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QCU Custom Transaction Fees

We updated the order fill models for live trading to allow partial fills. This is managed by a "OrderEvent" class. A single order can have multiple order events (e.g. 1000 shares filled in 2x500 lots over time at different prices). The backtest attached has a $500 per trade fee which gives us the sharp drops in the backtest curve!
Update Backtest






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.



I'm getting an error when I try to clone and run this...

22 | 17:37:10: Build Error: File: CompactFeeOnlyModel.cs Line:38 Column:32 - 'CompactFeeOnlyModel.GetOrderFee(decimal, decimal)': no suitable method found to override
23 | 17:37:10: Build Error: File: CustomFillModel.cs Line:40 Column:35 - 'CustomTransactionModel.Fill(Security, Order)': no suitable method found to override
24 | 17:37:10: Build Error: File: CustomFillModel.cs Line:76 Column:35 - 'CustomTransactionModel.MarketFill(Security, Order)': no suitable method found to override
25 | 17:37:10: Build Error: File: CustomFillModel.cs Line:97 Column:35 - 'CustomTransactionModel.StopFill(Security, Order)': no suitable method found to override
26 | 17:37:10: Build Error: File: CustomFillModel.cs Line:141 Column:35 - 'CustomTransactionModel.LimitFill(Security, Order)': no suitable method found to override

Very instructive otherwise, thank you!

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Thanks @Eric -- we've since dramatically improved all the modelling. I've updated the QC University algorithm to use the correct models now. The algorithm attached above is fairly old (Nov-2014); but if you go to the algorithm terminal, and click on the university cap on the left side you can find the same Transaction model example project. I've attached a copy of it here for your reference.

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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.


Are you some kind of wizard or something?
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Update Backtest





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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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