HFT Program | B3

    This policy is valid as of November 8, 2017

    This policy only applies to those who are registered as High-Frequency Traders.

    Accreditation

    Investors who wish to be accredited by B3 as HFTs must request inclusion in the HFT Program by the Participant under which their trades are settled and by which their positions are carried. Participants are responsible for submitting requests on behalf of investors to B3’s Serviço de Atendimento and must also sign and file the Statement of Adhesion.

     

    Only participants registered as PNP or PL may request the inclusion of their investors in the HFT program through the link:  Submit Request (Exclusive PNP or PL)

     

    The investor will be included in the HFT Program once B3 has approved the request. The Participant will be notified of B3’s decision by its Serviço de Atendimento.

    Investors who wish to have trades settled through different Participants must ask each one to register them as HFTs with B3. Any investor who does not apply for registration as an HFT under a specific Participant will be treated as a regular investor in the case of that Participant

    Investors must continue to observe the requirements and/or parameters established by B3 throughout the period in which they remain registered in the HFT profile. In the event of non-compliance with any requirement or parameter, B3 may de-accredit the investor concerned as an HFT, communicating the decision to exclude the investor from the Program through the Participant responsible for the investor.

    Investors excluded from the Program will be charged the fees applicable to regular investors from the business day after notification of the decision

    Calculation criteria

    The criterion used to measure the investor’s trading volume is the average daily quantity of contracts traded, defined as Average Daily Volume (ADV). The fee per contract depends on ADV.

    When requesting inclusion in the Program the investor must choose the calculation criteria.

    Daily fee calculation

    ADV is calculated at the end of each day and the fee is applied on the same day. Exchange fee and variable registration fee on trades performed during the day are obtained automatically by applying ADV for the day concerned to the appropriate tier of the fee schedule.

    Bi-monthly fee calculation

    ADV is measured for a two-month period and then applied during the two subsequent months.

    ADV is calculated by adding up the number of contracts traded in the two-month period and dividing the result by the number of trading sessions in the period

    Bimonthly measurement and application periods are fixed: Jan/Feb, Mar/Apr, May/Jun, Jul/Aug, Sep/Oct, and Nov/Dec.

    programa_hft_en.png

    Grace Period

    The grace period corresponds to one complete measurement cycle, i.e. one of the above two-month periods, subsequent to the investor’s registration in a product family for which it had no HFT profile. During the grace period the investor must calculate ADV and the corresponding fee by the daily method.

    Exchange fee and variable registration fee for this investor are capped at the second tier of the fee schedule for each product during the grace period.

    At the end of the grace period, investors change to the fee calculation method defined in their request for registration in the Program, complying with the fee schedule for each product without caps.

    Rules for consolidating ADV

    In each account with an HFT profile, ADV will consider both day trades and regular trades, and each type of trade will use the respective fee schedule.

    Investors who trade under the HFT Program through two or more Participants are not obliged to consolidate ADV across the Participants but must use the same method for measuring ADV (daily or bimonthly) in all Participants. If they do wish to consolidate ADV across more than one Participant, it must be measured bimonthly.

    ADV measurement is not extensive to accounts not registered with HFT profiles even if they are included in the structure of the same master account.

    Regardless of the calculation methodology, the ADV considers the sum of all the basis contracts of the period. For the Dollar and Ibovespa families, this means that the rollover and mmnicontracts also need to be considered. For the minicontracts, it is necessary to sum the equivalent number of contacts in terms of notional, meaning that 5 minicontracts are considered 1 in the ADV calculation. The same is valid to the rollover operations, each one sums 2 contracts in the ADV calculation.

    Change to measurement and/or consolidation criteria

    Investors who wish to change the criterion used to measure and/or consolidate HFT accounts should ask their Participant to submit a request for this purpose to B3’s Serviço de Atendimento. Changes to measurement criteria are not automatic.

    Bimonthly to daily

    All changes must comply with the ADV measurement and fee application windows. Investors must complete ADV measurement and fee application for the period in progress before the change is requested.

    Daily to bimonthly

    Measurement begins only at the start of the subsequent two-month period, and fee application begins in the two-month period after that.

    Deadline for requests

    The request must be sent by the first week of an even month, and application of the Fee Policy starts at the beginning of the next odd month, considering only business days, as shown on the table below:

     

    Date on which request is sent to B3 Start of application of fee policy
    By the first week of February March
    By the first week of April May
    By the first week of June July
    By the first week of August September
    By the first week of October November
    By the first week of December Next January

     

    Calculation Parameters

     

    The parameters for the HFT Program are: minimum day trade percentage and minimum ADV. Each product has its own parameters, as shown on the table below:

    Product Minimum day trade Minimum ADV (Daily Average)
    Dollar Family 90% 2,800 standard contracts / 14,000 minicontracts
    Ibovespa Family 90% 1,500 standard contracts / 7,500 minicontracts
    S&P 500 Family 80% 100 standard contracts / 2,000 microcontracts
    Live Cattle (BGI) 80% 50 standard contracts
    Arabica Coffee (ICF) 80% 25 standard contracts
    Corn (CCM) 80% 150 standard contracts

    Fee Schedules

    For the HFTs, the exchange and variable registration fee have reduced values, based on the ADTV calculated accordingly too one of the methodologies above. These fees are calculated on a regressive form, which differs from the regular, progressive form, that is used for regular trades. The tables are only applied to daytrade operations for the registered accounts.

    The product families below have different tables:

    • Dollar
    • Ibovespa Index
    • S&P 500
    • Crude Oil

    These tables can be found on the fee schedules pages of the products.

    To all other products that have no different table, the value of the exchange and variable registration fees for day trade operations will have a 70% reduction of the first tier values, onsidering first the applicable day trade reduction.