HFT Program – Incentive to Arbitrage

HFT program improvement brings fee benefits to participants in arbitrage strategies

As of October 2, 2023, the HFT Program will start granting fee benefits for arbitrage strategies.

Volumes of the same underlying asset with opposite natures will be considered arbitrage, e.g., buying 5 mini U.S. Dollar contracts (WDO) and selling 1 standard U.S. Dollar contract (DOL) will be considered an arbitrage strategy.

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Fee benefit

All non-day trade transactions will be charged the HFT Program discounted fee, as long as they are registered and meet the program's requirements.

Learn about the HFT Program requirements

See the ADV calculation table

The ADV is given by the sum of all contracts traded during the month, adjusted by the size of the contract and divided by the number of trading sessions in the period. =(∑(Adjusted quantity)/Number of sessions)

The %HFT Strategy is given by the minimum between the sum of the adjusted short and long quantities multiplied by 2 and divided by the total adjusted quantity. As a result, arbitrage strategies involving different contracts of the same underlying asset are now being considered to assess compliance with the requirement.

%HFT Strategy=min(∑(Adjusted short qty);∑(Adjusted long qty))∗2/∑(Total adjusted quantity)

Each contract has an ADV weight, which adjusts the quantity traded by the size of the contract.

The ADV weight can be found on the B3 portal under Products and Services, Fee Schedule.

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