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I am trying to get zero transaction fees for every security.
The Reality Modelling Documentation says that fees must be set on a security by security basis, but surely there's a way to just say every trade has no fees (or $1, $10, whatever)?
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Hi Big mak,
We can add a constant/zero transaction fee to all securities in the universe using SetSecurityInitializer which is called in Initialize read more.
self.SetSecurityInitializer(lambda x: x.SetFeeModel(ConstantFeeModel(0)))# orself.SetSecurityInitializer(lambda x: x.SetFeeModel(CustomFeeModel()))# Custom fee implementationclass CustomFeeModel:def GetOrderFee(self, parameters):fee = 0return OrderFee(CashAmount(fee, 'USD'))
Alternatively, we can set the fee model for Securities in OnSecuritiesChanged() event handler. Refer to the following code snippet for reference.
def OnSecuritiesChanged(self, changes):for security in changed.AddedSecurities:security.SetFeeModel(CustomFeeModel())
Best,
Varad Kabade
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Big mak
Varad,
The first implementation didn't work as expected, but the second one did. The second implementation (using changes) set the fees for all stocks after my fine filter. I found looping through solely my desired stocks and setting the fees that way yields a slight ~5% performance improvement, since I do a lot of operations after fine filtering.
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