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Hard To Borrow Fees

I was wondering if anyone had implemented hard to borrow fees into their backtesting?

 

Best,

 

Josh

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Not yet Josh, we have an issue open for margin on leveraged assets; and I just created this one for short fees.  

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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.


Depending on which broker you use, what I did in the mean time was to simply looking at several htb stocks and came up with a rough number I pay to reserve the shares (say ~$.03/share) and then use this to create an order fee:

class ShortLocateFee(FeeModel):
def __init__(self, algorithm):
self.algorithm = algorithm

def GetOrderFee(self, parameters):
# Apply short locate fee only to short sales
if parameters.Order.Direction == 1 and parameters.Order.Quantity < 0:
fee = parameters.Order.AbsoluteQuantity * 0.03 # magic number here
else:
fee = 0
return OrderFee(CashAmount(fee, "USD"))

 

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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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