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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.
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.
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.
10/02/2023
Available to the market
Catalog changes
No catalog changes
Main systems
No systems impacted
Main related functions
No related functions
Certification roadmap
No impact
What is the Sinacor version?
No impact