Utilization in the Securities Lending Market
Utilization Metrics
Utilization is defined as loaned shares divided by available shares in the securities lending market, expressed as a percentage. The Utilization metric on TWS is not specific to IB. It is based on industrywide data provided by a securities finance data vendor. The metric is not conclusive however, as not every lender reports their Utilization to the vendor. In addition, although the source is believed to be reliable, IBKR does not warrant its accuracy.
Generally, Utilization is the ratio of demand to supply. For example, Apple Inc. (AAPL) may have utilization of less than 1% because the stock has vast availability relative to the demand to borrow shares for shorting. Roku Inc. (ROKU) may have utilization above 90% because of higher demand to short shares as compared to the number of available shares.
For accounts enrolled in the Stock Yield Enhancement Program, a high stock-specific Utilization percentage may increase the likelihood that IB may be able to lend your shares. Conversely, stocks with a low Utilization percentage are generally in lesser demand in the securities finance market, generally reducing IB’s ability to lend your shares.
Utilization can be added as a column in TWS.
Using Mosaic Market Scanner to Determine an Indication of Stock Utilization
TWS users can find stock utilization indications by using Mosaic Market Scanner filters. After opening the scanner, Select Custom Scanner and input parameters. Some useful filters include Price, Market Cap, Fee Rate and Utilization.
Please also see Important Considerations and Risks of Participating in Interactive Brokers Fully-Paid Securities Lending Programs here.
添加/消耗流動性
Overview:
本文旨在對交易所費用、添加/消耗流動性費用以及非組合佣金提供正確的理解。
添加或消耗流動性的概念既適用於股票，也適用於股票/指數期權。一個定單是消耗流動性還是添加流動性，取決於定單是適銷還是非適銷。
適銷定單會消耗流動性。
適銷定單要么是市價定單，要么是限價等於或高於/低於當前市價的買入/賣出限價定單。
1. 對於適銷的買入限價定單，限價等於或高於賣價。
2. 對於適銷的賣出限價定單，限價等於或低於買價。
舉例：
XYZ股票當前賣價尺寸/價格為400股/46.00。您輸入一個買入限價定單，即以46.01的價格買入100股XYZ股票。由於定單馬上就能執行，其將被視為適銷定單。如果交易所會對消耗流動性收費，則客戶將需繳納該費用。
非適銷定單會添加流動性。
非適銷定單是限價低於/高於當前市價的買入/賣出限價定單。
1. 對於非適銷的買入限價定單，限價低於賣價。
2. 對於非適銷的賣出限價定單，限價高於買價。
舉例：
XYZ股票當前賣價尺寸/價格為400股/46.00。您輸入一個買入限價定單，即以45.99的價格買入100股XYZ股票。由於定單將被作為最佳買價發布至市場，而不會立即執行，其將被視為非適銷定單。
若有人發送了一個適銷的賣出定單，從而使您的買入限價定單得以執行，則如果有添加流動性返點，您會收到一定折扣（返點）。
請注意：
1. 所有交易期權的賬戶均需就消耗/添加流動性繳納/享受期權交易所費用或返點。
2. 根據IB網站，消耗/添加流動性費用表下只有負數才是折扣（返點）。
https://www.interactivebrokers.com.hk/cn/index.php?f=2356
非適銷定單是限價低於/高於當前市價的買入/賣出限價定單。
1. 對於非適銷的買入限價定單，限價低於賣價。
2. 對於非適銷的賣出限價定單，限價高於買價。
舉例：
XYZ股票當前賣價尺寸/價格為400股/46.00。您輸入一個買入限價定單，即以45.99的價格買入100股XYZ股票。由於定單將被作為最佳買價發布至市場，而不會立即執行，其將被視為非適銷定單。
若有人發送了一個適銷的賣出定單，從而使您的買入限價定單得以執行，則如果有添加流動性返點，您會收到一定折扣（返點）。
請注意：
1. 所有交易期權的賬戶均需就消耗/添加流動性繳納/享受期權交易所費用或返點。
2. 根據IB網站，消耗/添加流動性費用表下只有負數才是折扣（返點）。
https://www.interactivebrokers.com.hk/cn/index.php?f=2356
股票與期權佣金/費用請參見上方鏈接。
T+2結算概述
簡介
從2017年9月5日起，在美國和加拿大交易所交易的證券的標準結算時間將從3個工作日（T+3）縮短至2個工作日（T+2）。下文介紹了有關本變化、其預期影響及常見問題的背景信息。
背景
結算是一種交易後流程，即，使證券的所有權從賣方轉移至買方，同時由買方支付對價的過程。中央託管人和清算所會促進該過程完成——中央託管人負責管理證券所有權的記錄，清算所則處理資金往來，並向託管人發出指令，要求其轉移證券所有權。對於美國證券，主要託管人是存款信託公司（DTC），清算所則是全國證券清算公司（NSCC）。對於加拿大證券，則由加拿大證券存管處（CDS）發揮此類功能。目前美國和加拿大證券的結算週期都是交易日之後的3個工作日。
結算週期為何變化？
鑑於現在託管人能夠以電子形式登記證券的所有權，客戶能夠通過電子化的形式以低成本方便地轉移資金，運營效率得到了提升，這是促進結算週期縮短的關鍵因素。結算週期上一次縮短髮生在1995年，當時周期從5個工作日縮短至了3個工作日，而目前涉及交付實體單證及通過支票付款的交易仍在不斷減少。
縮短結算週期將給行業和市場參與者帶來以下好處：
- 降低金融系統的風險 –由於證券價格變動的可能性會隨時間上升，縮短結算週期能降低由於未付款或未交付證券導致的信用風險敞口。通過降低待結算義務的名義價值，能夠提高金融系統對嚴重市場衝擊帶來的潛在系統性後果的抵禦能力。
- 提高現金調用效率 –對於持“現金”賬戶的客戶，若資金結算未完成，則無法交易（即不得空買空賣/在不支付的情況下買賣證券）。實施T+2制度後，銷售證券所得的資金將比之前早一個工作日到賬，因此客戶將能更快地將資金用於後續交易。
- 提高全球結算一致性 -當前歐洲和亞洲等市場實行T+2制度，向T+2結算週期的轉變將使美國和加拿大市場更好地與其它主要國際市場接軌。
哪些產品將受此改變影響？
美國和加拿大股票、ETF、ADR、公司債券、市政債券、差價合約以及單位投資信託（UITs）。
此次變化對我的賬戶有何影響？
股息和公司行動 –證券必須在除息日之前買入方可享受股息或其它和證券相關的權利。在當前T+3的結算週期下，除息日通常比登記日早2個工作日， 在T+2制度下，除息日領先登記日的時間將縮短至1個工作日。
賣空交易 –美國證監會（SEC）的204號法規要求經紀商在結算日無法借到股票進行交付的情況下平倉賣空單。目前，平倉必須在T+4個交易日常規交易時間開市前完成。結算週期縮短至T+2後，平倉也將提早一個工作日至T+3。
T+2定單目的地 – IB目前提供定單目的地（TPLUS2），允許持保看漲期權的賣方在期權被行權時買入並交付成本基礎較有利的股票。該T+2定單能降低潛在的資本利得稅，且將被改至T+1交付，以便提供相同的好處。請知悉，該T+2定單目的地在2017年9月5日之前將被禁用，而T+1定單目的地在該日期後不久將被啟用（即，有一個過渡期，期間新的結算定單目的地不會被提供）。
期權行權 –股票交付週期及股票期權行權導致的現金支付週期將從3個工作日縮短至2個工作日。
向貸記餘額支付的利息 –利息計算基於已結算的現金餘額。如您在購買股票時有足夠的現金全額支付（即不動用保證金借貸），那麼買入該股票所需的資金目前可獲得直至T+3日被支付給清算所前的利息。在T+2制度下計息時間將縮短1個工作日。然而，當證券被賣出時，T+2制度下資金將提早1個工作日被記入您的賬戶並獲得利息。
向借記餘額收取的利息 –利息計算基於已結算的現金餘額。如您借入資金以購買股票（即動用保證金借貸），那麼在資金於T+3日被交付給清算所之前您無需對該借款支付利息。在T+2制度下貸款起始日期將提早1個工作日。然而，當證券被賣出時，T+2制度下資金也將提早1個工作日被記入您的賬戶，用於部分或全額支付貸款。
常見問題解答
買賣期權、期貨或期貨期權合約的結算規則有無變化？
無變化。此類產品當前在T+1日結算，結算週期不變。
買賣共同基金的結算規則有無變化？
無變化。IB當前提供的所有共同基金都在T+1日結算，結算週期不變。
本次改變對發起定單所需的現金或資產有無影響？
無影響。當前在所有定單提交前系統都會檢查，以確保定單執行後賬戶的合規性。對於現金賬戶中的現金，這意味著不論是T+3還是T+2結算制度，賬戶都必須有足夠的現金以滿足結算需求。同樣地，對於保證金賬戶，賬戶必須有足夠的超額淨資產以滿足保證金要求。該保護機制在T+2制度下不會變化。
本次變化對通過ACATS或ATON轉移證券的時間週期有無影響？
無影響。T+3至T+2的變化對轉賬流程沒有影響。
U.S. Microcap Stock Restrictions
Introduction
To comply with regulations regarding the sale of unregistered securities and to minimize the manual processing associated with trading shares that are not publicly quoted, IBKR imposes certain restrictions on U.S. Microcap Stocks. A list of those restrictions, along with other FAQs relating to this topic are provided below.
Microcap Restrictions
- IBKR will only accept transfers of blocks of U.S. Microcap stocks from Eligible Clients. Eligible Clients include accounts that: (1) maintain equity (pre or post-transfer) of at least $5 million or, clients of financial advisors with aggregate assets under management of at least $20 million; and (2) have less than half of their equity in U.S. Microcap Stocks.
- IBKR will only accept transfers1 of blocks of U.S. Microcap Stocks where the Eligible Client can confirm the shares were purchased on the open market or registered with the SEC;
- IBKR will not accept transfers1 of or opening orders for U.S. Microcap Stocks designated by OTC as Caveat Emptor or Grey Market from any client. Clients with existing positions in these stocks may close the positions;
- IBKR will not accept transfers of U.S. Microcap Stocks to cover a short position established at IBKR;
- Execution-only clients (i.e., execute trades through IBKR, but clear those trades elsewhere) may not trade U.S. Microcap Stocks within their IBKR account. (IBKR may make exceptions for U.S.-registered brokers);
Microcap FAQs
What is a U.S. Microcap Stock?
The term “Microcap Stock” refers to shares (1) traded over the counter or (2) that are listed on Nasdaq and NYSE American that have a market capitalization of between $50 million to $300 million and are trading at or below $5. For purposes of this policy, the term Microcap Stock will include the shares of U.S. public companies which have a market capitalization at or below $50 million, which are sometimes referred to as nanocap stocks or trade on a market generally associated with Microcap Stocks.
To avoid situations where minor, short-term fluctuations in a stock price cause repeated reclassification, any stock classified as U.S. Microcap will remain in that classification until both its market capitalization and share price exceed $300 million and $5, respectively, for a 30 consecutive calendar day period.
As Microcap Stocks are often low-priced, they are commonly referred to as penny stocks. IBKR may make exceptions, including for stocks traded at low prices that recently had a greater market cap. In addition, IBKR will not consider ADRs on non-US companies to be Micro-Cap stocks.
Where do Microcap Stocks trade?
Microcap Stocks typically trade in the OTC market, rather than on a national securities exchange. They are often electronically quoted by market makers on OTC systems such as the OTC Bulletin Board (OTCBB) and the markets administered by the OTC Markets Group (e.g., OTCQX, OTCQB & Pink). Also included in this category are stocks which may not be publicly quoted and which are designated as Caveat Emptor, Other OTC or Grey Market.
In addition, U.S. regulators also consider stocks listed on Nasdaq or NYSE American trading at or below $5 with a market capitalization at or less than $300 million to be Microcap Stocks.
What happens if IBKR receives a transfer from an Eligible Client where one or more of the positions transferred is a Microcap Stock?
If IBKR receives a transfer containing a block of a Microcap stock, IBKR reserves the right to restrict the sale of any Microcap position(s) included in the transfer unless the Eligible Client provides appropriate documentation establishing that the shares were either purchased on the open market (i.e., on a public exchange through another broker) or were registered with the SEC pursuant to an S-1 or similar registration statement.
Eligible Clients can prove that shares were purchased on the open market by providing a brokerage statement or trade confirm from a reputable broker reflecting the purchase of the shares on a public exchange. Eligible Clients can establish that the shares are registered by providing the SEC (Edgar system) File number under which their shares were registered by the company (and any documents necessary to confirm the shares are the ones listed in the registration statement).
NOTE: All customers are free to transfer out any shares we have restricted at any time.
What restrictions will IBKR apply to Prime accounts?
Clients whose activities include Prime services are considered Eligible Clients solely for the purposes of those trades which IBKR has agreed to accept from its executing brokers. However, while Prime accounts may clear U.S. Microcap Stocks at IBKR, those shares will be restricted until such time IBKR confirms that the shares are eligible for re-sale under the procedures discussed above.
To remove the restriction for shares purchased on the open market, please have the executing broker provide a signed letter on company letterhead or an official Account Statement stating that the shares were purchased in the open market. The letter or statement must also include the below required criteria. Alternatively, if the shares were acquired through an offering the letter or statement must provide documents or links to the relevant registration statement and state that the shares were part of it.
Required Broker Letter Criteria:
1) IBKR Account Number
2) IBKR Account Title
3) Trade Date
4) Settlement Date
5) Symbol
6) Side
7) Price
8) Quantity
9) Time of Execution
10) Exchange
11) Must be signed
12) Must be on Firm's official letterhead
To summarize: Sell Long trades will be accepted if the long position is no longer restricted. Sell Short trades will be accepted. Buy Long trades will be accepted and the position will be restricted until Compliance is provided with sufficient information to remove the restriction. Buy Cover trades and intraday round trip trades will not be accepted.
What happens if a stock you purchase gets reclassified as Grey Market or Caveat Emptor?
If you purchase a stock in your IBKR account that at a later date becomes classified as a Caveat Emptor or Grey Market stock, you will be allowed to maintain, close or transfer the position but will not be able to increase your position.
What are some of the reasons why Microcap Stock trading may be restricted in my account?
There are two primary reasons why you might be restricted from trading in a Microcap Stock:
- Potential Affiliation to Issuer: U.S. Securities and Exchange Commission (“SEC”) Rule 144 places certain limitations on trading of stocks (including Microcap Stocks) by an “affiliate” of the issuer. If IBKR observes trading activity or holdings in a Microcap Stock that are close to the trading volume thresholds under Rule 144 (“Rule 144 Thresholds”), IBKR may restrict the customer from trading the Microcap Stock until a compliance review is completed.
- Transfer of Microcap Stock: If the customer has recently transferred a Microcap Stock into their IBKR account, IBKR may restrict the customer from trading in that security until a compliance review is completed.
If one of the above reasons apply, trading will be restricted in the security and a notification will be sent to the customer’s message center in Account Management. This notification will describe the reason for the restriction and the steps the customer must take before IBKR will consider lifting the restriction.
Why does IBKR consider me to be a potential affiliate of a Microcap Stock issuer?
An “affiliate” is a person, such as an executive officer, a director or large shareholder, in a relationship of control with the issuer.
Rule 144 applies to all securities, including Microcap Stocks. However, given the heightened risks associated with trading Microcap Stocks, if a customer’s trading and/or holdings in a Microcap Stock are close to the Rule 144 Thresholds, IBKR will restrict the customer’s trading in the Microcap Stock. This restriction will remain in effect pending a compliance review into the customer’s potential affiliate status.
For the Potential Affiliate review, why do I need to ask for a new review every two weeks?
A customer’s affiliate status may change soon after IBKR completes the above-referenced Potential Affiliate review. As such, IBKR believes it is appropriate to refresh a Potential Affiliate review every two weeks if a customer’s trading activity and/or holdings in the Microcap Stock remain close to the Rule 144 Thresholds.
Where can I find a list of stocks that IBKR has designated as U.S. Microcaps?
A list of stocks designated as U.S. Microcaps by IBKR is available via the following link: www.ibkr.com/download/us_microcaps.csv
Note that this list is updated daily.
Where can I find additional information on Microcap Stocks?
Additional information on Microcap Stocks, including risks associated with such stocks may be found on the SEC website: https://www.sec.gov/reportspubs/investor-publications/investorpubsmicrocapstockhtm.html
-----------------------------------------------------------
1This includes transfers by any method (e.g., ACATS, DWAC, FOP), conversion of Canadian listings to their U.S. equivalent via “Southbound” transfer, transfers to cover existing short positions, IB Prime customers executing with other brokers and clearing to IBKR, etc.
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.
.jpg)
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/
IBKR股票差價合約概述
下方文章對IBKR發行的股票差價合約（CFD）進行了總體介紹。
有關IBKR指數差價合約的信息，請點擊此處。有關外匯差價合約的信息，請點擊此處。
涵蓋主題如下：
I. 差價合約定義
II. 差價合約與底層股票之比較
III. 成本與保證金
IV. 范例
V. 差價合約的相關資源
VI. 常見問題
風險警告
差價合約屬於復雜金融產品，其交易存在高風險，由於杠杆的作用，可能會出現迅速虧損。
在通過IBKR（UK）交易差價合約時，有67%的零售投資者賬戶出現了虧損。
您應考慮自己是否理解差價合約的運作機制以及自己是否能夠承受虧損風險。
ESMA差價合約規定（僅限零售客戶）
歐洲證券與市場管理局（ESMA）頒布了新的差價合約規定，自2018年8月1日起生效。
新規包括：1) 開倉差價合約頭寸的杠杆限制；2) 以單個賬戶為單位的保證金平倉規則；以及3) 以單個賬戶為單位的負余額保護規則；
ESMA新規僅適用於零售客戶。專業客戶不受影響。
請參見ESMA差價合約新規推行了解更多詳細信息。
I. 股票差價合約定義
IBKR差價合約是場外交易合約，提供底層股票的收益，包括股息與公司行動（了解更多有關差價合約公司行動的信息）。
換句話說，這是買家（您）與IBKR就交易一只股票當前價值與未來價值之差額而達成的協定。如果您持有多頭頭寸，且差額為正，則IBKR會付錢給您。而如果差額為負，則您應向IBKR付錢。
IBKR股票差價合約通過您的保證金賬戶進行交易，因此您可建立多頭以及空頭杠杆頭寸。差價合約的價格即是底層股票的交易所報價。實際上，IBKR差價合約報價與股票的智能傳遞報價（可在TWS中查看）相衕，且IBKR提供直接市場接入（DMA）。與股票類似，您的非適銷（即限價）定單會使底層對沖直接呈現在其進行交易之交易所的深度定單冊中。 這也意味著您可以下單以底層買價買入差價合約或以底層賣價賣出差價合約。
要將IBKR透明的差價合約模型與市場上其他差價合約進行比較，請參見我們的差價合約市場模型概述。
IBKR目前提供約7100只股票差價合約，覆蓋美國、歐洲和亞洲的主要市場。下表所列的主要指數其成分股目前都可做IBKR股票差價合約。在許多國家，IBKR還可供交易高流動性小槃股。這些股票自由流通量調整市值至少為5億美元，每日交易量中間值至少為60萬美元。 詳情請見差價合約產品列表。不久將會增加更多國家。
| 美國 | 標普500、道瓊斯股價平均指數、納斯達克100、標普400中槃股、高流動性小槃股 |
| 英國 | 富時350 + 高流動性小槃股（包括IOB） |
| 德國 | Dax、MDax、TecDax + 高流動性小槃股 |
| 瑞士 | 斯托克歐洲600指數（48只股票）+ 高流動性小槃股 |
| 法國 | CAC大槃股、CAC中槃股 + 高流動性小槃股 |
| 荷蘭 | AEX、AMS中槃股 + 高流動性小槃 |
| 比利時 | BEL 20、BEL中槃股 + 高流動性小槃 |
| 西班牙 | IBEX 35 + 高流動性小槃股 |
| 葡萄牙 | PSI 20 |
| 瑞典 | OMX斯德哥爾摩30指數 + 高流動性小槃股 |
| 芬蘭 | OMX赫爾辛基25指數 + 高流動性小槃股 |
| 丹麥 | OMX哥本哈根30指數 + 高流動性小槃股 |
| 挪威 | OBX |
| 捷克 | PX |
| 日本 | 日經225指數 + 高流動性小槃股 |
| 香港 | 恆生指數 + 高流動性小槃股 |
| 澳大利亞 | ASX 200指數 + 高流動性小槃股 |
| 新加坡* | 海峽時報指數 + 高流動性小槃股 |
| 南非 | Top 40 + 高流動性小槃股 |
*對新加坡居民不可用
II. 差價合約與底層股票之比較
取決於您的交易目標和交易風格，差價合約相對於股票有著許多優勢，但也存在一些不足之處：
| IBKR差價合約的優勢 | IBKR差價合約的缺點 |
|---|---|
| 無印花稅和金融交易稅（英國、法國、比利時） | 無股權 |
| 佣金和保證金利率通常比股票低 | 復雜公司行動并不總能完全復制 |
| 股息享受稅務協定稅率，無需重新申請 | 收益的徵稅可能與股票有所不衕（請咨詢您的稅務顧問） |
| 不受即日交易規則限制 |
III. 成本與保證金
在歐洲股票市場，IBKR差價合約可以比IB極具競爭力的股票產品更加高效。
首先，IBKR差價合約佣金比股票低，且有著與股票一樣低的融資點差：
| 歐洲 | 差價合約 | 股票 | |
|---|---|---|---|
| 佣金 | GBP | 0.05% | 英鎊6.00 + 0.05%* |
| EUR | 0.05% | 0.10% | |
| 融資** | 基准+/- | 1.50% | 1.50% |
*每單 + 超出5萬英鎊部分的0.05%
**對於差價合約是總頭寸價值的融資；對於股票是借用金額的融資
交易量更大時，差價合約佣金會變得更低，最低至0.02%。頭寸更大時，融資利率也會降低，最低至0.5%。 詳情請參見差價合約佣金和差價合約融資利率。
其次，差價合約的保證金要求比股票低。零售客戶須滿足歐洲監管機搆ESMA規定的額外保證金要求。請參見ESMA差價合約新規推行了解詳細信息。
| 差價合約 | 股票 | ||
|---|---|---|---|
| 所有 | 標准 | 投資組合保證金 | |
| 維持保證金要求* |
10% |
25% - 50% | 15% |
*藍籌股特有保證金。零售客戶最低初始保證金要求為20%。股票標准的25%日內維持保證金，50%隔夜保證金。 顯示的投資組合保證金為維持保證金（包括隔夜）。波動較大的股票保證金要求更高
請參見CFD保證金要求了解更多詳細信息。
IV. 范例（專業客戶）
讓我們來看一下例子。聯合利華在阿姆斯特丹的掛牌股票在過去一個月（2012年5月14日前20個交易日）回報率為3.2%，您認為其會繼續有良好表現。您想建立20萬歐元的倉位，并持倉5天。您以10筆交易建倉并以10筆交易平倉。您的直接成本如下：
股票
| 差價合約 | 股票 | ||
|---|---|---|---|
| 200,000歐元頭寸 | 標准 | 投資組合保證金 | |
| 保證金要求 | 20,000 | 100,000 | 30,000 |
| 佣金（雙向） | 200.00 | 400.00 | 400.00 |
| 利率（簡化） | 1.50% | 1.50% | 1.50% |
| 融資金額 | 200,000 | 100,000 | 170,000 |
| 融資天數 | 5 | 5 | 5 |
| 利息支出（1.5%的簡化利率） | 41.67 | 20.83 | 35.42 |
| 總計直接成本（佣金+利息） | 241.67 | 420.83 | 435.42 |
| 成本差額 | 高74% | 高80% | |
注意：差價合約的利息支出根據總的合約頭寸進行計算，而股票的利息支出則是根據借用金額進行計算。股票和差價合約的適用利率相衕。
但是，假設您只有2萬歐元可用來做保證金。如果聯合利華繼續上月的表現，您的潛在盈利比較如下：
| 杠杆回報 | 差價合約 | 股票 | |
|---|---|---|---|
| 可用保證金 | 20,000 | 20,000 | 20,000 |
| 總投入 | 200,000 | 40,000 | 133,333 |
| 總收益（5天） | 1,600 | 320 | 1,066.66 |
| 佣金 | 200.00 | 80.00 | 266.67 |
| 利息支出（1.5%的簡化利率） | 41.67 | 4.17 | 23.61 |
| 總計直接成本（佣金+利息） | 241.67 | 84.17 | 290.28 |
| 淨收益（總收益減去直接成本） | 1,358.33 | 235.83 | 776.39 |
| 保證金投資金額回報 | 0.07 | 0.01 | 0.04 |
| 差額 | 收益少83% | 收益少43% | |
| 杠杆風險 | 差價合約 | 股票 | |
|---|---|---|---|
| 可用保證金 | 20,000 | 20,000 | 20,000 |
| 總投入 | 200,000 | 40,000 | 133,333 |
| 總收益（5天） | -1,600 | -320 | -1,066.66 |
| 佣金 | 200.00 | 80.00 | 266.67 |
| 利息支出（1.5%的簡化利率） | 41.67 | 4.17 | 23.61 |
| 總計直接成本（佣金+利息） | 241.67 | 84.17 | 290.28 |
| 淨收益（總收益減去直接成本） | -1,841.67 | -404.17 | -1,356.94 |
| 差額 | 損失少78% | 損失少26% | |
V. 差價合約相關資源
下方鏈接可幫助您了解更多有關IBKR差價合約產品的詳細信息：
還可參看以下視頻教程：
VI. 常見問題
什么股票可進行差價合約交易？
美國、西歐、北歐與日本的大槃和中槃股股票。許多市場上的高流動性小槃股也可以。請參見差價合約產品列表了解更多詳細信息。不久將會增加更多國家。
IB提供股票指數和外匯的差價合約嗎？
是的。請參見IBKR指數差價合約 - 事實與常見問題以及外匯差價合約 - 事實與常見問題。
IB如何確定股票差價合約報價？
IBKR差價合約報價與底層股票的智能傳遞報價相衕。IBKR不會擴大價差或與您對賭。要了解更多信息，請參見差價合約市場模型概述。
我能看到自己的限價定單反映在交易所中嗎？
是的。IBKR提供直接市場接入（DMA），這樣您的非適銷（即限價）定單會使底層對沖直接呈現在其進行交易之交易所的深度定單冊中。這也意味著您可以下單以底層買價買入差價合約或以底層賣價賣出差價合約。此外，如果其他客戶的定單以優於公開市場的價格與您的定單交叉，您還可能會獲得價格改善。
IB如何確定股票差價合約的保證金？
IBKR根據每只底層股票的曆史波動率建立了基於風險的保證金要求機制。最低保證金為10%。 大多數IBKR差價合約都應用該保證金率，這使差價合約在大多數情況下都比底層股票交易更具效率。 零售客戶須滿足歐洲監管機搆ESMA規定的額外保證金
要求。 請參見ESMA差價合約新規推行了解詳細信息。單個差價合約頭寸之間或差價合約與底層股票頭寸之間沒有投資組合抵消。集中頭寸和超大頭寸可能需要准備額外的保證金。請參見差價合約保證金要求了解更多詳細信息。
空頭股票差價合約會要強制補倉嗎？
是的。如果底層股票很難或者根本不可能借到，則空頭差價合約頭寸的持有者將需要進行補倉。
IB如何處理股息和公司行動？
IBKR通常會為差價合約持有者反映公司行動的經濟效應，就好像他們一直持有著底層證券一樣。股息會表現為現金調整，而其他行動則會通過現金或頭寸調整表現。例如，如果公司行動導致股票數量發生變化（如股票分隔和逆向股票分隔），差價合約的數量也會相應地進行調整。如果行動導致產生新的上市實體，且IBKR決定將其股票作為差價合約交易，則需要創建適當數量之新的多頭或空頭頭寸。要了解概述信息，請參見差價合約公司行動。
*請注意，某些情況下對於合并等復雜公司行動可能無法對差價合約進行准確調整。這時候，IBKR可能會在除息日前終止差價合約。
任何人都能交易IBKR差價合約嗎？
除美國、加拿大和香港的居民，其他所有客戶都能交易IBKR差價合約。新加坡居民可交易除新加坡上市之股票差價合約以外的其它IBKR差價合約。任何投資者類型都不能免於這一基於居住地的限制。
我需要做什么才可以開始在IBKR交易差價合約？
您需要在賬戶管理中設置差價合約交易許可，并衕意相關交易披露。如果您的賬戶是在IB LLC開立，則IBKR將設置一個新的賬戶板塊（即您當前的賬戶號碼加上后綴“F”）。設置確認后您便可以開始交易了。您無需單獨為F賬戶注資，資金會從您的主賬戶自動轉入以滿足差價合約保證金要求。
有什么市場數據要求嗎？
IBKR股票差價合約的市場數據便是底層股票的市場數據。因此需要具備相關交易所的市場數據許可。如果您已經為股票交易設置了交易所的市場數據許可，那么就無需再進行任何操作。如果您想在當前并無市場數據許可的交易所交易差價合約，您可以設置許可，操作與底層股票的市場數據許可設置相衕。
差價合約交易與頭寸在報表中如何反映？
如果您是在IB LLC持有賬戶，且您的差價合約頭寸持有在單獨的賬戶板塊（主賬戶號碼加后綴“F”）中。您可以選擇單獨查看F板塊的活動報表，也可以選擇與主賬戶合并查看。您可在賬戶管理的報表窗口進行選擇。對於其他賬戶，差價合約通常會與其他交易產品一起在您的賬戶報表中顯示。
我可以從其他經紀商處轉入差價合約頭寸嗎？
IBKR當前不支持差價合約頭寸轉賬。
股票差價合約可以使用圖表功能嗎？
是的。
在IBKR交易差價合約有什么賬戶保護？
差價合約以IB英國作為您的交易對方，不是在受監管的交易所進行交易，也不是在中央結算所進行結算。因IB英國是您差價合約交易的對方，您會面臨與IB英國交易相關的財務和商業風險，包括信用風險。但請注意，所有客戶資金永遠都是完全隔離的，包括對機搆客戶。IB英國是英國金融服務補償計划（“FSCS”）參與者。IB英國不是美國證券投資者保護公司（“SIPC”）成員。請參見IB英國差價合約風險披露文件了解有關差價合約交易風險的詳細信息。
在哪種類型（如個人、朋友和家庭、機搆等）的IBKR賬戶中可交易差價合約？
所有保證金賬戶均可進行差價合約交易。現金賬戶和SIPP賬戶不能。
在某一特定差價合約中我最多可持有多少頭寸？
沒有預設限制。但請注意，超大頭寸可能會有更高保證金要求。請參見CFD保證金要求了解更多詳細信息。
我能否通過電話交易差價合約？
不要。在極端情況下我們可能衕意通過電話處理平倉定單，但絕不會通過電話處理開倉定單。
差價合約屬於復雜金融產品，其交易存在高風險，由於杠杆的作用，可能會出現迅速虧損。
在通過IBKR（UK）交易差價合約時，有67%的零售投資者賬戶出現了虧損。
您應考慮自己是否理解差價合約的運作機制以及自己是否能夠承受虧損風險。
ESMA規定
歐洲證券與市場管理局（ESMA）發布臨時產品干涉措施，自2018年8月1日起生效。
ESMA決議實施的限制包括：1) 開倉差價合約頭寸的杠杆限制；2) 以單個賬戶為單位的保證金平倉規則；3) 以單個賬戶為單位的負余額保護規則；4) 對交易差價合約激勵措施的限制；以及5) 標准的風險警告。
ESMA新規僅適用於零售客戶。 專業客戶不受影響。
SEC Tick Size Pilot Program
Background
Effective October 3, 2016, securities exchanges registered with the SEC will operate a Tick Size Pilot Program ("Pilot") intended to determine what impact, if any, widening of the minimum price change (i.e., tick size) will have on the trading, liquidity, and market quality of small cap stocks. The Pilot will last for 2 years and it will include approximately 1,200 securities having a market capitalization of $3 billion or less, average daily trading volume of 1 million shares or less, and a volume weighted average price of at least $2.00.
For purposes of the Pilot, these securities will be organized into groups that will determine a minimum tick size for both quote display and trading purposes. For example, Test Group 1 will consist of securities to be quoted in $0.05 increments and traded in $0.01 increments and Test Group 2 will include securities both quoted and traded in $0.05 increments. Test Group 3 will include also include securities both quoted and traded in $0.05 increments, but subject to Trade-at rules (more fully explained in the Rule). In addition, there will be a Control Group of securities that will continue to be quoted and traded in increments of $0.01. Details as to the Pilot and securities groupings are available on the FINRA website.
Impact to IB Account Holders
In order to comply with the SEC Rules associated with this Pilot, IB will change the way that it accepts orders in stocks included in the Pilot. Specifically, starting October 3, 2016 and in accordance with the phase-in schedule, IB will reject the following orders associated with Pilot Securities assigned to Test Groups:
- Limit orders having an explicit limit that is not entered in an increment of $0.05;
- Stop or Stop Limit orders having an explicit limit that is not entered in an increment of $0.05; and
- Orders having a price offset that is not entered in an increment of $0.05. Note that this does not apply to offsets which are percentage based and which therefore allow IB to calculate the permissible nickel increment
Clients submitting orders via the trading platform that are subject to rejection will receive the following pop-up message:
The following order types will continue to be accepted for Pilot Program Securities:
- Market orders;
- Benchmark orders having no impermissible offsets (e.g., VWAP, TVWAP);
- Pegged orders having no impermissible offsets ;
- Retail Price Improvement Orders routed to the NASDAQ-BX and NYSE as follows:
- Test Group 1 in .001
- Test Group 2 and 3 in .005
Other Items of Note
- GTC limit and stop orders entered prior to the start of the Pilot will be adjusted as allowed (e.g., a buy limit order at $5.01 will be adjusted to $5.00 and a sell limit at $5.01 adjusted to $5.05).
- Clients generating orders via third-party software (e.g., signal provider), order management system, computer to computer interfaces (CTCI) or through the API, should contact their vendor or review their systems to ensure that all systems recognize the Pilot restrictions.
- Incoming orders to IB that are marked with TSP exception codes from other Broker Dealers will not be acted upon by IB. For example, IB will not accept incoming orders marked with the Retail Investor Order or Trade-At ISO exception codes.
- The SEC order associated with this Pilot is available via the following link: https://www.sec.gov/rules/sro/nms/2015/34-74892-exa.pdf
- For a list of Pilot Program related FAQs, please see KB2750
Please note that the contents of this article are subject to revision as further regulatory guidance or changes to the Pilot Program are issued.
Allocation of Partial Fills
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:
SEC Tick Size Pilot Program FAQs
Tick Size Pilot ("TSP" or "Pilot") Program:
Under the TSP Program, if IBKR receives any order in a Pilot Security that does not conform to the designated pricing increment (e.g., a limit price in a $0.01 increment for a security designated as trading $0.05 increments), IBKR will REJECT that order, subject to limited exceptions. IBKR strongly encourages a thorough review of your software or your vendor’s software to understand the criteria for what causes an order in a Pilot Security to be rejected to permit you or your vendor to make changes to correctly handle orders in Test Group Pilot Securities.
FREQUENTLY ASKED QUESTIONS:
Q: Is the Tick Size Pilot program still ongoing?
A: On March 29, 2019 the data collection requirements under the National Market System (NMS) plan to implement a Tick Size Pilot Program (Tick Size Pilot) ended. As a result, the Pilot Security File and Change File will no longer be produced on a daily basis. At the conclusion of the pilot, a blank Tick Size Pilot Securities file will be produced and the Change File will be updated to show the deletion of securities from the Tick Pilot Size list.
Q: What is the Tick Size Pilot?
A: On May 6, 2015, the SEC approved an amended TSP NMS Plan. The Pilot will be two years in length. Data collection for the Pilot began on April 4, 2016, 6 months prior to the implementation of the trading and quoting rules for the Pilot. Implementation of the trading and quoting rules for the Pilot will begin on October 3, 2016.
The Pilot will be conducted using a Control Group and three Test Groups where variations in quoting and trading rules exist between each group. Please see the TSP NMS Plan for additional information.
Q: Will the Pilot quoting and trading rules apply during regular market hours, pre-market hours and post market hours?
A: The Pilot rules apply during all operational hours (pre-market, regular hours, and post market hours trading).
Q: Will the Pilot quoting and trading rules apply to odd-lot and mixed-lot sizes?
A: Yes, the Pilot rules to all order sizes.
Q: Will orders in Control Group Securities be accepted in price increments of less than $0.05?
A: Yes, orders submitted in price increments of less than $0.05 will continue to be accepted in Control Group securities.
Q: Will orders in a Test Group 1, 2 or 3 Pilot Securities be accepted in price increments of less than $0.05?
A: No, unless covered by an exception, orders submitted in price increments of less than $0.05 will be rejected.
Q: Which Pilot Security Orders in Test Groups will Interactive Brokers accept at other than $0.05 increments?
Midpoint orders with no explicitly stated limit price or impermissible offsets will be accepted
VWAP orders that do not have an explicitly stated limit price or impermissible offsets will be accepted.
Interactive Brokers will accept Exchange operated Retail Price Improvement orders as follows:
Test Group 1 in $0.001 price increments
Test Groups 2 and 3 in $0.005 price increments.
Q: Will there be any changes to the Opening / Closing processes on Exchanges?
A: Please refer to each of the exchange rules for details but in general, there will be no changes to the Opening / Closing process. All orders entered and eligible to participate in Exchange Opening / Closing Cross will be accepted in increments of $0.05. The Exchanges will begin publishing all quotes in increments of $0.05; however, Net Order Imbalance Indicator prices may be published in increments of $0.025.
Q: What will happen to my GTC order that was placed prior to October 3rd in a Pilot Stock that was priced in impermissible tick increments?
A: Interactive Brokers will adjust outstanding limit and stop GTC orders in Pilot stocks in Test Groups that are not in permissible tick increments (e.g., a buy limit order at $5.01 will be adjusted to $5.00 and a sell limit at $5.01 adjusted to $5.05).
Q: What will happen to my GTC order placed after October 3rd that was placed and accepted in a nickel tick increment but the Pilot Stock moves from a Test Group to the Control Group that permits non-nickel increments?
A: The GTC order will automatically be able to be revised by the user in non-nickel increments on the date the Pilot stock moves from the Test Group to the Control Group. Similarly, if a stock is added to Test Group due to a corporate action, IBKR will cancel the GTC order if it is priced in impermissible increments.
Q: Where can I find out more information?
A: See KB2752 or the FINRA website for additional details regarding the Pilot Program: http://www.finra.org/industry/tick-size-pilot-program
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.
