Pay for Limits  [SOLVED]

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mips4pips
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Pay for Limits

Postby mips4pips » 28 Feb 2013

MB Trading (and others) have a "pay for limits" account type, where the trader receives a small rebate when limit orders that were on their non-marketable list are filled (adding liquidity). How can I simulate this "negative commission" in MultiCharts for backtesting?

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Henry MultiСharts
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Re: Pay for Limits

Postby Henry MultiСharts » 28 Feb 2013

Hello mips4pips,

In MultiCharts 8.5 Release we have introduced the new flexible commission system. You can reduce the commission based on the trading volume.
Please provide an example of MBT commission calculation as mathematical formula and we will suggest how to achieve the same in MultiCharts.

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Re: Pay for Limits

Postby mips4pips » 28 Feb 2013

Hello Henry,

MB Trading has a "Pay for Limits" Forex account type where currently the commissions are as follows:

You pay $2.50 for 100,000 executed on any executed trade,

EXCEPT:

You receive $0.50 per 100,000 executed on a filled non-marketable limit order, that sat on their limit order book for any period of time. And you don't pay any commission on such orders.

You will find details and calculation examples on their website, under Forex-Overview, Forex-Pay For Limits and Forex-Routing Fees.

I would appreciate any suggestions about modeling this commission plan in MC.

Thanks!

Mips4Pips

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MAtricks
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Re: Pay for Limits

Postby MAtricks » 28 Feb 2013

http://www.mbtrading.com/pricing.aspx

How would you simulate this? Testing limit orders is questionable on its own and that's without taking into considering that these pay-for-limits programs usually don't fill in a timely manner.

Be careful...

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Re: Pay for Limits

Postby mips4pips » 01 Mar 2013

Thank you for the comments. I use backtesting to compare different strategies, but not to predict dollar performance. This applies to limits and all types of orders.

Concerning pay for limits - this is a well established practice in many markets - not so much in Forex. It allows market-makers to stay in business by providing liquidity. MB Trading implemented their program well and provide a transparent limit order book, which anybody can see and hit. I have had no issues with untimely fills. They are allowing the retail trader to play market-maker.

However, please let me come back to the original question to MC technicians. Is it possible to use the new commission setup to model pay for limits?

Thanks!

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Henry MultiСharts
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Re: Pay for Limits

Postby Henry MultiСharts » 05 Mar 2013

However, please let me come back to the original question to MC technicians. Is it possible to use the new commission setup to model pay for limits?
How can we determine if limit order is a non-marketable Limit order or not?

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MAtricks
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Re: Pay for Limits

Postby MAtricks » 05 Mar 2013

According to their reps, "A limit order is non marketable as long as it's not a buy on the ask and a sell on the bid". So there must be a resting limit order before the bid hits your sell order or the ask hits your buy order.

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Re: Pay for Limits

Postby mips4pips » 05 Mar 2013

A Buy Limit Order is non-marketable if its price is less than the Ask when it hits the order server. So it goes on the Limit Order Book.

Similarly, a Sell Limit Order is non-marketable if its price is higher than the Bid when it hits the order server.

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Re: Pay for Limits

Postby JoshM » 06 Mar 2013

I would appreciate any suggestions about modeling this commission plan in MC.
It's quite a workaround, but if you export the trade data (which you probably already need to do since MultiCharts doesn't yet uses historical currency conversion when backtesting), you can use the PosTradeEntryCategory reserved word to determine what kind of order was executed, and determine the amount of commission based on that.

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Re: Pay for Limits

Postby mips4pips » 06 Mar 2013

Thank you for the idea. If you are going to add code to keep track of commissions, then this is definitely a step in the right direction.

I was hoping to have MC calculate the commission in backtesting without adding any code. At this point, I don't believe that the current commission setup can cover the "pay for limits" policy. This is not a serious problem.

Thanks!

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Henry MultiСharts
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Re: Pay for Limits  [SOLVED]

Postby Henry MultiСharts » 06 Mar 2013

mips4pips, that is not possible to calculate the commission for such orders in the current implementation of MultiCharts. If you would like to have such functionality in the future you may want to submit a feature request to the Project Management of our web site so other users can vote for it: https://www.multicharts.com/pm/


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