Zero Transaction Fees for All Securities

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)))  
# or
self.SetSecurityInitializer(lambda x: x.SetFeeModel(CustomFeeModel()))
# Custom fee implementation
class CustomFeeModel:
    def GetOrderFee(self, parameters):
        fee = 0
        return 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

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.

for stock in list_of_stocks:
	self.Securities[stock].FeeModel = ConstantFeeModel(0)   # Where each stock is a string
	return