Interactive Brokers fee structure

Here’s an approach and code example you can use to address Dat's concern about the Interactive Brokers fee model in QuantConnect:

Issue Clarification

• As per Dat and Interactive Brokers’ published rates, the maximum fee for US equity orders should be 1% of trade value (not 0.5%) for the fixed commission model.
• QuantConnect's default InteractiveBrokersFeeModel may still cap at 0.5%.

Solution

You can create a custom fee model that:

• Charges $0.005 per share.
• Has a $1.00 minimum fee per order.
• Caps fees at 1% of the order’s gross trade value.

Here’s a simple example of how you could code and assign this custom fee model:

from AlgorithmImports import *

class CustomInteractiveBrokersFeeModel(FeeModel):
    def get_order_fee(self, parameters: OrderFeeParameters) -> OrderFee:
        security = parameters.security
        order = parameters.order
        # Avoid zero-price or zero-quantity situations
        if security.price <= 0 or order.absolute_quantity == 0:
            return OrderFee(CashAmount(0, "USD"))

        trade_value = security.price * order.absolute_quantity

        fee_per_share = 0.005
        minimum_fee = 1.0
        maximum_fee_rate = 0.01  # 1% of trade value

        fee = order.absolute_quantity * fee_per_share
        # Enforce minimum fee
        if fee < minimum_fee:
            fee = minimum_fee

        # Enforce maximum fee
        max_fee = trade_value * maximum_fee_rate
        if fee > max_fee:
            fee = max_fee

        return OrderFee(CashAmount(fee, "USD"))

class CustomInteractiveBrokersFeeModelAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self.set_start_date(2021, 1, 1)
        self.set_end_date(2022, 1, 1)
        self.set_cash(100000)

        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self.securities[self._symbol].fee_model = CustomInteractiveBrokersFeeModel()

    def on_data(self, data: Slice) -> None:
        if not self.portfolio.invested:
            self.market_order(self._symbol, 10)

Regarding IB Tiered Pricing Model

• As of now, QuantConnect does not offer out-of-the-box native support for the IBKR tiered commission scheme. Only the fixed model is implemented.
• For a tiered model, you’d need to design a more sophisticated custom FeeModel, implementing the different tiers and thresholds as published on the IB website.

References:

• Interactive Brokers Fee Schedule
• QuantConnect Fee Model Documentation

Let me know if you want a working example with the tiered structure!

Sources: Brokerage Model Algorithm, Custom Models Algorithm, Custom Models P E P8 Algorithm, Micro Study: Yen Carry Trade, Opening Range Breakout for Stocks in Play