1.手续费规则
期货交易的手续费 = 交易所手续费 + 期货公司加收手续费。
交易所手续费返还 =交易减收 +持仓减收，是指交易所手续费返还一定比例给会员单位。前者属于基础性减收，后者则往往需会员单位品种持仓量达到或超过一定要求时才可以获得，持仓返还则属于后一种。
通常，交易所为了鼓励期货公司展业和活跃部分品种的交易，制定了“持仓增量”和“持仓达标”的考核政策，对达标的会员单位（期货公司）进行交易所手续费返还。
而协助期货公司达到上述标准的包括法人户（企业自有资金）和特法户（资管产品资金）。通过多空对锁的方式完成开仓后，期货公司获得了特定品种的持仓量考核，并将交易所返还的手续费转移支付给资金方，实现了共赢。

1.Fee Rules
The futures trading fee = Exchange fee + Futures company surcharge fee.
Exchange fee rebate = Trade deduction + Position deduction, which refers to the exchange rebating a certain percentage of the fee to the member units. The former is a basic deduction, while the latter is often only available when the member unit's (futures company's) position holding volume reaches or exceeds a certain requirement. The position deduction belongs to the latter.
Usually, to encourage futures companies to expand their business and activate the trading of certain varieties, exchanges have formulated "position increment" and "position standard" assessment policies to rebate exchange fees to member units (futures companies) that meet the standards.
Assisting futures companies to meet the above standards includes general institution accounts (corporate proprietary funds) and special institution accounts (asset management product funds). By locking long and short positions, futures companies have achieved the assessment of position volume for specific varieties, and transferred the exchange's rebated fees are to the capital side, achieving a win-win situation.

2.返还政策事件
1月5日收盘后，上期、上期能源、郑商所、大商所、中金发布公告关于2024年交易所对交割手续费等实行减免方案。大商所/郑商所下发通知：交易减收部分，所有期货、期权合约交易手续费减收30%，减收方式为每日从当日应交的交易手续费中扣减；持仓减收部分，对当月在期货、期权品种上，对于日均持仓量不低于基数的会员，减收其在该品种交易手续费的10%。但是，交易所认定的“特定程序化交易报备客户”不参与交易减收和持仓减收.
期货交易手续费一般分为两部分组成，一部分为交易所手续费，另一部分为期货公司手续费。手续费减收比例近几年来逐步下滑。从目前部分交易所下发的减收方案来看主要包括三个方面：
1）成交减收上除少数品种外，对期货和期权品种的交易手续费减收比例为30%。
2）持仓减收上对当月期货和期权品种日均持仓量不低于基数的会员减收其该品种交易手续费的10%
3）交易所认定特定程序化交易报备客户不参与交易减收和持仓减收。

2.Rebate Policy Events
After the market closed on January 5th, the Shanghai Futures Exchange, Shanghai International Energy Exchange, Zhengzhou Commodity Exchange, Dalian Commodity Exchange, and China Financial Futures Exchange issued announcements regarding the reduction of delivery Commission and other fees for 2024. The Zhengzhou and Dalian Commodity Exchanges issued notices stating: for trade deductions, a 30% reduction in the trading fees for all futures and options contracts, with the deduction method being a daily deduction from the trading fees due on that day; for position deductions, members with an average daily position volume not lower than the base number in futures and options varieties will receive a 10% deduction in their trading fees for that variety. However, "specific algorithmic trading reported customers" recognized by the exchange do not participate in trade deductions and position deductions.
The futures trading fee is generally divided into two parts, one part is the exchange fee, and the other part is the futures company fee. The fee deduction ratio has been gradually declining in recent years. From the current reduction plans issued by some exchanges, they mainly include three aspects:
1）Trade deductions, except for a few varieties, the trading fee deduction ratio for futures and options varieties is 30%.
2）Position deductions, for members with an average daily position volume not lower than the base number in futures and options varieties, a 10% deduction is given for their trading fees for that variety.
3）Specific algorithmic trading reported customers recognized by the exchange do not participate in trade deductions and position deductions.

3.返还政策国内外比较分析
国外期货交易所，通常采用以交易轮数（sides）为基础的优惠政策，这种方法倾向于奖励高频交易活动，因为高频交易者能在短时间内完成大量买卖轮次，从而提高市场的流动性和活跃度。
相比之下，中国的商品期货交易所则侧重于以交易量（手）为基准的手续费优惠政策。这种方法更注重奖励大宗交易，而不是频繁的小额交易，有助于吸引和鼓励大规模交易者参与，同时对小额或高频交易者产生一定的抑制作用。这种策略反映了中国市场在控制市场风险和维护市场稳定性方面的关注。这反映了中国市场对控制过度投机和维护市场稳定性的重视。通过设定以交易量为基础的手续费优惠，监管机构可以更有效地控制市场的总交易量，从而减少市场波动。
这两种策略的差异反映了各自市场的特点和监管方向。国外市场通过激励交易轮数的增加来促进市场流动性，而中国市场通过关注交易量来控制市场总交易量，减少市场波动，适应其发展和完善中的市场环境。

3.Rebate Policy Comparative Analysis
In international futures exchanges, policies are typically based on the number of trading sides, which favors high-frequency trading activities. High-frequency traders can complete a large number of buy and sell rounds in a short period, thereby increasing market liquidity and activity.
In contrast, China's commodity futures exchanges focus on fee discount policies based on trading volume (lots). This method rewards bulk trading rather than frequent small transactions, helping to attract and encourage large-scale traders to participate, while suppressing small or high-frequency traders to some extent. This strategy reflects the China market focusing on controlling market risks and maintaining market stability. It reflects the China market emphasizing on controlling excessive speculation and maintaining market stability. By setting fee discounts based on trading volume, regulatory authorities can more effectively control the total market trading volume, thereby reducing market fluctuations.
The difference in these strategies reflects the characteristics and regulatory directions of each market. International markets promote market liquidity by incentivizing the increase in the number of trading sides, while the Chinese market controls the total market trading volume through attention to trading volume, reducing market fluctuations, and adapting to its developing and improving market environment.

比较分析：
不同点主要体现在优惠方法、手续费返还趋势和交易频率三个方面：
1）优惠方法
在国际商品期货交易所中，交易轮数（即买卖双方各算一轮，英文称为 "sides"）通常被用作划分手续费优惠等级的标准。中国的商品期货交易所则根据超过基准交易量的交易量（手）来实现差异化减收。此外，国际期货交易所的公司会员和个人会员分别基于统一的标准来划分优惠等级。而在中国，期货交易所的优惠等级通常是基于会员的历史交易量，按照超出达标基准的交易量来确定。
2）手续费返还趋势
近年来，在手续费返还方面，国内的期货交易手续费返还有缩紧的趋势。相反，国外期货交易所近几年的优惠有上调趋势。
3）交易频率
在国外的期货交易所，特别是美国和欧洲的交易所，对于交易频率的限制相对宽松。这些交易所通常允许高频交易，并且有着先进的技术基础设施来支持这种交易方式。
相比之下，中国的期货交易所在交易频率上有更为严格的限制。例如，中国交易所可能对交易速度、每日交易数量或某个时间段内的交易次数设定上限，以减少市场过度波动和操纵的风险。
相同点：
国内外商品交易所近几年都对商品交易手续费进行减收

Comparative Analysis
The differences are mainly reflected in three aspects: discount methods, fee rebate trends, and trading frequency:
1）Discount Methods:
In international commodity futures exchanges, the number of trading sides (i.e., one round for each side of the buyer and seller, known in English as "sides") is usually used as the standard for dividing fee discount levels. Chinese commodity futures exchanges, on the other hand, achieve differentiated deductions based on the trading volume (lots) exceeding the benchmark. Additionally, international futures exchanges divide discount levels for corporate and individual members based on a unified standard. In China, futures exchange discount levels are usually based on the member's historical trading volume, determined by the trading volume exceeding the benchmark.
2）Fee Rebate Trends:
In recent years, there has been a tightening trend in the rebate of futures trading fees in China. In contrast, international futures exchanges have seen an upward trend in discounts in recent years.
3）Trading Frequency:
In international futures exchanges, especially in the United States and Europe, there are relatively relaxed restrictions on trading frequency. These exchanges typically allow high-frequency trading and have advanced technical infrastructure to support this type of trading.
In contrast, Chinese futures exchanges have stricter restrictions on trading frequency. For example, Chinese exchanges may set limits on trading speed, daily trading volume, or the number of transactions within a certain period to reduce the risk of market over-fluctuation and manipulation.
Common Points:
Both domestic and international commodity exchanges have reduced commodity trading fees in recent years.

4. 制度套利空间降低，需提升投研水平
证监会就“商品期货市场量化交易被叫停”的传闻做出回应，2024年，为加强交易监管，维护“三公”的市场秩序，各商品期货交易所将对手续费减收政策进行优化调整。
近一年来金融监管政策的导向两大目的：一是降费，二是公平。监管政策的增强意味着过去作为“银行的影子”存在的非银通道制度性套利的Alpha来源已一去不复返。对于投资端来说，资产管理业务需要尽量减少对制度性套利收益的依赖，努力提升投研水平，为即将到来的出清潮做好准备。对于风险管理端来说，一方面需要规避由于行业波动带来的后台风险，另一方面需要加快风险管理模型的研发，为供给侧改革下的风险提供“风险咨询”。

4.Reduction of Systematic Arbitrage Space, Need to Improve Research Level
The China Securities Regulatory Commission responded to rumors about "quantitative trading in the commodity futures market being stopped," stating that in 2024, to strengthen trading supervision and maintain a "three fair" market order, various commodity futures exchanges will optimize and adjust the fee reduction policy.
In the past year, the direction of financial regulatory policies has two main goals: one is to reduce fees, and the other is fairness. The strengthening of regulatory policies means that the alpha source of non-bank channel systematic arbitrage, which existed as a "shadow of the bank" in the past, has disappeared. For the investment side, asset management businesses need to reduce their dependence on systematic arbitrage profits and strive to improve research levels to prepare for the upcoming clearing tide. For the risk management side, on the one hand, it is necessary to avoid the back office risks brought by industry fluctuations, and on the other hand, it is necessary to accelerate the development of risk management models to provide "risk consulting" for risks under supply-side reforms.

5.市场结构和交易行情变化
政策对高频交易、持仓返还策略、期货做市商影响较大
5.1 市场参与者：普通客户影响小，机构影响稍大
成交减收是针对期货和期权品种减收交易手续费；持仓减收指会员单位某品种相较上年基数持仓有增量或达标一定标准，交易所进行交易手续费的返还。交易所认定的特定程序化交易报备客户不参与交易减收和持仓减收，也就说取消了特定程序化交易报备客户的交返。
手续费返还并未全部取消，但计算方式和结构均有所变化，对普通客户来说影响不大；对高频量化机构的冲击较大，这些客户大概率被认定为“特定程序化报备客户”，不参与成交减收；部分法人户和特法户专门做持仓返还策略，对这部分客户影响较大。

5.Market Structure and Trading Conditions Change
Policies have a significant impact on high-frequency trading, position rebate strategies, and futures market makers.
5.1 Market Participants: Little impact on general customers, slightly greater impact on institutions customers.
Trade deductions refer to the reduction of trading fees for futures and options varieties; position deductions mean that for member units that have an incremental or standard-meeting position in a certain variety compared to the base year, the exchange will rebate the trading fees. Specific program trading reported customers recognized by the exchange do not participate in trade deductions and position deductions, which means that the trading fee rebate for specific program trading reported customers is canceled.
The fee rebate has not been completely canceled, but the calculation method and structure have changed, which has little impact on general customers; the impact on high-frequency quantitative institutions is greater, as these customers are likely to be identified as "specific program reported customers" and do not participate in the trade deduction; some general institution and special institution accounts that specialize in position rebate strategies are more affected.

5.2 外资高频预计受到较大影响
受到最大影响得预计是外资高频。此前有报道称，业内估算2019年高频交易在境内期货市场盈利约50亿元，约六成被外资赚走，其中技术最顶尖的三家高频交易商至少分得20亿元。对高频交易巨头来说，实行“T+0”交易的中国期货市场比股市更具吸引力。期货公司经纪业务“手续费返还”的主要对象是高频量化客户，其交易量大且成交频繁，对于经纪公司而言是优质客户，因此返还比例也较高。
高频策略是在短暂的市场变化中寻求获利的量化交易，具有以下特征：使用超高速的复杂计算机系统下单；平均单次持仓时间极短；大量发送和取消委托订单，交易量大；收盘时基本保持平仓（基本不持仓过夜）。由此可见，该策略对期货手续费敏感度高，即使是微小的手续费变动也会对其产生较大影响。
当前，境外投资机构布局中国期货市场一般可以通过几种渠道：通过 QFII 进行交易，但目前仅限于以套保为目的的股指期货交易，商品期货期权已经对 QFII 投资机构开放；参与原油期货等国际品种的交易；通过券商的收益权互换业务参与，但佣金较高。此外，亦有外资机构近两年来已入股境内私募公司，抑或是成立独资外商企业，并在基金业协会备案成为私募基金管理人，例如元胜（Winton）、德劭（D.E.Shaw）、 Two Sigma，不过这几家量化巨头并非高频交易机构。

5.2 High-frequency foreign capital is expected to be greatly affected
The most significant impact is expected to be on foreign high-frequency trading firms. Previous reports have estimated that in 2019, high-frequency trading made a profit of about 5 billion yuan in the domestic futures market, with about 60% being taken away by foreign customers, of which the top three high-frequency traders shared at least 2 billion yuan. For high-frequency trading giants, the Chinese futures market, which implements "T+0" trading, is more attractive than the stock market. The main object of the futures company's brokerage business "fee rebate" is high-frequency quantitative customers, who have a large trading volume and frequent transactions, making them high-quality customers for the brokerage company, and therefore, the rebate ratio is also relatively high.
High-frequency strategy seeks profits in short-term market changes through quantitative trading, with the following characteristics:
· Using ultra-high-speed complex computer systems for order placement;
· The average holding time per order is extremely short;
· A large number of orders are sent and canceled, with a large trading volume;
· The position is basically closed at the end of the trading day (basically no overnight holding).
It can be seen that this strategy is highly sensitive to futures trading fees, and even minor changes in fees can have a significant impact.
At present, foreign investment institutions generally have several ways to layout in the Chinese futures market:
· Trading through QFII, but currently, it is limited to hedging-oriented stock index futures trading, and some commodity futures/options have been opened to QFII investment institutions;
· Participating in the trading of international varieties such as crude oil futures;
· Participating through the TRS business of securities firms, but the commission is relatively high.
· In addition, some foreign institutions have invested in domestic private companies in the past two years, or have established wholly-owned foreign enterprises and have been filed with the Fund Association as private fund managers, such as Winton, D.E. Shaw, Two Sigma, but these few quantitative giants are not high-frequency trading institutions.

5.3对持仓返还策略参与者影响较大
CTA 持仓返还策略随着交易所的持仓返还政策应运而生。策略的具体运作方式为：通过在期货公司开立的法人户（企业自有资金） 和特法户（资管产品资金），运用多空对锁的方式开仓后，协助期货公司达到持 仓减收的标准后，期货公司获得交易所返还的手续费。资管产品或相关方与期 货公司签订合同，约定在收到交易所实际发放的上月份手续费返还后的一定时间内（通常为 10 个工作日），期货公司将返还的手续费按实际约定的比例，返还给资管产品账户中。持仓返还比率降低可能会导致享受政策红利以降低交易成本的交易者降低入场的动力，或引起市场持仓量的下降，这也可能对期货公司总体收入带来影响。
持仓返还策略的直接收益来源在于交易所返还的手续费。期货公司和一些合作单位达成约定，通过其法人户和特法户，长期持仓交易有减费政策的部分期货品种，在协助期货公司达到持仓减收的标准后，期货公司获得交易所减收，而后将手续费按约定比例返还给合作单位。若持仓返还减少，对该红利政策依 赖度较大的策略在规模上可能产生明显收缩。

5.3 The impact on position rebate strategy participants is significant
CTA position rebate strategy emerged with the exchange's position rebate policy. The specific operation of the strategy is: through the general institution account (corporate proprietary funds) and special institution account (asset management product funds) opened at the futures company, after opening positions by locking long and short positions, assist the futures company to reach the standard of position deduction, and the futures company obtains the exchange rebate. The asset management product or related party signs a contract with the futures company, agreeing that within a certain period (usually 10 working days) after receiving the actual monthly fee rebate issued by the exchange, the futures company will return the rebate fee to the asset management product account according to the actual agreed proportion. A reduction in the position rebate ratio may reduce the motivation of traders who enjoy policy dividends to reduce trading costs, or cause a decline in market position, which may also affect the overall revenue of futures companies.
The direct source of income for the position rebate strategy lies in the fee rebate from the exchange.
Futures companies and some cooperative units reach an agreement, through their general institution accounts and special institution accounts, to trade long-term positions with reduced fee policies for some futures varieties. After assisting the futures company to reach the standard of position deduction, the futures company obtains the exchange deduction, and then rebates the fee to the cooperative unit according to the agreed proportion. If the position rebate is reduced, the strategy that relies on this rebate policy may have a significant contraction in scale.

5.4 对期货做市商影响较大
期货做市策略是通过提供双边报价限价指令，在为市场提供流动性的同时，从买卖价差中获利。期货和期权市场中的做市商主要收益来源为买卖价差和交易所减收。持仓返还比率降低，一方面会导致市场流动性下降，可能会减少做市机会，影响做市策略的收益；另一方面，如果交易所调整手续费减免比例，对策略正常交易运作有较大影响，降低该策略的预期收益。同时，持仓返还比率降低后，做市商可能面临更激烈的竞争，客户会要求更加精准的定价和更快的执行速度。此外，做市策略需加强风险管理措施，以应对可能出现的市场波动性增加和流动性减少的情况。

5.4 The impact on futures market makers is significant
The futures market-making strategy is to provide bilateral quoted limit orders, providing liquidity to the market while profiting from the bid-ask spread. The main source of income for market makers in futures and options markets is the bid-ask spread and exchange deductions. A reduction in the position rebate ratio, on the one hand, will lead to a decrease in market liquidity, which may reduce market-making opportunities and affect the income of the market-making strategy; on the other hand, if the exchange adjusts the fee deduction ratio, it will have a significant impact on the normal operation of the strategy, reducing the expected income of the strategy. At the same time, after the position rebate ratio is reduced, market makers may face more intense competition, and customers will demand more accurate pricing and faster execution speed. In addition, the market-making strategy needs to strengthen risk management measures to cope with possible increased market volatility and reduced liquidity.