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Hi
I'm working on implementing a custom commission model in order to simulre IB Tiered model.
I've started running the related scripts in documentation but it doesn't seem to work (please see attached backtest)
could someone pls advise on that?
thanks
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Derek Melchin
Hi Pier,
To implement the IB Tiered commission model, we should use
class CustomFeeModel(FeeModel): def GetOrderFee(self, parameters): # $0.0035 per share; Minimum of $0.35 per order minfee = max(0.35, parameters.Order.AbsoluteQuantity * 0.0035 ) # Maximum fee is 1.0% of trade value maxfee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.01 fee = min(minfee,maxfee) return OrderFee(CashAmount(fee, "USD"))See the attached backtest for reference.
Best,
Derek Melchin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Pier Paolo
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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