CME Index Futures (ES) Fees & Execution Rules — weltiq Paper Trading Baseline (v1)
CME Index Futures (ES) paper trading fees (maker 0% · taker 0% · 2.20 per contract) and known biases, connection status.
Current Fee Schedule (Reality Profile cme-es v1)
| venue | maker | taker | sales tax | per contract | currency | profile |
|---|---|---|---|---|---|---|
| CME Index Futures (ES) | 0% | 0% | 0% | 2.20 | USD | v1 |
| Item | Value |
|---|---|
| Slippage model | spread×0.5 + 0.5bp |
| Tick / Lot / Min notional | 0.25 / 1 / 1 |
| Session | cme_globex |
| Shortable | Yes |
| Daily settlement | Yes |
Example — 10,000 USD taker round-trip 1×: 4.40 USD (2 contracts)
Known Biases in This Profile (conservative = cost overstated)
- delayed-mode data (15m+) until real-time license cleared — labeled bias
- per-contract fee retail-typical constant [VS by broker]
- circuit breakers / price banding not modeled [VS]
- short entry requires 100% of notional as own cash (short_margin_pct=1.0); real Reg T / SPAN / exchange-tier requirements are lower — short capital use overstated, conservative
- maintenance margin, margin calls and forced liquidation are not modeled — a position is never closed by the broker for collateral
- stock borrow fee / locate / short-sale price tests not modeled — venues where borrow is a real cost keep shortable=False instead of assuming a rate
- CME SPAN performance bond per contract UNVERIFIED — no published table held; 100% of notional used instead (far above real SPAN, conservative)
Connection
- Broker: AMP Futures / Rithmic
- Status: Paper ✅ · Live Rithmic connector in preparation
- Paper trading available immediately upon sign-up; live via your own exchange keys at Settings → Keys (weltiq does not redistribute keys)
Sources
- Exchange disclosure: https://www.cmegroup.com/company/clearing-fees.html
- weltiq paper execution applies the same rules
Slippage, FX conversion, funding spread, borrow interest are not in this table. Promotions and VIP discounts not applied (conservative).