Add IB Tiered Fee Model #8446
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Add IB Tiered Fee Model #8446
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jhonabreul
reviewed
Dec 5, 2024
| _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.
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| 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
jhonabreul
reviewed
Dec 17, 2024
| // 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
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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>