Notice on Collecting Order Fees on Futures and Option Contracts Based on Client Message Amount

Updated on Jul 29,2022

Notice on Collecting Order Fees on Futures and Option Contracts Based on Client Message Amount

All Members,

To enhance supervisory efficiency and ensure market stability, and as provided under Article 37 of the Clearing Rules of the Shanghai Futures Exchange, Shanghai Futures Exchange (SHFE) plans to collect order fees on futures and option contracts, based on the extra amount of client messages over the benchmark, starting from August 5^th, 2022 (i.e., during continuous trading on the evening of August 4^th).

I. Scope of Application

1. SHFE will, per the corresponding formula, begin collecting order fees from clients who have placed or canceled more orders than the benchmark orders in futures and option contracts or (for options only) requested for quotes on the current day.

2. This fees collection plan and formula also apply to Non-Futures Firm Members.

3. SHFE-approved market makers are exempted from the order fees with respect to the products for which they make a market.

II. Fees Formula

1. Order fees for any particular futures or option contract = Σ The client’s total message amount for that contract at different levels × the corresponding fees rate. The fees rates are as follows:

Group A includes sliver, aluminum, gold, bitumen, copper, fuel oil, hot rolled coils, nickel, lead, steel rebar, natural rubber, tin, wood pulp, stainless steel, and zinc Futures. Group B includes steel wire rod futures and aluminum options, gold options, copper options, natural rubber options, and zinc options.

In particular, message amount = total number of trading orders such as order placement, order cancellation, and RFQ; OTR= (message amount / number of executed orders) – 1. If the actual number of executed orders is 0, it would be treated as 1 for calculating OTR. The message amount mentioned above includes order placement and cancellation resulting from fill-or-kill (FOK) orders and fill-and-kill (FAK) orders.

2. For a contract that supports trade at settlement (TAS) orders, the message amount from TAS orders and that from other orders for the contract are aggregated.

III. Fees Calculation

1. For any client that maintains trading codes with multiple account-opening institutions, order fees are calculated by the formula above based on the aggregated message amount and number of executed orders of the client under all trading codes. The order fees payable through each account-opening institution are proportional to the percentage of that client’s message amount through that institution.

2. Clients linked by actual control relationship are treated as a single client for the calculation and collection of order fees.

IV. Fees Collection

SHFE will deduct order fees from the clearing deposits of relevant Members during daily clearing. If the fees cannot be collected at daily clearing due to special circumstances, SHFE may do so at time of clearing on the next trading day, and the details for which will be announced separately.

V. Other Matters

1. Members are expected to upgrade their IT systems before August 4^th, 2022. Please contact your IT vendors for the specifics.

2. According to Article 9 of the Administration of Abnormal Trading Behaviors Rules of Shanghai Futures Exchange, Frequent order cancellation in contracts that collect order fees will not be deemed as an abnormal trading behavior.

Shanghai Futures Exchange

July 29^th, 2022