payment (considering normal settlement without involving holidays).

Trading Hours

SSE/SZSE Trading Sessions

SSE/SZSE Trading Hours

Opening Call Auction

09:15 - 09:25

Continuous Auction (Morning)

09:30 – 11:30

Continuous Auction (Afternoon)

13:00 – 14:57

Closing Call Auction

14:57 – 15:00

Note: SSE and SZSE will not accept order cancellations from 09:20 to 09:25 and 14:57 p.m. to 15:00.

Half-day Trading

If a Northbound trading day is a half-trading day in the Hong Kong market, it will continue until respective Connect Market is closed. Refer to the exchange website for holiday trading arrangements and additional information.

Disclosure Obligation

If client holds or controls up to 5% of the issued shares of China Connect, the client is required to report in writing to the China Securities Regulatory Commission (“CSRC”) and the relevant exchange, and inform the Mainland listed company within three working days of reaching 5%.

The client is not allowed to continue purchasing or selling shares in that Mainland listed company during the three days notification period. Visit the IBKR Knowledge Base for more information.

Shareholding Restriction

A single foreign investor’s shareholding in a Mainland listed company is not allowed to exceed 10% of the company’s total issued shares, while all foreign investors’ shareholding in the A shares of the listed company is not allowed to exceed 30% of its total issued shares. Visit the IBKR Knowledge Base for more information.

Forced-sale Arrangement

Each IBKR client is not allowed to hold more than a specific percentage of the China Connect listing company's total issued shares. HKEX requires the client to follow the forced-sell requirements if the shares exceed the limit:

Situation

Shareholding (in a listed company)

A single foreign investor

> = 10% of the company’s total issued shares

All foreign investors

> = 30% of the company’s total issued shares

Margin Financing

Margin trading in China Connect securities will subject to restrictions and only certain A shares will be eligible for margin trading. Eligible Securities, as determined by SSE and SZSE from time to time, are listed on the HKEX website

According to the relevant rules of SSE and SZSE, either market may suspend margin trading activities in specific A shares when the volume of margin trading activities for a specific A share exceeds the prescribed threshold. The market will resume margin trading activities in the affected A share when its volume drops below a prescribed threshold.

Holidays

Clients will only be allowed to trade China Connect on days where Hong Kong and Mainland markets are both open for trading and banking services are available in both Hong Kong and Mainland markets on the corresponding settlement days. This arrangement is essential in ensuring that investors and brokers will have the necessary banking support on the relevant settlement days when they will be required to make payments.

The following table illustrates the holiday arrangement of Northbound trading of SSE/SZSE Securities:

 

Mainland

Hong Kong

Open for Northbound Trading

Day 1

Business Day

Business Day

Yes

Day 2

Business Day

Business Day

No, HK market closes on money settlement day

Day 3

Business Day

Public Holiday

No, HK market closes on trading day

Day 4

Public Holiday

Business Day

No, Mainland market closes

Severe Weather Conditions

Information on the trading arrangement available under severe weather conditions can found on the HKEx website

Where to Learn More?

Please refer to the following exchange website links for additional information regarding Hong Kong China Stock Connect:

If you have any questions regarding Hong Kong-China Stock Connect, please contact IBKR Client Services for further information.
 

TWS Order Presets: Primary Order Fields

Brief video on Presets that are relevant to your Primary Order

IPO Considerations

An Initial Public Offering, or IPO, is defined as the first sale of stock by a company to the public. As IB generally does not operate as an underwriter or selling agent of IPO shares, the first opportunity customers have to transact in such shares does not take place until the issue begins trading in the secondary market.  Outlined below are key issues which customers should consider when transacting in shares on their first day of listing:

 

1. Margin

As IPOs are inherently subject to a high degree of uncertainty as to price and liquidity once secondary market trading begins, each new issue is subject to a review to determine whether initial and maintenance margin requirements above the minimum which is required by regulation is warranted. Current margin information is made available through the "Check Margin" feature on the trading platform. Customers should also note that IB reserves the right to change margin on an intraday basis and without advance notice when warranted.

 

2. Order Entry

IB monitors for upcoming IPOs and makes every effort to provide customers the ability to enter orders in advance of the day at which trading begins in the secondary market.  In certain circumstances, either IB and/or the exchange may impose restrictions on the type of orders which may be accepted as well as the time in force conditions associated with such orders.  It should also be noted that orders not direct-routed to the primary exchange may be subject to special auction handling and therefore may receive a different opening print from that of the primary exchange.  In addition, as the price at which the issue trades once available in the secondary market may differ significantly from the IPO price, customers are strongly encouraged to use limit orders when.

 

3. Short Availability

Customers should assume that IPO issues will not be available for shorting immediately upon trading in the secondary market. This limitation is a function of regulations which require the broker to locate and make a good faith determination that shares are available to borrow at settlement coupled with the likelihood that such shares will not be available (due to underwriter lending restrictions and the fact that secondary market transactions have not yet settled).  

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