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:
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.
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.
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.
Therefore and according to FINRA's enforcement of the SEC rule, any client of a broker that is purchasing real-time quotes must buy the NBBO real-time services when making trading decisions.
All clients have access to streaming US equity quotes from the four CBOE exchanges 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. 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
背景
符合一定要求的IBKR客户可选择提交单次请求,要求接收某个金融产品的实时报价。该服务被称为“快照报价”。传统报价服务会持续更新实时报价,而快照报价不会,这是它与传统报价服务的不同之处。对于不经常交易且不希望根据延时报价下单的客户,快照报价的价格更有竞争力。有关该报价服务的更多信息如下。
报价项目
快照报价包括以下数据:
可用服务
服务 | 限制 | 每条报价请求的价格(美元)1 |
---|---|---|
AMEX(B/CTA网络) | $0.01 | |
ASX Total | 不支持ASX24 仅限非专业订阅用户 |
$0.03 |
Bolsa de Madrid | $0.03 | |
加拿大交易所集团(TSX/TSXV) | 仅限非专业订阅用户且IB加拿大的客户除外 | $0.03 |
CBOT实时 | $0.03 | |
CME实时 | $0.03 | |
COMEX实时 | $0.03 | |
Eurex Core | 仅限非专业订阅用户 | $0.03 |
Euronext基础版 | 仅限非专业订阅用户 包括Euronext股票、指数、股票衍生品及指数衍生品。 |
$0.03 |
德国ETF和指数 | 仅限非专业订阅用户 | $0.03 |
香港(HKFE)衍生品 | $0.03 | |
香港证券交易所(股票、权证、债券) | $0.03 | |
约翰内斯堡证券交易所 | $0.03 | |
蒙特利尔衍生品 | 仅限非专业订阅用户 | $0.03 |
NASDAQ(C/UTP网络) | $0.01 | |
Nordic衍生品 | $0.03 | |
Nordic股票 | $0.03 | |
NYMEX实时 | $0.03 | |
NYSE(A/CTA网络) | $0.01 | |
OPRA(美国期权交易所) | $0.03 | |
上海股票交易所5秒快照(通过HKEx) | $0.03 | |
深圳股票交易所3秒快照(通过HKEx) | $0.03 | |
SIX瑞士交易所 | 仅限非专业订阅用户 | $0.03 |
即期市场德国(Frankfurt/Xetra) | 仅限非专业订阅用户 | $0.03 |
STOXX指数实时数据 | 仅限非专业订阅用户 | $0.03 |
多伦多证券交易所 | 仅限IB加拿大的非专业订阅用户 | $0.03 |
多伦多证券交易所创业板 | 仅限IB加拿大的非专业订阅用户 | $0.03 |
英国伦敦证券交易所(IOB)股票 | $0.03 | |
英国伦敦证券交易所股票 | $0.03 |
1成本基于单笔快照报价请求,且若基础货币不是美元,则会以与美元等值的基础货币收取。
资格要求
定价详情
服务 | 每条报价请求的价格(美元) | 非专业订阅用户上限(请求数/总成本)2 | 专业订阅用户上限(请求数/总成本)3 |
---|---|---|---|
AMEX(B/CTA网络) | $0.01 | 150/$1.50 | 2,300/$23.00 |
NASDAQ(C/UTP网络) | $0.01 | 150/$1.50 | 2,500/$25.00 |
NYSE(A/CTA网络) | $0.01 | 150/$1.50 | 4,500/$4,500 |
2要求订阅美国证券快照和期货价值数据组。
3要求订阅美国证券快照数据组。
请求快照报价
桌面版交易——标准模式TWS:
如您已能看到延时数据且启用了快照报价,则您可在“代码行动”栏下看到“快照”按钮:
点击“快照”按钮后会出现报价详情窗口。一旦系统收到了该产品的NBBO(全国最佳买卖价)报价,报价详情窗口会即刻生成一个时间戳并显示NBBO信息:
在报价详情窗口中点击刷新链接会更新NBBO报价。
举例:
在上例中,GOOG是一家在纳斯达克(C/UTP 网络)上市的公司。每请求一次报价(一次快照)的费用为0.01美元。
您请求快照数据产生的费用不会超过上限。一旦达到上限,该月剩余时间将不会产生新的费用,且您将收到该产品的实时数据。
桌面版交易——TWS魔方:
如您已能看到延时数据且启用了快照报价,选择监控标签下的某一行后,“定单输入”窗口会显示请求快照数据的选项。
点击+快照链接后会出现报价详情窗口。一旦系统收到了该产品的NBBO报价,报价详情窗口会即刻生成一个时间戳并显示NBBO信息:
在报价详情窗口中点击刷新链接会更新NBBO报价。
客户端:
如您已能看到延时数据且启用了快照报价,在买价/卖价下的“定单委托单”窗口内,您将看到快照链接:
点击快照链接后会出现报价详情窗口。一旦系统收到了该产品的NBBO报价,报价详情窗口会即刻生成一个时间戳:
在报价详情窗口中点击刷新链接会更新NBBO报价。
网络交易——网络交易者(WebTrader):
如您已能看到延时数据且启用了快照报价,在“市场”标签下的“额外数据”栏上您将看到“快照”数据:
点击“快照”按钮后会出现报价详情窗口。一旦系统收到了该产品的NBBO报价,报价详情窗口会即刻生成一个时间戳:
在报价界面点击任意产品代码会扩展报价框。如您已能看到延时数据且启用了快照报价,您将看到“快照”链接:
点击“快照”链接后会出现报价详情窗口。一旦系统收到了该产品的NBBO(全国最佳买卖价)报价,报价详情窗口会即刻生成一个时间戳并显示NBBO信息:
IBKR不会对富时集团(FTSE)发布的指数提供实时指数水平。这是由于FTSE会要求IBKR支付过高的许可费用。
受此影响的指数为FTSE 100和FTSE MIB 40。
您可分别参看IBKR差价合约IBUK100和IBIT40的“最后价”,其为差价合约报价的中点,也是与指数相关之期货合约成交价格准确的实时反映。
具体来说,指数差价合约报价以综合指数为基础,通过对相关近月期货价格进行公允价值反向调整进行计算。
在期货市场,公允价值是期货合约的均衡价格。该价格考虑以下因素:即,投资者支付合理水平的利息,及投资者由于持有期货而非底层股票放弃股息所应获得的补偿。要创建综合指数,公允价值调整需反向进行。
所得结果不一定与现金指数的值完全相同,因为期货的交易价格可能会高于或低于其公允价值。但如上所述,其为指数相关之市场行情准确的实时反映。
虽然无法在TWS中直接将(比如说)IBUK100与FTSE 100进行比较(我们不会显示FTSE 100),但您可通过对比(比如说)IBUS500和S&P 500观察其它指数差价合约与现金指数之间的关系。
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.
简介
根据政策,为了最小化资金水平较低的账户发生保证金不足从而面临强制清算的可能性,IBKR对订阅实时市场数据设定了最低资产要求。
具体要求如下:满足订阅数据的初始资产要求后,账户只要有足够支付订阅费用的资金并且资产保持在维持水平以上便可持续享受订阅服务。 一旦资产跌至维持水平以下,账户须至少将资产提高到初始水平才能恢复订阅。
尽管通过IBKR订阅实时报价并不作为客户进行交易的一个条件,但对于已订阅数据的客户,我们建议其尽可能地将资产保持在维持水平以上,以避免发生波动影响订阅的连续性。
初始与维持资产要求会因账户类型不同而不同,具体请见下方表格。
最低资产
账户类型 | 初始2 |
维持3 |
个人 | $2,000 | $500 |
财务顾问 | $500 | $500 |
朋友和家庭顾问 | $200 | $200 |
介绍经纪商客户 | $200 | $200 |
IB印度的个人客户 | $500 | $100 |
1 以美元计价,但对基础货币为非美元的账户可按美元等值金额应用。
2 为启动订阅或跌到维持水平以下之后恢复订阅所需要的资产金额。
3 为启动订阅之后任何月份续订所需要的资产金额。
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 |
Friends & Family 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.
Stocks/ETFs
US
GBTC @ PINK
Non-US
BITCOINXB @ SFB
COINETH @ SFB
COINETHE @ SFB
Indices
BRR/BRTI @ CME
NYXBT @ FWB/SWB
Futures
BRR @ CME
ETHUSDRR @ CME
BAKKT @ ICECRYPTO
Back to Table of Contents: Bitcoin and Other Cryptocurrency Products @ IBKR
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.
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:
External Exchange Name | IB Exchange Name | Delay Period | Real Time Subscription |
CBOT | ECBOT | 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 | GLOBEX | 10 minutes | CME Real-Time |
COMEX | NYMEX | 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 |
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 | DTB/SOFFEX | 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 |
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 |
Shenzhen Stock Exchange | SEHKSZSE | 15 minutes | Shenzhen Stock Exchange |
Singapore Stock Exchange | SGX | 10 minutes | Singapore Exchange (SGX) - Stocks |
Sydney Futures Exchange | SNFE | 10 minutes | ASX24 Commodities and Futures |
Tokyo Stock Exchange | TSEJ | 20 minutes | Tokyo Stock Exchange |