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I am wondering if there is interest and how difficult it would be to add the fee value to the order data in the results JSON and orders CSV
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Shile Wen
Hi Ari,
Why would you like to have individual fee information? Fee sensibility can be studied in bulk using the total fees, which is available.
Best,
Shile Wen
Ari Cooperman
That would tell you on average if you wanted the granularity to analyze and bucket trades to decide which would be the cheapest option or which broker to route certain trades.
This is mostly valuable in the derivative space rather than equities. For example, managing a specific greek risk and using the order data to analyze actual costs where the costs for the various securities available are variable depending on lot size, premium, etc.
Shile Wen
Hi Ari,
You can pre-calculate the order fee using the security price, quantity to be ordered, and the Fee Model of the security and add the fee as a tag to get an estimate of the fees for individual trades. I've shown an example in the attached backtest.
Best,
Shile Wen
Ari Cooperman
Ari Cooperman
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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