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GDAX Fee Model

Hi,

I am new to QuantConnect, trading algos, and python in general. I am trying to test out a simple EMA crossover strategy for cryptocurrencies to gain more famliarity.

I am using the below code to set the brokerage model:

self.SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash)

After backtesting my algo, you can see that it had 383 total trades but only $67.09 in fees. Is this correct? Am I missing something?

Thanks!

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.


Hi Daniel ,

QuantConnect/Lean uses a constant fee rate of 0.25% (Taker) and 0.15% (Maker) that Coinbase Pro applies for a 30-day volume of $50k - $100k

var fee = unitPrice * order.AbsoluteQuantity * feePercentage;
// where feePercentage is either 0.0025 or 0.0015

You can download the orders file for that backtest and apply this formula to verify the result.

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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.


Update Backtest





0

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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