Interpretation of the rules for the collection of Order fees on various exchanges

FangQuant › Policy

Interpretation of the rules for the collection of Order fees on various exchanges

Fang • submitted 2024-05-31 23:25:52

各交易所申报费收取规则解读

Interpretation of the rules for the collection of Order fees on various exchanges

目录/Table of Contents

一、背景

1.Background

二、申报费收取标准一览表

2. A list of Order fee collection standards

三、信息量计算规则对比

3.Comparison of message amount rules

四、申报费收取标准共同之处

4.Similarities in the standard for the collection of Order fees

五、申报费计算说明

5.Instructions for calculating the Order fee

六、各系统有关申报费限制功能一览表

6.A list of the functions related to the restriction of Order fees in each system

一、背景

1. Background

郑州商品交易所于 2024年5月21日发布了《关于调整部分期货品种申报费的通知》（郑商函（2024）302号）；

On May 21, 2024, the Zhengzhou Commodity Exchange(ZCE) issued the Notice on Adjustments to Order Fees of Certain Futures (Zheng Shanghan (2024) No. 302);

上海期货交易所于 2024年5月22 日发布了《上海期货交易所关于调整申报费收费标准的通知》（上期发（2024）177号）；

On 22 May 2024, the Shanghai Futures Exchange(SHFE) issued the Notice on Adjusting Order Fees on Futures and Options Contracts (Shang Fa (2024) No. 177);

上海国际能源交易中心于2024年5月22日发布了《上海国际能源交易中心关于调整申报费收费标准的通知》（上能发（2024）40号）；

On May 22, 2024, the Shanghai International Energy Exchange(INE) issued the Notice on Adjusting Order Fees on Futures and Options Contracts (Shang Neng Fa (2024) No. 40);

大连商品交易所于2024年5月23日发布了《关于调整部分期货合约申报费收费标准的通知》（大商所发（2024）241号）；

On May 23, 2024, the Dalian Commodity Exchange(DCE) issued the Notice on Adjusting Order Fee for Trading Certain Futures Contracts (DCE Fa (2024) No. 241);

中国金融期货交易所于2024年5月24日发布了《关于国债期货实施梯度申报费有关事项的通知》（中金所发（2024）29号）;

On May 24, 2024, the China Financial Futures Exchange (CFFEX) issued the Notice on Collecting Tiered Order Submission Fees on China Government Bond Futures (CFFE Fa (2024) No. 29).

根据以上通知内容，各交易所在原期货品种申报费收费标准的基础上进行了大幅上调，同时中金所新增了国债期货的申报费收取。我部根据各交易所通知精神对申报费收取规则解读做了相应的调整更新，以下正文红色标注部分为更新内容。

According to the above notice, the exchanges have significantly increased the Order fee standard of the original futures products, and at the same time, the CFFEX has added the Order fee for treasury bond futures. According to the spirit of the notice of each exchange, our department has made corresponding adjustments and updates to the interpretation of the rules for the collection of Order fees, and the part marked in red in the following text is the updated content.

二、申报费收取标准一览表（自2024年5月31日夜盘起）

2．A list of Order fee collection standards (from the night of May 31, 2024)

1.上海期货交易所
品种	信息量	收费标准
品种	信息量	OTR≤2	OTR＞2
A组（白银、不锈钢、黄金、螺纹钢、铝、镍、铅、热轧卷板、燃料油石油沥青、铜、天然橡胶、锌、锡、纸浆）	1笔≤信息量≤4000笔	0	0
	4001笔≤信息量≤8000笔	1.5元/笔	3元/笔
	8001笔≤信息量≤40000笔	7.5元/笔	15元/笔
	40001笔≤信息量	25元/笔	50元/笔
B组（白银期权、黄金期权、螺纹钢期权、铝期权、铜期权、天然橡胶期权、锌期权、丁二烯橡胶期权）	1笔≤信息量≤4000笔	0	0
	4001笔≤信息量≤8000笔	0.5元/笔	1元/笔
	8001笔≤信息量≤40000笔	2.5元/笔	5元/笔
	40001笔≤信息量	5元/笔	10元/笔
C组（丁二烯橡胶、线材、氯化铝）	1笔≤信息量≤4000笔	0	0
	4001笔≤信息量≤8000笔	0.1元/笔	0.2元/笔
	8001笔≤信息量≤40000笔	0.5元/笔	1元/笔
	40001笔≤信息量	2元/笔	5元/笔

1.SHFE
Contracts	Message Amount（MA）	Fee:Order-to-Trade Ratio(OTR)
Contracts	Message Amount（MA）	OTR≤2	OTR＞2
Group A (Silver, Stainless Steel, Gold, Steel Rebar, Aluminum, Nickel, Lead, Hot Rolled Coils, Fuel Oil, Bitumen, Copper, Natural Rubber, Zinc, Tin and Wood Pulp futures contracts)	1≤MA≤4000	0	0
	4001≤MA≤8000	1.5 yuan/count	3 yuan/count
	8001≤MA≤40000	7.5 yuan/count	15 yuan/count
	40001≤MA	25 yuan/count	50 yuan/count
Group B (Silver, Gold, Steel Rebar, Aluminum, Copper, Natural Rubber, Zinc and Butadiene Rubber options contracts)	1≤MA≤4000	0	0
	4001≤MA≤8000	0.5 yuan/count	1 yuan/count
	8001≤MA≤40000	2.5 yuan/count	5 yuan/count
	40001≤MA	5 yuan/count	10 yuan/count
Group C (Butadiene Rubber, Steel Wire Rod and Aluminum Oxide futures contracts)	1≤MA≤4000	0	0
	4001≤MA≤8000	0.1 yuan/count	0.2 yuan/count
	8001≤MA≤40000	0.5 yuan/count	1 yuan/count
	40001≤MA	2 yuan/count	5 yuan/count

2.上海国际能源交易中心
品种	信息量	收费标准
品种	信息量	OTR≤2	OTR＞2
A组（原油、低硫燃料油、20号胶）	1笔≤信息量≤4000笔	0	0
	4001笔≤信息量≤8000笔	1.5元/笔	3元/笔
	8001笔≤信息量≤40000笔	7.5元/笔	15元/笔
	40001笔≤信息量	25元/笔	50元/笔
B组（原油期权）	1笔≤信息量≤4000笔	0	0
	4001笔≤信息量≤8000笔	0.5元/笔	1元/笔
	8001笔≤信息量≤40000笔	2.5元/笔	5元/笔
	40001笔≤信息量	5元/笔	10元/笔
C组（国际铜、集运指数）欧线））	1笔≤信息量≤4000笔	0	0
	4001笔≤信息量≤8000笔	0.1元/笔	0.2元/笔
	8001笔≤信息量≤40000笔	0.5元/笔	1元/笔
	40001笔≤信息量	2元/笔	5元/笔

2.INE
Contracts	Message Amount（MA）	Fee:Order-to-Trade Ratio(OTR)
Contracts	Message Amount（MA）	OTR≤2	OTR＞2
Group A (LSFO, TSR20 and crude oil futures contracts)	1≤MA≤4000	0	0
	4001≤MA≤8000	1.5 yuan/count	3 yuan/count
	8001≤MA≤40000	7.5 yuan/count	15 yuan/count
	40001≤MA	25 yuan/count	50 yuan/count
Group B (crude oil options contracts)	1≤MA≤4000	0	0
	4001≤MA≤8000	0.5 yuan/count	1 yuan/count
	8001≤MA≤40000	2.5 yuan/count	5 yuan/count
	40001≤MA	5 yuan/count	10 yuan/count
Group C (copper(BC) and SCFIS(Europe) futures contracts)	1≤MA≤4000	0	0
	4001≤MA≤8000	0.1 yuan/count	0.2 yuan/count
	8001≤MA≤40000	0.5 yuan/count	1 yuan/count
	40001≤MA	2 yuan/count	5 yuan/count

3.大连商品交易所
品种	信息量	收费标准
品种	信息量	OTR≤2	OTR＞2
棕榈油、豆粕	信息量≤4000笔	0	0
	4000笔＜信息量≤8000笔	0	3元/笔
	信息量＞8000笔	6元/笔	15元/笔
玉米、线型低密度聚乙烯	信息量≤4000笔	0	0
	4000笔＜信息量≤8000笔	0	2元/笔
	信息量＞8000笔	4元/笔	10元/笔
豆油、黄大豆1号、黄大豆2号	信息量≤4000笔	0	0
	4000笔＜信息量≤8000笔	0	1元/笔
	信息量＞8000笔	2元/笔	5元/笔
生猪、铁矿石	信息量≤4000笔	0元/笔	0元/笔
	4000笔＜信息量≤8000笔	0元/笔	0.1元/笔
	信息量＞8000笔	0.2元/笔	0.5元/笔

3.DCE
Futures Contracts	Message Amount（MA）	Fee:Order-to-Trade Ratio(OTR)
Futures Contracts	Message Amount（MA）	OTR≤2	OTR＞2
RBD Palm Olein、Soybean Meal	MA≤4000	0	0
	4000＜MA≤8000	0	3 yuan/count
	MA＞8000	6 yuan/count	15 yuan/count
Corn、LLDPE	MA≤4000	0	0
	4000＜MA≤8000	0	2 yuan/count
	MA＞8000	4 yuan/count	10 yuan/count
Soybean Oil、No. 1 Soybean、No. 2 Soybean	MA≤4000	0	0
	4000＜MA≤8000	0	1 yuan/count
	MA＞8000	2 yuan/count	5 yuan/count
Iron Ore、Live Hog	MA≤4000	0	0
	4000＜MA≤8000	0	0.1 yuan/count
	MA＞8000	0.2 yuan/count	0.5 yuan/count

4.郑州商品交易所
品种	信息量	收费标准
品种	信息量	OTR≤2	OTR＞2
甲醇、白糖、菜油、菜粕	信息量≤4000笔	0	0
	4000笔＜信息量≤8000笔	0	3元/笔
	信息量＞8000笔	7.5元/笔	15元/笔
短纤、花生	信息量≤4000笔	0	0
	4000笔＜信息量≤8000笔	0	1元/笔
	信息量＞8000笔	2.5元/笔	5元/笔
PTA	信息量≤4000笔	0	0
	4000笔＜信息量≤8000笔	0	2元/笔
	8000笔＜信息量≤20000笔	5元/笔	10元/笔
	信息量＞20000笔	10元/笔	40元/笔

4.ZCE
Futures Contracts	Message Amount（MA）	Order-to-Trade Ratio(OTR)
Futures Contracts	Message Amount（MA）	OTR≤2	OTR＞2
Methanol, Rapeseed Oil, Rapeseed Meal, White Sugar	MA≤4000	0	0
	4000＜MA≤8000	0	3 yuan/count
	MA＞8000	7.5 yuan/count	15 yuan/count
Polyester Staple Fiber, Peanut Kernel	MA≤4000	0	0
	4000＜MA≤8000	0	1 yuan/count
	MA＞8000	2.5 yuan/count	5 yuan/count
PTA	MA≤4000	0	0
	4000＜MA≤8000	0	2 yuan/count
	8000＜MA≤20000	5 yuan/count	10 yuan/count
	MA＞20000	10 yuan/count	40 yuan/count

5.中国金融期货交易所
品种	收费标准（申报是指买入、卖出及撤销委托）
沪深300、上证50、中证500和中证1000股指期货	1元/笔
品种	信息量	收费标准
		OTR≤2	OTR＞2
国债期货（自2024年7月1日起）	信息量≤4000笔	0	0
	4000笔＜信息量≤8000笔	0	1元/笔
	8000笔＜信息量≤12000笔	10元/笔	20元/笔
	信息量＞12000笔	20元/笔	50元/笔

5.CFFEX
Contracts	Order Fee（Order Fee refers to buying, selling, and canceling orders）
CSI300、SSE50、CSI500和CSI1000 Index Futures Contracts	1 yuan/count
Futures Contracts	Message Amount（MA）	Order-to-Trade Ratio(OTR)
		OTR≤2	OTR＞2
China Government Bond Futures （From July 1, 2024）	MA≤4000	0	0
	4001≤MA≤8000	0	1 yuan/count
	8001≤MA≤12000	10 yuan/count	20 yuan/count
	MA≥12001	20 yuan/count	50 yuan/count

6.广州期货交易所
品种	收费标准
工业硅/碳酸锂期货、期权	暂不收取

6.GFEX
Contracts	Order Fee
silicon metal/Lithium carbonate Futures and Options	Not charged at the moment

注意：

（1）中金所根据客户沪深300、上证50、中证500和中证1000 股指期货各合约的申报数量收取，申报是指买入、卖出及撒销委托，盘中实时收取。

（2）其他商品交易所申报费按合约、按日收取。交易所盘中不收取（结算时收取），下一交易日重新计算。

Note:

(1) CFFEX collects order fees based on the order quantity of each CSI 300, SSE 50, CSI 500 and CSI 1000 stock index futures contracts. Reporting refers to buying, selling and cancelling orders, which are collected in real time during the day.

(2) The order fee for other commodity exchanges is charged on a contract-by-contract basis, on a daily basis. It is not charged intraday on the exchange (it is collected at the time of settlement) and will be recalculated on the next trading day.

三、信息量计算规则对比

3. Comparison of message amount rules

交易所	上期所、能源中心	大商所	郑商所	中金所（国债）
信息量	信息量=报单、撤单、询价等交易指令之和	信息量=下单笔数+撤单笔数	信息量=报单、撤单等交易指令笔数之和	信息量是指买入、卖出及撤销委托笔数之和
报单成交比	若某笔定单部分或全部成交，则该笔定单计为1笔成交，1笔定单若分多次成交不重复统计。当客户某日在某合约上有信息量，但有成交的定单笔数为0时，各家交易所OTR的计算规定如下：
报单成交比	有成交的报单笔数为0时，视其为1来计算OTR。	有信息量但无成交，OTR为极大值（最大值）。	如果客户当日有信息量但无成交，OTR＞2。	在国债期货合约上有成交的委托笔数为0时，视其为1来计算OTR。
市价（限价）止盈（止损）指令	——	即使不触发价格条件也计算下单笔数和下单手数	——	——


TAS指令	信息量和标的合约信息量合并计算	——	——	——
GIS指令	——	计入信息量	——	——
组合订单	组合定单的各腿合约信息量分别计入各腿合约上
强行平仓定单	计入信息量
强制减仓定单	不计入信息量

Exchange	SHFE、INE	DCE	ZCE	CFFEX （China Government Bond Futures）
Message Amount(MA)	MA = total number of trading orders such as order placement ,order cancellation, and RFQ:	MA = number of order placements + number of order cancellations	MA = total number of trading orders such as order placement and order cancellation.	MA refers to the total number of buy and sell orders submitted and cancelled.
Order-to-Trade Ratio(OTR)	If an order is partially or fully filled, it will be counted as 1 executed order. If an order is filled separately by multiple times, it will still be counted as 1 executed order.If any client or non-FB member has MA on the certain contract but no order is filled, The OTR calculation rules for each exchange are as follows:
	If the actual number of executed orders is 0, it would be treated as 1 for calculating OTR.	If any client has MA on the certain contract but no order is filled, the current day’s OTR on that contract will be maximum.	If any client or non-FB member has MA on the certain contract but no order is filled, the current day’s OTR on that contract will be considered as more than 2.	If the actual number of executed orders by any non-futures-company member or client is 0, it shall be counted as 1 for the purpose of calculating OTR.
Market（Limit）、Stop Profit（Loss）Order	——	Even if the price condition is not triggered, the number of orders and lots are calculated	——	——


TAS Order	The MA of TAS instructions and the MA of the underlying contract are combined to calculate.	——	——	——
GIS Order	——	Calculate the MA	——	——
Spread order	MA for each spread will be calculated into MA for each separate contract
Forced liquidation order	Calculate the MA
Forced position reduction order	Not calculate the MA

四、申报费收取标准共同之处

4. Similarities in the standard for the collection of Order fees

1、上期所、能源中心、大商所、郑商所和中金所（国债）：信息量超过4000 笔才开始计算收取申报费。

1. SHFE, INE, DCE, ZCE and CFFEX (Treasury Bonds): The order fee will be calculated and charged only when the message amount exceeds 4,000.

2、按照合约层面计算信息量，各合约的信息量单独计算，不对品种上各合约的信息量加总。

2. The message amount is calculated according to the contract level, and the message amount of each contract is calculated separately, and the message amount of each contract on the variety is not summed up.

3、FOK（立即全部成交否则自动撒销指令）和FAK（立即成交剩余指令白动撤销指令）指令的报撤单不豁免，都计入信息量。若全部成交仅计 1 笔报单笔数，若未成交或未全部成交而产生撒单，则计1笔报单笔数和1 笔撒单笔数。

3. FOK (fill-or-kill) and FAK (fill-and-kill) orders are not exempted and are included in the message amount. If the FAK/FOK order is fully filled, the message amount for this FAK/FOK order will be 1; if that order is withdrawn due to partial or no execution, the message amount will be 1 for order placement and 1 for order cancellation.

4、对于同一客户在不同期货公司会员处开有多个交易编码的，或者具有实际控制关系的客户，交易所对其报单笔数、撒单笔数、信息量、有成交的定单笔数、OTR 等指标合并计算。

4. For any client that maintains trading codes with multiple FB members, or clients or non-FB members linked by actual controlling relationship, the Exchange shall calculate indicators like order placement, order cancellation, message amount, executed orders and OTR aggregately.

5、实施申报费收费的合约上产生的频繁报撤单行为不构成异常交易行为。

5. The frequent cancellation of orders on the contract that implements the order fee does not constitute abnormal trading behavior.

6、大商所、郑商所：做市商做市交易免收申报费；上期所、能源中心、中金所（国债）：做市商在做市品种上免收申报费，在非做市品种上正常交易收取申报费。

6. DCE、ZCE：order fees on market-making transactions of market makers are exempted. SHFE, INE, and CFFEX (Treasury Bonds): Market makers are exempt from the order fee for market-making products, and the order fee is charged for normal trading on non-market-making products.

7、不区分投机套保属性，合并计算信息量，即套期保值交易正常收取申报费。

7. Regardless of speculative hedging attributes, the message amount is calculated together, that is, the order fee is normally charged for hedging transactions.

五、申报费计算说明

5. Instructions for calculating the Order fee

1、申报费、信息量、报单成交比的计算公式

1. The calculation formula of the order fee, the message amount, and the ratio of the order to the trade

申报费=Σ（客户或非期货公司会员在该合约上各档位的信息量 × 相应费率）

Order fees for a certain futures contract = ∑(Client or non-FB member’s message amount for that futures contract at different levels × corresponding fee rate)

信息量=报单、撤单、询价等交易指令笔数之和

Message amount = total number of trading orders such as order placement ,order cancellation, and RFQ:

报单成交比=（信息量/ 有成交的报单笔数）-1

Order to Trade Ratio (OTR) = (message amount / number of executed orders)-1.

2. 对于同时隶属于多个实际控制关系组的客户，先计算各实际控制关系组应付的申报费，再分别计算该客户在各实际控制关系组中应付的申报费，最后按最大值原则确定该客户实际应付的申报费。

2. For any client or non-FB member that is involved in more than one group of accounts linked by actual controlling relationship, the Exchange will first calculate the order fee payable by each group, and then that by the client or non-FB member within each group (the latter hereinafter refers to as “group-specific payment”). The largest of the group-specific payments will be the order fees actually payable by the client or non-FB member.

3、上期所、能源中心、郑商所和中金所（国债）：对于同一容户在不同期货公司会员处开有多个交易编码的，按照客户在不同期货公司会员下产生的信息量按比例确定相应的申报费。

3. SHFE, INE, ZCE and CFFEX (Treasury Bonds) ：For any client that maintains trading codes with multiple FB-members, order fee payable through each member is calculated proportional to the percentage of that client’s message amount through that member.

4、大商所对于同一客户在不同期货公司会员处开有多个交易编码的，按照“逐笔收取”的原则计算客户在不同会员的申报收费，即计算出客户每一笔信息量的收费额，再按照这些信息量归属的会员计算出每个会员的收费额。

4. If DCE has multiple transaction codes for the same customer at different futures company members, it will calculate the customer's order fee in different members according to the principle of "collection on a case-by-case basis", that is, calculate the fee amount for each message amount of the customer, and then calculate the fee amount for each member according to the member to whom the message amount belongs.

举例1：

某客户当天铜期货的下单笔数为 10000 笔，撤单笔数为5000笔，其中成交了5000笔交易，申报费收取多少？

信息量=下单笔数＋撤单笔数=10000+5000=15000笔；

报单成交比（OTR）=信息量/有成交下单笔数

-1=15000/5000-1=2；

所以按照上期所铜期货收费标准：

品种	信息量	收费标准
品种	信息量	OTR≤2	OTR＞2
铜	1笔≤信息量≤4000笔	0	0
	4001笔≤信息量≤8000笔	1.5元/笔	3元/笔
	8001笔≤信息量≤40000笔	7.5元/笔	15元/笔
	40001笔≤信息量	25元/笔	50元/笔

期货某个合约上的申报费=Σ（客户或非期货公司会员在该合约上各档位的信息量X相应费率）

该客户结算时应该收取的申报费：

= 4000*0 +（8000-4000）*1. 5 +（15000-8000）*7. 5

= 0+6000+52500=58500 元。

Example 1:

If a customer places 10,000 orders and cancels 5,000 copper futures orders on the same day, of which 5,000 transactions are traded, how much is the order fee?

Message amount = number of orders placed + number of cancellations = 10,000 + 5,000 = 15,000;

OTR = Message amount / Number of orders placed - 1 = 15000/5000-1=2;

Therefore, according to the SHFE copper futures order fee standard:

Contract	Message Amount（MA）	Order-to-Trade Ratio(OTR)
Contract	Message Amount（MA）	OTR≤2	OTR＞2
CU	1≤MA≤4000	0	0
	4001≤MA≤8000	1.5 yuan/count	3 yuan/count
	8001≤MA≤40000	7.5 yuan/count	15 yuan/count
	40001≤MA	25 yuan/count	50 yuan/count

Order fee on a futures contract = ∑(Client or non-FB member’s message amount for that futures contract at different levels × corresponding fee rate)

The order fee to be charged by the client at the time of settlement:

= 4000*0 +（8000-4000）*1. 5 +（15000-8000）*7. 5

= 0+6000+52500=58500 yuan.

举例2：

某客户当天原油期货的下单笔数为5000 笔，撤单笔数为1000笔，无成交，申报费收取多少？

信息量=下单笔数＋撤单笔数=5000+1000=6000 笔；

报单成交比（OTR）=信息量/有成交下单笔数-1=6000/1-1=5999；

所以按照能源中心原油期货收费标准：

品种	信息量	收费标准
品种	信息量	OTR≤2	OTR＞2
原油	1笔≤信息量≤4000笔	0	0
	4001笔≤信息量≤8000笔	1.5元/笔	3元/笔
	8001笔≤信息量≤40000笔	7.5元/笔	15元/笔
	40001笔≤信息量	25元/笔	50元/笔

期货某个合约上的申报费=Σ（客户或非期货公司会员在该合约上各档位的信息量×相应费率）

该客户结算时应该收取的申报费：

4000*0 +（6000-4000）*3=0+6000=6000元。

Example 2:

If a customer places 5,000 orders for crude oil futures on the same day, and cancels 1,000 orders, and there is no transaction, how much is the order fee charged?

Message amount = number of orders placed + number of cancellations = 5000 + 1000 = 6000;

OTR = Message amount / Number of Orders Placed - 1 = 6000 / 1-1 = 5999;

Therefore, according to the crude oil futures order fee standard:

Contract	Message Amount（MA）	Order-to-Trade Ratio(OTR)
Contract	Message Amount（MA）	OTR≤2	OTR＞2
SC	1≤MA≤4000	0	0
	4001≤MA≤8000	1.5 yuan/count	3 yuan/count
	8001≤MA≤40000	7.5 yuan/count	15 yuan/count
	40001≤MA	25 yuan/count	50 yuan/count

Order fee on a futures contract = ∑(Client or non-FB member’s message amount for that futures contract at different levels × corresponding fee rate)

The order fee to be charged by the client at the time of settlement:

= 4000*0 + (6000-4000)*3=0+6000 = 6000 yuan.

举例3:

某客户当天甲醇期货在A期货公司的下单笔数为 3000笔，撤单笔数为2000 笔，其中成交了1000笔交易；在B期货公司的下单笔数为5000笔，撤单笔数为 3000笔，其中成交了1000 笔交易，客户在A、B两个期货公司的申报费各收取多少？

信息量=A公司（下单笔数+撤单笔数）+ B公司（下单笔数+撤单笔数）=（3000+2000）+（5000+3000）=13000 笔：

报单成交比 (OTR）=信息量/有成交下单笔数-1

=13000/(1000+1000）-1=5.5:

所以按照郑商所甲醇收费标准：

品种	信息量	收费标准
品种	信息量	OTR≤2	OTR＞2
甲醇	信息量≤4000笔	0	0
	4000笔＜信息量≤8000笔	0	3元/笔
	信息量＞8000笔	7.5元/笔	15元/笔

期货某个合约上的申报费=Σ（客户或非期货公司会员在该合约上各档位的信息量×相应费率）

该客户结算时收取的总申报费：

4000*0+ (8000-4000) *3+ (13000-8000) *15 =0+12000+75000=87000 元；

收取在A 公司的申报费=87000*（3000+2000）/13000≈33462元；

收取在B公司的申报费=87000*（5000+3000）/13000≈53538元。

Example 3:

On the same day, a customer placed 3,000 orders for methanol futures with A Futures Company and cancelled 2,000 orders, of which 1,000 transactions were traded; If the number of orders placed in futures company B is 5,000 and the number of cancelled orders is 3,000, of which 1,000 transactions are traded, how much does the customer charge for the order fee of each of the two futures companies A and B?

Message amount = Company A (number of orders + number of cancellations) + company B (number of orders + number of cancellations)

= (3000 + 2000) + (5000 + 3000) = 13000；

OTR = Message amount / Number of Orders Placed - 1

= 13000/(1000+1000）-1 = 5.5；

Therefore, according to the methanol futures order fee standard of DCE:

Cointract	Message Amount（MA）	Order-to-Trade Ratio(OTR)
Cointract	Message Amount（MA）	OTR≤2	OTR＞2
MA	MA≤4000	0	0
	4000＜MA≤8000	0	3 yuan/count
	MA＞8000	7.5 yuan/count	15 yuan/count

Order fee on a futures contract = ∑(Client or non-FB member’s message amount for that futures contract at different levels × corresponding fee rate)

The total order fee to be charged by the client at the time of settlement:

4000*0+ (8000-4000) *3+ (13000-8000) *15 =0+12000+75000=87000 yuan;

The order fee charged in Company A = 87,000 * (3,000 + 2,000)/13,000≈33,462 yuan;

The order fee charged in Company B = 87,000 * (5,000 + 3,000)/13,000≈53,538 yuan.

举例4:

某客户当天铁矿石期货的 OTR 为4，信息量为10000笔，其中第1笔到第5000笔报单在A期货公司，第5001笔到第 10000笔报单在B期货公司，则客户在A、B两个期货公司的申报费各收取多少？

所以按照大商所铁矿石收费标准：

品种	信息量	收费标准
品种	信息量	OTR≤2	OTR＞2
铁矿石	信息量≤4000笔	0	0
	4000笔＜信息量≤8000笔	0	0.1元/笔
	信息量＞8000笔	0.2元/笔	0.5元/笔

大商所按照“逐笔收取”的原则计算客户在不同会员的申报收费，即计算出客户每一笔信息量的收费额，再按照这些信息量归属的期货公司计算出每个期货公司的收费额：

第1笔到第5000笔归属A期货公司，则A期货公司的申报收费额： 4000 ×0+1000×0.1=100 元；

第5001笔到第10000笔归属B期货公司，则B期货公司的申报收费额：3000×0.1+2000×0.5=1300元。

Example 4:

If the OTR of iron ore futures on the day of a customer is 4 and the message amount is 10,000, of which the first to the 5,000th order is in A futures company, and the 5,001st to 10,000th order is in B futures company, how much is the customer's order fee charged in A and B futures companies?

Therefore, according to the iron ore order fee standard of DCE:

Cointract	Message Amount（MA）	Order-to-Trade Ratio(OTR)
Cointract	Message Amount（MA）	OTR≤2	OTR＞2
iron ore	MA≤4000	0	0
	4000＜MA≤8000	0	0.1 yuan/count
	MA＞8000	0.2 yuan/count	0.5 yuan/count

DCE calculates the client's order fee in different members according to the principle of "collection on a case-by-case basis", that is, calculates the amount of fees for each message amount of the customer, and then calculates the fee amount of each futures company according to the futures company to which the message amount belongs:

If the first to the 5,000th transaction belongs to A futures company, the order fee amount of A futures company is: 4,000 ×0 + 1,000×0.1 = 100 yuan;

If the 5,001st to the 10,000th transaction belongs to Futures Company B, the order fee amount of Futures Company B is: 3,000×0.1 + 2,000×0.5 = 1,300 yuan.

举例5:

某客户当天国债期货的下单笔数为10000 笔，撤单笔数为5000 笔，其中成交了5000 笔交易，申报费收取多少？

信息量=下单笔数＋撤单笔数=10000+5000=15000笔；

报单成交比（OTR）=信息量/有成交下单笔数

-1=15000/5000-1=2；

所以按照中金所国债期货收费标准：

品种	信息量	收费标准
品种	信息量	OTR≤2	OTR＞2
国债期货（自2024年7月1日起）	信息量≤4000笔	0	0
	4000笔＜信息量≤8000笔	0	1元/笔
	8000笔＜信息量≤12000笔	10元/笔	20元/笔
	信息量＞12000笔	20元/笔	50元/笔

期货某个合约上的申报费=Σ（客户或非期货公司会员在该合约上各档位的信息量×相应费率）

该客户结算时应该收取的申报费：

4000*0+（8000-4000）*0+ （12000-8000）*10+ （15000-12000）*20=0 + 0 +40000+60000=100000 元。

Example 5:

If a customer places 10,000 orders and cancels 5,000 orders on the same day, and 5,000 transactions are traded, how much is the order fee?

Message amount = number of orders placed + number of cancellations = 10,000 + 5,000 = 15,000;

OTR = Message amount / Number of orders placed-1

= 15000/5000-1 = 2；

Futures Contracts	Message Amount（MA）	Order-to-Trade Ratio(OTR)
Futures Contracts	Message Amount（MA）	OTR≤2	OTR＞2
China Government Bond Futures （From July 1, 2024）	MA≤4000	0	0
	4001≤MA≤8000	0	1 yuan/count
	8001≤MA≤12000	10 yuan/count	20 yuan/count
	MA≥12001	20 yuan/count	50 yuan/count

Order fee on a futures contract = ∑(Client or non-FB member’s message amount for that futures contract at different levels × corresponding fee rate)

The order fee to be charged by the client at the time of settlement:

= 4000*0+(8000-4000)*0+ (12000-8000)*10+ (15000-12000)*20

= 0 + 0 +40000+60000=100000 yuan.

举例6：

某客户当天沪深 300股指期货在A期货公司的报单笔数为2000 笔，撤单笔数为 1000 笔，其中成交了1000 笔交易。

信息量=下单笔数＋撤单笔数=2000+1000=3000笔

申报费=1元/笔

该客户结算时收取的总申报费=3000×1=3000元。

Example 6:

On the same day, a customer made 2,000 CSI 300 stock index futures reports and 1,000 cancellations of CSI 300 stock index futures in A Futures Company, of which 1,000 transactions were traded.

Message amount = number of orders placed + number of cancellations = 2000 + 1000 = 3000

order fee = 1 yuan/ order

The total order fee charged by the customer at the time of settlement = 3,000×1 = 3,000 yuan.

Disclaimer: The information on this website is for general informational purposes only and is not intended as a recommendation or an offer or solicitation for the purchase or sale of any security, currency, investment, service or to attract any funds or deposits. Save to the extent provided otherwise in the Terms and Conditions for Accounts and Services or other applicable terms and conditions, information in this website has been prepared without taking account of the objectives, financial situation or needs of any particular investor. Therefore, investment products mentioned in this website may not be suitable for all investors. Any person considering an investment should seek independent advice on the suitability or otherwise of a particular investment. Before making any investment, each investor must obtain the investment offering materials, which include a description of the risks, fees and expenses and the performance history, if any, which may be considered in connection with making an investment decision. Each investor should carefully consider the risks associated with the investment and make a determination based upon the investor’s own particular circumstances, that the investment is consistent with the investor’s investment objectives.

Currently no Comments.

author: Fang

Hot Topics

The 13rd China International Future Forum The Shanghai Derivatives Energy Forum has received extensive attention from relevant industries both within and outside the borders. Financial institutions deep explore commodity market opportunities, commodity index financial products show full-scale trend New indicator to analyze the arbitrage opportunities between sse50 and csi500 Market review: January 11, 2017 The Great China Bubble: Anniversary Lessons and Outlook R-Code@June 06, 2016 Sleepless in London--Enda Homan(Allied Irish Banks Plc) The hedge strategy between SSE50 and A50--Jan 13,2017 R-Code for analysis: getKDJ Quant Investment in China A-share market MSCI Rebuffs Chinese Equities for Third Time in Blow to Xi The arbitraging strategy between CSI300 and SSE50 Market review: June 17, 2016 Soros, Druckenmiller among hedgies profiting in market plunge

Links

Contact Me: sherry_ustc@163.com

Twitter