Futures Commissions and Fees

Фьючерс Другое

Before you start trading futures, you need to familiarize yourself with all the nuances of this lesson. Including – to study the commissions that will have to be paid when trading on the exchange itself and HKO NCC (National Clearing Center).

What are futures?

Futures are a type of contract in which the seller promises to deliver the underlying assets to the buyer at an agreed price within a specified time frame. The main advantages of futures are low commissions, high liquidity and the ability to use leverage for free, regardless of whether it rises or falls.

Futures commissions on the Moscow Exchange

There are several futures commissions and fees charged on the Moscow Exchange.

All commissions for the purchase are paid by the trader, with the exception of the contribution to the Guarantee Fund – all parties contribute to it.

For granting admission to trading

There are several types of contributions, depending on the category of the Participant:

  • “O” – 5 million rubles (access to all selections: stock, cash and commodity);
  • “F1” or “F2” – 3 million rubles (access to stock selection);
  • “T1” or “T2” – 1 million rubles (access to commodity selection);
  • “D1” or “D2” – 1 million rubles (access to money selection).

To the Guarantee Fund

This Derivatives Market Fund is formed by the Clearing Center at the expense of contributions from all Participants admitted to clearing. Guarantee funds are intended to cover risks arising from possible default by participants of their obligations.

The smallest contribution to this fund of the Clearing Members is 10 million rubles.

For the conclusion of futures contracts

The amount of fees in this case is calculated as follows: FutFee = Round (Round (abs (FutPrice) * Round (W (f) / R (f); 5); 2) * BaseFutFee; 2), where:

  • FutFee – the amount of the fee for futures trading (in rubles), always ≥ 0.01 rubles;
  • FutPrice – futures price;
  • W (f) – the cost of the minimum price step of the concluded futures;
  • R (f) – the minimum price step of the concluded futures;
  • Round – a function that rounds a number with a specified precision;
  • abs – function for calculating the module (unsigned number).
  • BaseFutFee – the size of the base rate for the Groups of contracts, which exist as follows: currency – 0.000885%; interest – 0.003163%; stock – 0.003795%; index – 0.001265%; commodity – 0.002530%.

For the conclusion of contracts based on margin

Fees for futures-style contracts are calculated as follows: OptFee = Round (min [(FutFee * K); Round (Premium * Round (W (o) / R (o); 5); 2) * BaseFutFee]; 2), where:

  • OptFee – the size of the exchange commission (in rubles), always ≥ 0.01 rubles;
  • FutFee and Round – similar to the values ​​from the previous paragraph;
  • W (o) – the size of the minimum futures price step (in rubles);
  • R (o) – minimum futures price step;
  • K – coefficient equal to 2;
  • Premium – the size of the option premium (in units of measure specified in the order for the futures price);
  • BaseOptFee – the value of the base exchange rate is 0.06325 (exchange), the base clearing rate is 0.04675.

Futures

For scalping deals

Futures scalping fees are calculated using the following formulas:

  • Fee = (OptFee (1) + OptFee (2)) * K → if OptFee (1) = OptFee (2);
  • Fee = 2 * OptFee (1) * K + (OptFee (2) – OptFee (1)) → if OptFee (1) <OptFee (2);
  • Fee = 2 * OptFee (2) * K + (OptFee (1) – OptFee (2)) → if OptFee (1)> OptFee (2).

Where:

  • OptFee (1) – the total amount of fees for transactions that lead to the opening of futures;
  • OptFee (2) – the total amount leading to the closing of futures;
  • K – coefficient, always equal to 0.5.

Clearing

Determined in Russian rubles individually for each exchange transaction in the derivatives market. All about clearing fees can be found
in the document provided by the Moscow Exchange.

Per transaction

Fees are divided into 3 types, per transaction:

  • Ineffective. They are used if there are many transactions, but few transactions are made. Formula for calculation: TranFee = 0.1 max (K – (f * l); 0), where:
    • k – the score for the transaction (taken from the table below);
    • f – the fee paid for the fact of the conclusion of the transaction;
    • l – score for the deal (taken from the table below).
  • Erroneous Flood Control. They are used if many such transactions are carried out with the error code 9999. Commissions less than 1,000 rubles per trading session are not charged. The maximum fee for one session is 45 thousand rubles. The basic formula for the calculation: Sbor (l) = min (max (x, x2 / 50), 250) * 3.
  • Executed by mistake, but different from Flood Control. It is used if you carry out many such transactions with error codes 31, 332, 333, 4103, 3, 14, 50 and 0. The formula for calculating: TranFee2 = min (Cap (max); max (2 * Σx (i); Σx ( i) 2)). The fee is taken if TranFee2> Cap (min). Decoding of values:
    • TranFee2 – the size of the commission for erroneous transactions (in rubles, VAT included);
    • Cap (max) equal to 30,000 – limitation of the maximum commission for erroneous transactions (in rubles);
    • Cap (min) equal to 1,000 – limitation of the minimum commission for erroneous transactions (in rubles);
    • х (i) – a value that is always calculated individually from the sum of all points for the i-th second and the login limit.

Scoring table for transactions and futures trades:

Market maker / not market maker (yes / no)Point per transactionPoint per trade
No (high / low liquid)140
Yes (highly liquid)0.5100
Yes (low liquid)00

Information on the amount of the fee can be viewed in the clearing reports

All formulas are given for the purpose of acquaintance and a deeper understanding of the nature of commissions and fees, it is better not to calculate anything yourself.

For Calendar spreads

The fee for trades based on unaddressed orders is calculated using the formula: Fee (CS) = FutFee (CS) * (1 – К), where:

  • FutFee (CS) – commission for futures transactions charged in rubles based on unaddressed orders;
  • Fee (CS) – the amount of the fee charged in rubles based on unaddressed orders for one trading day;
  • K – the coefficient of the bet, which is equal to 0.2.

The fee for trades based on targeted orders is calculated using the formula: Fee (CS) = ΣFutFee (CS), where the definitions of the values ​​are similar to the previous ones.
Calendar spreads

What is the expiry date for futures?

All futures contracts have an expiration date. The due date is the third Thursday of each last quarterly month.

If you want to hold a position for a long time, after the final liquidation of June futures (or after closing the position shortly before the expiration date), you will need to buy the next, already September, futures (this operation is called rolling). When you buy again (after the expiration date), you will need to pay the commission to the exchange and broker again.

The reason for holding the position, for example, can be the confidence in the growth of the US dollar exchange rate.

The Danger of the Derivatives Market

For novice traders and investors, this market is full of sinister dangers. In this market, a lot can happen quickly and unexpectedly. The daily portfolio drop can amount to tens of percent. Apart from liquidating your portfolio, you can also get debt from a broker. In a critical situation, the fall of one or another instrument within a few hours can reach 20-60%. This is similar to trading with a leverage of 1k20 or higher.

It is necessary to understand the potential risks and not direct all available funds to the derivatives market.

All commissions and fees that must be paid to the Moscow Exchange and HKO NCC (National Clearing Center) have their own rules and calculation formulas. Some terms are constants, while others are individual.

Поделиться ссылкой:

Rate this post
Rate author
Programming, investment and algorithmic trading
Add a comment