I've read through the documentation on customization of setting the fees to make the simulations match real life events. I pay an average of 65 cents on my IB options trades, due to may volume settings. I may consider switching to a a free trading setting once I've determined the impact of front runnning by high frequency traders paying IB to get your limit order and market order info.
But right now I'm evaluation a strategy that works on high volume, high frequency, low profit margins and it loses money at the default $2.00 setting but should make good steady money at the $0.65 setting. However, althought I've accomplished this in the past with securities alone, those solutions do not seem to work when I apply them to options.
I modified a sample option strategy to permit setting of options fees, and used a grossly exaggerated fee setting of $10.65 to try to see if the settings affected the outcome. They don't.
Please take a look at the sample project and let me know what I need to change.
Shile Wen
Hi Serge,
We need to use SetSecurityInitializer to assign the fee model for options. I've shown this in the attached backtest.
Best,
Shile Wen
Serge d'Adesky
Hi Shile,
Thanks for the response. I'll give it a whirl and provide feedback. Appreciate it.
Serge d'Adesky
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