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Quantitative Finance · Begrippenlijst

Wat is Direct market access and sponsored access?

Ook bekend als: direct market access · sponsored access

Definition 4.8 Markets I: The Ecosystem and Exchange-Traded Markets · Hoofdstuk 4 — Exchanges, Brokers and Venues

Under direct market access (DMA) a client sends orders through the broker’s systems, which check them and pass them to the exchange under the broker’s membership. Under sponsored access the client connects to the exchange directly, with its own lines and machines, using the broker’s membership identifier; the broker’s risk checks are applied to that flow without its passing through the broker’s order-handling infrastructure.

Four ways to reach the same matching engine, from slowest and cheapest to set up (top) to fastest and most demanding (bottom). In every row a regulated firm’s pre-trade checks (red) sit between the algorithm and the exchange: what changes is whose they are and where they run.
Figure 4.2. Four ways to reach the same matching engine, from slowest and cheapest to set up (top) to fastest and most demanding (bottom). In every row a regulated firm’s pre-trade checks (red) sit between the algorithm and the exchange: what changes is whose they are and where they run.
Cost per share of four access models against monthly volume (both axes logarithmic). The cheapest model changes three times over four decades of volume. Data: the illustrative charges of , computed by the chapter’s script.
Figure 4.3. Cost per share of four access models against monthly volume (both axes logarithmic). The cheapest model changes three times over four decades of volume. Data: the illustrative charges of Example 4.11, computed by the chapter’s script.

Voorbeelden

Example 4.11 (Four models, three crossovers)

Take illustrative charges of 0.30 cent a share with no fixed cost for a broker’s algorithm; 0.10 cent plus $5 000 a month for DMA; 0.04 cent plus $25 000 a month for sponsored access (the client now pays for its own lines and colocation); and $150 000 a month with no per-share charge for a firm’s own membership (compliance, capital, memberships). The crossovers are 5 000/0.002=2.55\,000/0.002 = 2.5 million shares a month, 20 000/0.0006=3320\,000/0.0006 = 33 million, and 125 000/0.0004=313125\,000/0.0004 = 313 million. A firm trading 15 million shares a day is past the last one; a fund trading one million a month should not even consider DMA (Figure 4.3).

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