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Interactive Brokers - Tiered Commissions

IB has two models for charging commissions: fixed and tiered.

According to this page on IB's web site, the tiered commission model works a lot cheaper for high volumes (per month):

https://www.interactivebrokers.com/en/index.php?f=commission&p=stocks2

 

Currently I'm using this line in my code for paper trading:

SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Cash);

 

This actually sets the default fixed commission model which is $0.005 per share with a minimum of $1 per order. Now my question is, if we change the IB account to use a tiered model:

1- is there a way in LEAN to simulate charges based on IB's tiered model for paper trading? (I know how to create custom SecurityTransactionModel if that's the answer)

2- when live trading, does LEAN get the charges from IB? or it calculates charges based on the default fixed IB model?

 

Thanks!

 

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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).

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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.

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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. 

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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.


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.

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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

:) :) :)

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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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