VOLUME – Calculation of Shares Traded
At first glance, the number of shares executed in a given time period would seem to be a straightforward calculation. The simplest definition of volume is the number of shares traded from one point in time to another point in time. However, several variables affect the calculation.
Market conditions may cause a calculation of volume to differ among data providers. For example, the two plans that manage the US Consolidated equities market have different number of, and definition for, trade reporting codes. In addition, data distributors often include variables such as odd lots, corrections, cash trades, or pre-/post-market trades in the volume calculation.
Numbers can become more visible in light volume or over time. For example, what was volume as of 09:37?
| Time | Symbol | Quantity | Price |
| 9:35 | XYZ | 1000 | 19.90 |
| 9:36 | XYZ | -1000 | 19.90 |
| 9:37 | XYZ | 1000 | 19.80 |
Depending on the distributor, the volume at 09:37 could be:
- 1000 shares if the distributor corrects the volume for corrections
- 2000 shares if the distributor only counts positive numbers
- 3000 shares if the distributor reflects the total of all prints expressed as a positive number
This may be a simplified example, but understanding how a distributor calculates volume will help the volume calculation serve as an indicator of market direction.
Alternative Streaming Quotes for US Equities
Overview:
The SEC Vendor Display Rule requires that brokers give clients access to the NBBO at the point of order entry. In order to provide users with free live streaming market data, we cannot display this free stream when entering an order without the client subscribing to the paid NBBO. Please note, this does not apply to non-IBLLC clients.
Background:
Under the Rule 603(c) of Regulation NMS (Vendor Display Rule), when a broker is providing quotation information to clients that can be used to assess the current market or the quality of trade execution, reliance on non-consolidated market information as the source of that quotation would not be consistent with the Vendor Display Rule.
All clients (IBKR Lite and Pro) have access to streaming real-time US equity quotes from Cboe One and IEX at no charge. Since this data does not include all markets, we cannot show this quote when entering parameters for a US stock quote. Therefore and according to FINRA's enforcement of the SEC rule, IBKR provides IBLLC US clients a free default snapshot service, “US Snapshots VDR Required”. If clients do not sign up for an NBBO US equity data service and they are an IBLLC client, they will have access to free real-time snapshots when making trading decisions on US stocks. Order routing will not change based on what is shown on the screen. If one is subscribed to NBBO quotes or not, by default the trade will still take place with the assistance of the SMART order router designed to provide the best price for the order.
Please see the sample screenshots below from TWS Classic and TWS Mosaic for what occurs when placing an order without the NBBO streaming subscription for US equities.
TWS Classic:
1. Screenshot of quotes showing without order entry line item
2. Screenshot of quote going blank when putting in the order entry line item
TWS Mosaic:
1. Screenshot of quotes showing without order entry line item
2. Screenshot of quote going blank when putting in the order entry line item
FTSE Indices at IBKR
IBKR does not make available real-time index levels for indices published by the FTSE Group. This is due to the disproportionately high licensing fees FTSE would require of IBKR.
Affected indices are the FTSE 100 and the FTSE MIB 40.
You may instead refer to the “Last” prices for IBKR CFDs IBGB100 and IBIT40 respectively, which are the mid-points of the CFD quotes, and an accurate real-time reflection of traded prices for the futures contracts related to these indices.
Specifically, the Index CFD quotes are based on synthetic indices calculated by back-adjusting the price of the related near-month future for fair value.
In the futures market, fair value is the equilibrium price for a futures contract. It is the price at which an investor effectively pays the appropriate rate of interest, and is compensated for the dividends he forgoes by holding the future rather than the underlying shares. To create the synthetic indices, the fair value adjustment is reversed.
The result is not necessarily exactly the same value as the cash index, in particular because the future may trade above or below its fair value. But as noted above, it is an accurate real-time reflection of the markets related to the index.
While you cannot compare e.g. the IBGB100 directly to the FTSE 100 in TWS (since we do not display the latter), you can observe the relationship between other Index CFDs and cash indices by comparing, for example, the IBUS500 to the S&P 500 index.
Market Data - Minimum Equity Threshold
INTRODUCTION
As a matter of policy, and to minimize the likelihood of a low-balance account falling out of margin compliance and being subject to forced liquidations, IBKR enforces a minimum equity requirement as a prerequisite for subscribing to real-time market data.
This requirement works as follows: Once an account has met the minimum equity requirement necessary to subscribe to data, it is allowed to maintain those subscriptions as long as it has the funds available to pay for those subscriptions and its equity remains above the minimum level. Once equity falls below the minimum level, it will be required to restore equity to at least the minimum level before resuming subscriptions.
While clients are not required to subscribe to real-time quotes through IBKR as a condition of trading, those that do are encouraged to maintain equity well above the maintenance level to avoid any fluctuations that would impair continuity of subscriptions.
Minimum equity thresholds vary by account type and are outlined in the table below.
EQUITY MINIMUMS
| Account Type |
Minimum2 |
| Individual (unless listed below) | $500 |
| Financial Advisor | $500 |
| Financial Advisor Client Account | $500 |
| Institutional and/or Organizational Account | $500 |
| Family Advisor | $200 |
| Non-Professional Advisor | $200 |
| Introducing Broker Clients | $200 |
| Individual client of IB India | $100 |
1 Denominated in USD, but applied in USD equivalent for accounts with a Base Currency other than USD.
2 Represents amount necessary to qualify for subscription renewal in any month following initiation.
Cryptocurrency Products Market Data
Stocks/ETFs
US
GBTC @ PINK
- Non-Professional
- Level 1: OTC Markets (NP,L1)
- Level 1: US Securities Snapshot and Futures Value Bundle (NP,L1)
- Level 2: OTC Markets (NP,L2)
- Level 2: Global OTC and OTC Markets (NP,L2)
- Professional
- Level 1: OTC Markets (P,L1)
- Level 1: Professional US Securities Snapshot Bundle (P,L1)
- Level 2: OTC Markets (P,L2)
- Level 2: Global OTC and OTC Markets (P,L2)
Non-US
BITCOINXB @ SFB
- Non-Professional
- Level 1: Nordic Equity (NP,L1)
- Level 2: Nordic Equity (NP,L2)
- Professional
- Level 1: Nordic Equity (P,L1)
- Level 2: Nordic Equity (P,L2)
COINETH @ SFB
- Non-Professional
- Level 1: Nordic Equity (NP,L1)
- Level 2: Nordic Equity (NP,L2)
- Professional
- Level 1: Nordic Equity (P,L1)
- Level 2: Nordic Equity (P,L2)
COINETHE @ SFB
- Non-Professional
- Level 1: Nordic Equity (NP,L1)
- Level 2: Nordic Equity (NP,L2)
- Professional
- Level 1: Nordic Equity (P,L1)
- Level 2: Nordic Equity (P,L2)
Indices
BRR/BRTI @ CME
- Non-Professional
- CME Real-Time Non-Professional Level 1
- US Securities Snapshot and Futures Value Bundle (NP,L1)
- Professional
- CME Real-Time Professional Level 2 (There is no CME Pro level 1 product)
NYXBT @ FWB/SWB
- Non-Professional
- FWB: Spot Market Germany (Frankfurt/Xetra)(NP,L1)
- SWB: Stuttgart Boerse incl. Euwax (SWB) (NP,L1)
- Professional
- FWB: Spot Market Germany (Frankfurt/Xetra) (P,L1)
- SWB: Stuttgart Boerse incl. Euwax (SWB) (P,L1)
Futures
BRR @ CME
ETHUSDRR @ CME
- 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)
BAKKT @ ICECRYPTO
- Non-Professional
- ICE Futures US (NP)
- Professional
- ICE Futures US (P)
Back to Table of Contents: Bitcoin and Other Cryptocurrency Products @ IBKR
Connecticut Sales and Use Tax
The state of Connecticut imposes a sales and use tax which is applicable to online access to information including all data and access fees.
The tax rate as of 2017 is 1% and is applicable to clients with the state of legal residency of Connecticut or a Connecticut permanent/resident address.
The sales and use tax will be applied to all research and market data subscriptions as well as special connections such as VPN, IB Gateway, Extranet and Dedicated Leased Lines.
The sales and use tax will be passed through to client accounts at the time of the subscription billing. The tax is only applicable if a monthly fee is charged, therefore should an account receive a waiver the sales and use tax will similarly be waived.
Delayed Market Data Timing
Overview:
Market data vendors typically offer exchange data in two categories, real-time and delayed. Real-time market data is disseminated as soon as the information is publicly available. Delayed market data is on a time lag that is usually 10-20 minutes behind real-time quotes.
Some exchanges allow delayed data to be displayed without any market data subscription, free of charge. A list of the exchanges we provide delayed data for at no cost and without formal request (i.e., the delayed data will be displayed upon entry of the product symbol on the trading platform) are outlined in the table below. The table also includes the corresponding real-time subscription, the fees for which are posted on IBKR's public website.
Please Note:
- In accordance with regulatory requirements, IBKR no longer offers delayed quotation information on U.S. equities to Interactive Brokers LLC clients.
- Delayed quotes should be used for indicative purposes and not necessarily for trading. The times mentioned may be subject to further delays without notice.
The Americas
| External Exchange Name | IB Exchange Name | Delay Period | Real Time Subscription |
| CBOT | CBOT | 10 minutes | CBOT Real-Time |
| CBOE Futures Exchange | CFE | 10 minutes | CFE Enhanced |
| Market Data Express (MDX) | CBOE | 10 minutes | CBOE Market Data Express Indices |
| CME | CME | 10 minutes | CME Real-Time |
| COMEX | COMEX | 10 minutes | COMEX Real-Time |
| ICE US | NYBOT | 10 minutes | ICE Futures U.S. (NYBOT) |
| Mexican Derivatives Exchange | MEXDER | 15 minutes | Mexican Derivatives Exchange |
| Mexican Stock Exchange | MEXI | 20 minutes | Mexican Stock Exchange |
| Montreal Exchange | CDE | 15 minutes | Montreal Exchange |
| NYMEX | NYMEX | 10 minutes | NYMEX Real-Time |
| NYSE GIF | NYSE | 15 minutes | NYSE Global Index Feed |
| One Chicago | ONE | 10 minutes | OneChicago |
| OPRA | OPRA | 15 minutes | OPRA Top of Book (L1) (US Option Exchanges) |
| OTC Markets | PINK | 15 minutes | OTC Markets |
| Toronto Stock Exchange | TSE | 15 minutes | Toronto Stock Exchange |
| Venture Exchange | VENTURE | 15 minutes | TSX Venture Exchange |
Europe
| External Exchange Name | IB Exchange Name | Delay Period | Real Time Subscription |
| BATS Europe | BATE/CHIX | 15 minutes | European (BATS/Chi-X) Equities |
| Boerse Stuttgart | SWB | 15 minutes | Stuttgart Boerse incl. Euwax (SWB) |
| Bolsa de Madrid | BM | 15 minutes | Bolsa de Madrid |
| Borsa Italiana | BVME/IDEM | 15 minutes | Borsa Italiana (BVME stock / SEDEX / IDEM deriv) |
| Budapest Stock Exchange | BUX | 15 minutes | Budapest Stock Exchange |
| Eurex | EUREX | 15 minutes | Eurex Real-Time Information |
| Euronext | AEB/SBF/MATIF/BELFOX | 15 minutes | Euronext Cash |
| Euronext | AEB/SBF/MATIF/BELFOX | 15 minutes | Euronext Data Bundle |
| Frankfurt Stock Exchange and XETRA | FWB/IBIS/XETRA | 15 minutes | Spot Market Germany (Frankfurt/Xetra) |
| ICE Futures Europe (Commodities) | IPE | 10 minutes | ICE Futures E.U. - Commodities (IPE) |
| ICE Futures Europe (Financials) | ICEEU | 10 minutes | ICE Futures E.U. – Financials (LIFFE) |
| LSE | LSE | 15 minutes | LSE UK |
| LSEIOB | LSEIOB | 15 minutes | LSE International |
| MEFF | MEFF | 15 minutes | BME (MEFF) |
| NASDAQ OMX Nordic Derivatives | OMS | 15 minutes | Nordic Derivatives |
| Prague Stock Exchange | PRA | 15 minutes | Prague Stock Exchange Cash Market |
| SWISS Exchange | EBS/VIRTX | 15 minutes | SIX Swiss Exchange |
| Tel Aviv Stock Exchange | TASE | 15 minutes | Tel Aviv Stock Exchange |
| Turquoise ECN | TRQXCH/TRQXDE/TRQXEN | 15 minutes | Turquoise ECNs |
| Warsaw Stock Exchange | WSE | 15 minutes | Warsaw Stock Exchange |
Asia
| External Exchange Name | IB Exchange Name | Delay Period | Real Time Subscription |
| Australian Stock Exchange | ASX | 20 minutes | ASX Total |
| Hang Seng Indices | HKFE-IND | 15 minutes | Hang Seng Indexes |
| Hong Kong Futures Exchange | HKFE | 15 minutes | Hong Kong Derivatives (Fut & Opt) |
| Hong Kong Stock Exchange | SEHK | 15 minutes | Hong Kong Securities Exchange (Stocks, Warrants & Bonds) |
| Korea Stock Exchange | KSE | 20 minutes | Korea Stock Exchange |
| National Stock Exchange of India | NSE | 15 minutes | National Stock Exchange of India, Capital Market Segment |
| Osaka Securities Exchange | OSE.JPN | 20 minutes | Osaka Exchange |
| SGX Derivatives | SGX | 10 minutes | Singapore Exchange (SGX) - Derivatives |
| Shanghai Stock Exchange | SEHKNTL | 15 minutes | Shanghai Stock Exchange |
| Shanghai Stock Exchange STAR Market | SEHKSTAR | 15 minutes | Shanghai Stock Exchange |
| Shenzhen Stock Exchange | SEHKSZSE | 15 minutes | Shenzhen Stock Exchange |
| Singapore Stock Exchange | SGX | 10 minutes | Singapore Exchange (SGX) - Stocks |
| Australia Securities Exchange | ASX24 | 10 minutes | ASX24 Commodities and Futures |
| Taiwan Stock Exchange | TWSE | 20 minutes | Taiwan Stock Exchange |
| Tokyo Stock Exchange | TSEJ | 20 minutes | Tokyo Stock Exchange |
Chicago Personal Property Tax
Chicago has a personal property tax which applies to a non-possessory computer lease by a Chicago resident. The Chicago tax authorities have ruled that tax is to be applied in cases where a customer pays for electronic research/use of an interactive site. The passive receipt or streaming of information is not subject to the tax.
Clients whose permanent residential address or principal business address is Chicago will have this tax passed through to their accounts.
The tax rate, as of October 2017, is 9%. The tax will be charged on the research and news feeds a client is subscribed to. Should a research and news feed be eligible to a waiver based upon commissions generated, the tax will not be applied.
As of October 2017, research and news subscriptions which would be subject to the tax would include
Base IBIS Research Platform and the IBIS Research Essentials Subscription Bundle
Cusip
Dow Jones News Service
Dow Jones Real Time News
US Press Release Feed
Reuters Global Newswire
Reuters StreetEvents Calendars
Reuters Fundamentals
Reuters Basic Newfeed
Morningstar Equity, ETF and Credit Reports
Wall Street Horizons
Zacks Equity Research Reports
The above list is provided on a best efforts basis and is subject to change. Clients will be responsible for any pass through tax regardless of any discrepancy from the list provided above.
MARKET DATA ACCESS: PROFESSIONAL VS NON-PROFESIONAL USAGE
Overview:
Most exchanges charge for access to their real-time market data (quotes and trade information).
Background:
The charges for professional users are considerably higher than for non-professional use. Accordingly, many exchanges, and US exchanges in particular, have a detailed questionnaire that they require users to complete in order to qualify for the lower charges.
If you wish to access real-time data for any of the following data services (AMEX, CME, NYSE, NASDAQ, OPRA or U.S. Securities Snapshot & Futures Value Bundle), you must fill out this questionnaire and re-affirm it annually.
More information about Professional vs. Non-Professional data use can be found at various knowledge base articles:
Subscription considerations for U.S. market data (Non-Professionals)
In determining the range of market data subscription offerings to make available, IBKR seeks to balance the needs of a wide variety of clients, both in terms of the scope of products traded and the frequency of data use. To afford clients the opportunity to minimize their monthly subscription costs for U.S. data, both bundled and a la carte monthly services are offered as well as options for real-time streaming, snapshot and delayed feeds. Please note, in accordance with regulatory requirements, IBKR no longer offers delayed quotation information on U.S. equities to Interactive Brokers LLC clients.
Outlined below are the basic questions to be considered when deciding which subscription best meets your needs (see website for current subscription rates). Note that clients are not obligated to purchase data through IBKR.
What US Products do you trade?
Generally speaking, clients trading a broad variety of product classes should consider the basic bundled subscription referred to as the US Securities Snapshot and Futures Value Bundle which costs USD 10 per month and provides quotes for a variety of U.S. stocks, stock indices, bonds, futures and futures options. The monthly fee for this subscription is waived for any month in which the account generates at least USD 30 in commissions.
Futures
- US Securities Snapshot and Futures Value Bundle: real-time top of book quotes for CBOT, CME, COMEX, and NYMEXUS.
- Futures Value PLUS Bundle: real-time depth (Level 2) of book quotes for CBOT, CME, COMEX, and NYMEX.1
- ICE Futures U.S. (NYBOT): includes real-time options and LIFFE precious metals futures and futures options.
Bonds
- US Securities Snapshot and Futures Value Bundle: real-time quotes for US corporate bonds and US-Treasuries.
- US Bond Real-Time Data: real-time quotes for US corporate bonds and US-Treasuries offered free of charge.
Options
- OPRA Top of Book: real-time top of book quotes for all U.S. securities option exchanges.
- US Securities Snapshot and Futures Value Bundle: real-time quotes for many of the stock indices which underlie options.
OTC Stocks
- US Securities Snapshot and Futures Value Bundle: real-time top of book quotes for OTCBB and PINK listings.
National Market System (NMS) Stocks - the subscription elections for NMS stocks (i.e., NYSE, AMEX, NASDAQ & Cboe listings) are varied and depend upon the following considerations:
How often would you like to see real-time quotes?
Occasionally
- US Securities Snapshot and Futures Value Bundle: includes real-time top of book quotes for stocks listed on each of the NYSE, AMEX and NASDAQ exchanges. Intended for occasional users as no quotes are provided unless a “snapshot” refresh is requested, with each request subject to a USD 0.01 fee. If the number of refresh requests reaches 150 for a given exchange in a given month, the monthly cost for that exchange will be capped at USD 1.50 and the subscriber will receive real-time streaming quotes for that exchange for the remainder of the month at no additional charge (i.e., the maximum snapshot fee for a given month for all three exchanges is USD 4.50). Note that while the base fee of USD 10 for this bundle is waived for accounts generating at least USD 30 monthly commissions, the fee for snapshot quote requests is not waived.
Routinely
- NYSE (Network A), AMEX (Network B), NASDAQ (Network C): real-time streaming top of book quotes for each the NYSE, AMEX and NASDAQ exchanges which may be subscribed to on an a la carte basis for USD 1.50 per month each (USD 4.50 for all). Intended for users who trade securities listed on only one or two of the above exchanges on a frequent basis.
- Cboe One: real-time streaming quotes from the four Cboe US equity exchanges for USD 5 per month.
- OPRA Top of Book: real-time top of book quotes for all U.S. securities option exchanges which may be subscribed to for USD 1.50 per month
- US Equity and Options Add-On Streaming Bundle1: Includes NYSE (Network A), AMEX (Network B), NASDAQ(Network C), and OPRA(US Options). Intended for users who trade securities listed on all of the above exchanges on a frequent basis. Will replace the snap quotes provided under the basic US Securities Snapshot and Futures Value Bundle subscription and costs USD 4.50 per month.
- Cboe One Add-On1: real-time streaming quotes from the four Cboe US equity exchanges. Will replace the snap quotes provided under the basic US Securities Snapshot and Futures Value Bundle subscription and costs USD 1 per month.
How much commissions do you typically generate per month?
Less than USD 30 per month
- NYSE (Network A), AMEX (Network B), NASDAQ (Network C): real-time streaming top of book quotes for each the NYSE, AMEX and NASDAQ exchanges. If you trade only NMS stocks and generate commissions of less than USD 30 per month, you can receive real-time streaming stock quotes for all three exchanges at a monthly cost of USD 4.50 vs. snap quotes at a monthly cost of USD 10.
- Cboe One: real-time streaming quotes from the four Cboe US equity exchanges for USD 5 per month. If you trade only NMS stocks and generate commissions of less than USD 30 per month, you can receive real-time streaming stock quotes for all three exchanges at a monthly cost of USD 5 vs. snap quotes at a monthly cost of USD 10.
More than USD 30 per month
- US Securities Snapshot and Futures Value Bundle: includes real-time top of book quotes for stocks listed on each of the NYSE, AMEX and NASDAQ exchanges on a snapshot request basis. There is no cost to elect this subscription as the fee is waived if you generate monthly commissions of at least USD 30. You may wish to consider augmenting this subscription with any of the NYSE (Network A), AMEX (Network B), NASDAQ (Network C) real-time streaming services at a monthly cost of USD 1.50 each.
What exchanges do you trade?
Limited population
- NYSE (Network A), AMEX (Network B), NASDAQ (Network C): real-time streaming top of book quotes for each the NYSE, AMEX and NASDAQ exchanges. If you trade securities listed on a subset of these three exchanges, you can receive real-time streaming stock quotes at a monthly cost of USD 1.50 for each. If you also maintain a subscription to the US Securities Snapshot and Futures Value Bundle, the real-time feed will serve to overlay the snap quote for any of the individual exchanges selected and you will receive snap quotes for the remainder. If you are not subscribed to the US Securities Snapshot and Futures Value Bundle, then you will receive no quotes for US stocks as delayed quotes are not provided for U.S. stocks on live accounts due to FINRA regulations.
All
- US Equity and Options Add-On Streaming Bundle1: Includes NYSE (Network A), AMEX (Network B), NASDAQ(Network C), and OPRA(US Options). Intended for users who trade securities listed on all of the above exchanges on a frequent basis. Will replace the snap quotes provided under the basic US Securities Snapshot and Futures Value Bundle subscription.
- US Equity and Options Add-On Streaming Bundle1: Includes NYSE (Network A), AMEX (Network B), NASDAQ(Network C), and OPRA(US Options). Intended for users who trade securities listed on all of the above exchanges on a frequent basis. Will replace the snap quotes provided under the basic US Securities Snapshot and Futures Value Bundle subscription.
- Cboe One/ Cboe One Add-On1: real-time streaming quotes from the four Cboe US equity exchanges. Will replace the snap quotes provided under the basic US Securities Snapshot and Futures Value Bundle subscription.
1Requires a subscription to the US Securities Snapshot and Futures Value Bundle.
