Trading Fee Schedule
On August 18, 2014 OneChicago announced a new exchange fee schedule effective October 1, 2014 pending regulatory approval. The following is an overview of the fee changes.
Highlights of exchange fee changes that will become effective on October 1, 2014:
- Reduced Execution fees of 75% for the OCX.NoDivRisk product suite, which includes all “1D” futures and OCX.Weekly futures
- Discontinuance of reduced execution fee for the closing leg of “1D” block rolls
- Increased Carry fee for the OCX.NoDivRisk product suite, which includes all “1D” futures and OCX.Weekly futures
OneChicago fees are based on product suite: OCX.Original™ (includes all “1C” futures and Futures on Narrow Based Indexes) product suite or OCX.NoDivRisk® (includes all “1D” futures and OCX.Weekly futures) product suite. Fees for each suite are divided into two parts – an execution fee charged to the executing firm and a daily carry fee charged to the carrying firm. As of October 1, 2014 only the 1D products fall under a new fee structure. Please refer to the exchange fee schedule below.
OCX.Original (“1C”) Product Suite
- Execution fees for the OCX.Original product suite (1C) will remain at the current fee structure of $20.00 per $1 million executed notional value. The current reduced fee for the offsetting leg of a block roll will also remain.
- Carry fees for the OCX.Original product suite (1C) will remain at the current fee structure of $1.00 per million notional value per day.
- Execution fee for the closing leg of a (1C) roll remains 0.00075% (7.5/100th of a basis point) of the notional value per trade for rolls of 250 contracts or more.
OCX.NoDivRisk (“1D”) Product Suite
- Execution Fees for all “1D” and OCX.Weekly products – Execution fee will be $5.00 per $1 million dollar executed notional value for 1D products. Notional value = (trade price * trade quantity * contract multiplier). The reduced execution fee for the closing leg of block rolls of 250 contracts or more currently in place will be discontinued for all 1D products.
- Carry Fees for all “1D” and OCX.Weekly products – Carry fee will be $1.60 per $1 million dollar notional value per day. Notional value = (settlement price * long open interest * contract multiplier) + (settlement price * short open interest * contract multiplier).
- The carry fee is calculated each morning and charged to the firm reporting the open interest using the formula:
Refer to the date sensitive fee schedule below:
Open interest notional value * 0.0000016
|CURRENT – Fee Structure until September 30, 2014|
|Execution Fee||All SSF, ETF Futures and Futures on Narrow Based Indexes(NBI’s)||2/10th of a basis||Executing Firm|
|point (0.002%) of notional value with $.01 minimum|
|Carry Fee||All SSF, ETF Futures and Futures on Narrow Based Indexes(NBI’s)||1/100th of a basis point (0.0001%) of||Carrying Firm|
|notional value per calendar day with $.01 minimum|
|NEW – Fee Structure effective October 1, 2014|
|OCX.Original Execution Fee||All OCX.Original SSF and Futures on Narrow Based Indexes (NBI’s)||2/10th of a basis||Executing Firm|
|point (0.002%) of notional value with a $.01 minimum|
|OCX.Original Carry Fee||All OCX.Original SSF and Futures on Narrow Based Indexes (NBI’s)||1/100th of a basis point (0.0001%) of notional value per calendar day with $.01 minimum||Carrying Firm|
|OCX.NoDivRisk Execution Fee||All OCX.NoDivRisk SSF||5/100th of a basis point (0.0005%) of notional value with $.01 minimum||Executing Firm|
|OCX.NoDivRisk Carry Fee||All OCX.NoDivRisk SSF||1.6/100th of a basis point (0.00016%) of notional value per calendar day with $.01 minimum||Clearing Firm|
New Trading Platform
OneChicago (OCX) recently announced the launch of a completely re-engineered trading platform, named OCXdelta1™.
OCXdelta1 will replace the current OCX.BETS® platform for blocks and EFPs and the CBOE hosted marketplace (i.e. trade on the CBOEdirect – CLOB). The new trading platform integrates the current two trading platforms into one and offers enhanced features including a full FIX application programming interface (“API”) and upgraded risk controls. In addition, users will benefit from enhanced market data that will include EFP prices and implied interest rates not currently supported by the retiring platforms. The OCX BETS platform will transition to OCXdelta1 on September 22, 2014 while the CBOEdirect OneChicago CLOB will transition on January 23, 2015.
Refer to fee schedule below for trading screen access:
|OCXdelta1 Port Fee – access to trading screen||$500 monthly per port|
|Trading Login – includes one Market Data Gateway||$50 monthly per login|
|Additional Market Data Login||$50 monthly per login|
A single port fee is assessed to each trading firm on a monthly basis. Each login assigned will be charged per month.
- Narrow Based Index requests are charged $3,000per quarter for each NBI that is created at their request
- Market participants will incur a $0.50 per side per contract manual processing surcharge for block and EFP transactions that are not traded/reported using the OCX.delta1 system; this is in addition to the OCX execution and carry fees.
Other Helpful Material:
OneChicago Billing Files
OneChicago will make 4 files available each day, the reports will be in the firm’s production billing directory on OneChicago’s secure server.
Two files will provide detailed information for the execution portion of the exchange fee. One file will contain only trades for the trade date in question; the second file will contain all trades for the month to date. We will maintain separate trade date files, the month to date file will be overwritten each day. The file layout is the same for both files. The naming convention is FFF_execution_YYYYMMDD.csv and FFF_execution_YYYYMM.csv for the daily and month to date files, respectively.
Two files will support detailed information of the carry portion of the exchange fee. One file will contain only positions for the trade date in question; the second file will contain all positions for the month to date. We will maintain separate trade date files, the month to date file will be overwritten each day. The file layout is the same for both files. The naming convention is FFF_carry_YYYYMMDD.csv and FFF_carry_YYYYMM.csv for the daily and month to date files, respectively.
Open for File Headers: