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Quantitative Finance · Glossary

What is Volume tier?

Definition 29.2 Markets I: The Ecosystem and Exchange-Traded Markets · Chapter 29 — Getting Access: Equity Markets

A volume tier is a line of an exchange’s fee schedule that grants a better rate to members whose monthly activity exceeds a threshold, usually expressed as average daily added volume in proportion to the total consolidated volume of the market. The rate of the tier reached applies to all of the month’s qualifying shares.

Monthly rebates under the schedule of , with total consolidated volume assumed at 12 billion shares a day and 21 trading days. Because a tier’s rate applies to the whole month, each threshold is a cliff: the share that crosses 0.20% is worth $155 000. Data: the chapter’s build.
Figure 29.2. Monthly rebates under the schedule of Box 29.2, with total consolidated volume assumed at 12 billion shares a day and 21 trading days. Because a tier’s rate applies to the whole month, each threshold is a cliff: the share that crosses 0.20% is worth $155 000. Data: the chapter’s build.
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