Add IB Tiered Fee Model #8446
Add IB Tiered Fee Model #8446
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| _monthlyTradeVolume = _monthlyTradeVolume.ToDictionary(kvp => kvp.Key, _ => 0m); | ||
| } | ||
| // Reprocess the rate schedule based on the current traded volume in various assets. | ||
| ReprocessRateSchedule(_monthlyTradeVolume[SecurityType.Equity], _monthlyTradeVolume[SecurityType.Future], _monthlyTradeVolume[SecurityType.Forex], |
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Should this be done on month rollover only as well?
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Nah, the fee will change by sufficient volume/dollar volume traded within that month. It should be sensitive to per order level.
| MarketOnOpenOrder(_spy, 30000); | ||
| MarketOnOpenOrder(_aig, 30000); | ||
| MarketOnOpenOrder(_bac, 30000); |
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Are these orders filled on the next day or right away? If the latest, might as well use MarketOrder? Same for the MarketOnClose ones
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They should be filled right away at 9:30am, same for market on close at 4pm
| // Add exchange fees + IBKR regulatory fee (0.02) | ||
| return new CashAmount(ibFeePerContract + exchangeFeePerContract + 0.02m, Currencies.EUR); | ||
| return new CashAmount(ibFeePerContract + exchangeFeePerContract + 0.02m, Currencies.USD); |
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Would it be possible to run at least a few of these tests for the Python model as well? Just to make sure they are always kept the same when changed
| feeResult += regulatory + transaction + clearing; | ||
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| // Update the monthly value traded | ||
| _monthlyTradeVolume[SecurityType.Option] += quantity * orderPrice; |
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Whops don't think this state is correct, the lean engine can and will call GetOrderFee multiple times for the same order, when submitting later when processing in the backtesting brokerage, can even be more times in cases of setHoldings where it can call it N times to get the best position size. Maybe something that could be done is look at the order status, if submitted use it to account for the monthly volume, should also keep a guard not to process the same order id multiple times I think, but needs more testing and asserting to be sure it's okay
Seems should make the monthly traded volume public so it can be asserted in the regression algorithm and accessible for the user
Should adjust the algo to also use SetHoldings and will make the bug of the multiple accounting more clearer,
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btw CalculateOptionFee already returns quantity * orderPrice, what about the contract multiplier?
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the adjustments being made here for equity and options fees, should they also be for the main IB fee model?
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btw CalculateOptionFee already returns quantity * orderPrice, what about the contract multiplier?
The fee is per contract, so we don't need to account for the contract multiplier
| } | ||
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| // Add exchange fees + IBKR regulatory fee (0.02) | ||
| return new CashAmount(ibFeePerContract[_futureCommissionTier] + exchangeFeePerContract + 0.02m, Currencies.USD); |
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This implementation seems like a slightly more generic version of the one at InteractiveBrokersFeeModel seems they can be mostly shared, where InteractiveBrokersFeeModel just uses tier 0?
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Hmm.. I would say it is the fee = tier 0 is "very coincident". Some cases the cost is completely different for fixed and tiered fee model, so we leave with this implementation in case that happens in the future.
The other 2 futures markets do not have a tiered structure, so we can share it. Yet if it happens in the future, we still need to make separate future fee models.
| { | ||
| var value = Math.Abs(order.GetValue(security)); | ||
| fee = 0.00002m * value; // 0.002% | ||
| currency = security.QuoteCurrency.Symbol; |
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Whops careful! GetValue returns in account currency, which might not be related to quote currency. Same comment for the other calls to GetValue for forex & crypto
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CFD is direct copying from the original implementation, since it has no tier... I'll change it to order.AbsoluteQuantity * order.Price then.
Both Forex and Crypto fees are in USD👌
LouisSzeto
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Description
Related Issue
Motivation and Context
Missing feature
Requires Documentation Change
Add to Writing Algorithms / Reality Modeling / Transaction Fee / Supported Models
How Has This Been Tested?
Types of changes
Checklist:
bug-<issue#>-<description>orfeature-<issue#>-<description>