Interactive Brokers - Tiered Commissions

1. I think the tiered prices are not implemented (see InteractiveBrokersFeeModel), so you would need a custom fee model.

2. Good question. I do assume QC gets the real data because e.g. I've been getting different order cancellation charges than what the default IB fee model would suggest (which doesn't simulate cancellation charges in backtests).

Thanks Petter. I have a custom fee model but it would be more accurate if LEAN got the charges from the broker. From your answer, it appears to be so. Let's have Jared Broad  or Alexandre Catarino confirm that it's also using reguler buy/sell order charges from the broker too.

We attempt to make the models as realistic as possible and then use them in live trading for fees. The fills are done from real prices provided by the brokerage. Then every day we synchronize the cash balance of the algorithm to make sure the fees are not massively difference and it doesn't compound to a large difference over time.

It has been a few years since we built those models and they did not have cancelation charges at the time! We do not model them. I'll add it to the todo list. 

Perfect! thanks Jared.

PS: is there any way to see my older post to the community? currently the profile page has only the last 5 posts and I can't find any link to my older posts.

i personally would love to see something like vBulletin forum software or something like this in QC with HELP, Hire, Strategy posting sections and of course profile infos like history of post .....with moderators and that stuff. it would/could be great. 

let me google this for you: :)

LMGTFY

:) :) :)

Correct me if I'm wrong on this, but IB's Tiered Fee structure starts at $0.0035 per share for up to the first 300,000 shares per month, so why would anybody ever want to use a Fixed Fee model ($0.005)? It sems Tiered Fee is cheaper from the outset and gets cheaper as your as you move more volume (portfolio growth). Is it because of the exchange and Transaction Fees fees that get added on top of that $0.0035 that make it closer to $0.005 anyways at lower volumes?

IB Fixed Fee is sometimes lower, especially for exchanges that ask high fees for removing liquidity (and give a rebate to those who add liquidity).

If you almost always remove liquidity (market or stop market orders) and do not trade a lot, the Fixed Fee can be less expensive.

But you are right: in most cases (high turnover and/or a least some trading using limit orders and/or directing the orders to stock exchanges with the lowest fees for adding or removing liquidity), it will be less expensive to select the Tiered Fee instead of the Fixed Fee model!