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Created page with "Commission settings in Strategy properties are designed to make backtesting and real-time simulation more realistic. They also affect strategy order prices calculation in auto..."
Commission settings in Strategy properties are designed to make backtesting and real-time simulation more realistic. They also affect strategy order prices calculation in auto trading (i.e. trailing stops, profit targets) as well as Stategy and Trading Performance Reports. Flexible commission settings templates are based on major broker commissions allowing to configure auto trading the way you each user needs.
==Selecting Commission Rules==
To access Commission Rules settings:
# Open the '''Strategy Properties''' window.<br><br>To open the '''Strategy Properties''' window:
## Open the '''Format Objects''' window.<br><span>{{FormatObjectIS}}</span>
## Select the '''Signals''' tab.
## Click '''Properties''' to open the '''Strategy Properties''' window.
# Select the '''Properties''' tab.
In the '''Costs/Capitalization''' section, in the '''Commission Rule''' list, select the Commission Rule.
The default rule is '''No Commission'''. Other prebuilt Commission Rules are:
* '''0.01$ per Contract'''. Commission is set to $0.01 per contract regardless of the trade size.
* '''0.01% per Contract'''. Commission is set to 0.01% of trade value regardless of the trade size.
* '''1$ per Trade'''. Commission is set to $1 per trade regardless of the trade size.
* '''Tiered per Month'''. Commission is set to 0.01% of trade value if trade size is less than 9999, 0.005% of trade value if trade size is between 10000 and 99999, 0.0025% of trade value if trade size is equal or higher than 100000.
Every template parameter can be changed. In most cases default templates should be enough. However, if it is not the case custom templates can be created.
==Commission Rules Manager==
Click '''Manage Rules''' to open '''Commission Rules Manager'''.
To create a new rule:
# Click '''New Rule...'''.
# Enter the rule name in the '''Rule Name'''.
# Select volume measurement unit from the '''Volume in''' list.
# Select the accumulation period from the '''Reset Volume Counter''' list.
## '''After every trade'''. Volume used for commission calculation is reset after every trade.
## '''Monthly'''. Volume used for commission calculation is reset at the end of the calendar month.
# Select calculation mode from the '''Calculate Commission''' list.
::* '''in real-time'''. Commission is calculated in real-time, after every filled contract inside one order. If your order falls on two or more commission levels, commission will be calculated for each portion and then added.
<div style="background-color: #E5F6FF;">Example 1:
'''After every trade''' is selected in the Reset Volume Counter list.
Commission rules:
0-99 $0.05 per Contract
100-999 $0.03 per Contract
>=1000 $0.01 per Contract
The strategy buys 60 contracts - commission = $0.05 * 60 = $3
The strategy sells 150 contracts - commission = $0.05 * 99 + $0.03 * 51 = $6.48
The strategy buys 3000 contracts - commission = $0.05 * 99 + $0.03 *900 + $0.01 * $2001 = $51.96</div>
<div style="background-color: #E5F6FF;">Example 2:
'''Monthly''' is selected in the Reset Volume Counter list.
Commission rules:
0-99 $0.05 per Contract
100-999 $0.03 per Contract
>=1000 $0.01 per Contract
First day
::The strategy buys 60 contracts - commission = $0.05 * 60 = $3
::The strategy sells 150 contracts - commission = $0.05 * 39 + $0.03 * 111 = $5.28
::The strategy buys 3000 contracts - commission = $0.03 *789 + $0.01 * 2211 = $45.78
First day ends: accumulated volume for the month = 60 + 150 + 3000 = 3210
Second day
::The strategy sells 100 contracts - commission = $0.01 * 100 = $1
...
First day of the next month: accumulated volume for the month = 0
::The strategy sells 50 contracts - commission = $0.05 * 50 = $2.5
::The strategy sells 50 contracts - commission = $0.05 * 49 + $0.03 * 1 = $2.48
</div>
::* '''after every trade'''. Commission is calculated after the entire order is processed. If your order falls on two or more commission levels, commission level corresponding to the entire order size will be applied.
<div style="background-color: #E5F6FF;">Example 3:
'''After every trade''' is selected in the Reset Volume Counter list.
Commission rules:
>0 $1 per Trade
>=100 $1.25 per Trade
>=1000 $1.5 per Trade
The strategy buys 60 contracts - commission = $1
The strategy sells 150 contracts - commission = $1.25
The strategy buys 3000 contracts - commission = $1.5</div>
<div style="background-color: #E5F6FF;">Example 4:
'''Monthly''' is selected in the Reset Volume Counter list.
Commission rules:
>0 $1 per Trade
>=100 $0.75 per Trade
>=1000 $0.5 per Trade
First day: accumulated volume for the month = 0
::The strategy buys 10 contracts - accumulated voume = 10 - commission = $1
::The strategy sells 20 contracts - accumulated voume = 30 - commission = $1
::The strategy buys 100 contracts - accumulated voume = 130 - commission = $0.75
::The strategy buys 100 contracts - accumulated voume = 230 - commission = $0.75
First day ends: accumulated volume for the month = 10 + 30 + 100= 230
Second day
::The strategy sells 100 contracts - accumulated voume = 330 - commission = $0.75
...
First day of the next month: accumulated volume for the month = 0
::The strategy sells 50 contracts - accumulated voume = 50 - commission = $1
::The strategy sells 50 contracts - accumulated voume = 100 - commission = $0.75
</div>
::* '''once per day'''. Commission is calculated based on the number of contracts traded from the first calendar day of the month till the end of the previous calendar day for all orders processed during the current day.
::<div style="background-color: #E3FBE5;">Note: '''Once per day''' option is available only when '''Monthly''' accumulation period is selected in the Calculate Commission list..</div>
<div style="background-color: #E5F6FF;">Example 5:
Commission rules:
>0 $1 per Trade
>=100 $0.75 per Trade
>=1000 $0.5 per Trade
First day: accumulated volume for the month = 0
::The strategy buys 10 contracts - accumulated volume = 0 - commission = $1
::The strategy sells 20 contracts - accumulated volume = 0 - commission = $1
::The strategy buys 100 contracts - accumulated volume = 0 - commission = $1
::The strategy buys 100 contracts - accumulated volume = 0 - commission = $1
First day ends: accumulated volume for the month = 10 + 20 + 100 + 100 = 230
Second day: accumulated volume for the previous period = 230
::The strategy sells 100 contracts - accumulated volume = 230 - level 2 - commission = $0.75
...
First day of the next month: accumulated volume for the month = 0
::The strategy sells 50 contracts - accumulated volume = 0 - level 1 - commission = $1
::The strategy sells 50 contracts - accumulated volume = 0 - level 1 - commission = $1</div>
:Click '''Add...''' to add new '''Fixed Commission Rule'''
:# Enter the volume value into the '''Volume''' field.
:#Enter the commission value into the '''Commission Value''' field.
:# Select commission measurement unit from the list.
:# Check the '''Commission Limits''' check box to enable commission maximum and minimum values.
:## Check the '''Min Value''' check box, setup the minimum commission value and select '''per Contract''' / '''per Trade''' calculation mode.
:## Check the '''Max Value''' check box, setup the maximum commission value and select '''per Contract''' / '''per Trade''' calculation mode. <div style="background-color: #E5F6FF;">Example 6: Commission rule is set to $0.1 per contract. Min Value is set to $1 per trade and Max Value is set to 5$ per trade. If the strategy sells 5 contracts, the commission will be $1. If the strategy buys 100 contracts, the commission will be $5. </div>
:# Click '''OK''' to save the '''Fixed Commission Rule''' or '''Cancel''' to cancel the operation.
:# To edit an existing Fixed Commission Rule select a rule with the mouse and click '''Edit...'.
:# To delete a Fixed Commission Rule select a rule with the mouse and click '''Delete'.
:# Click '''OK''' to save the rule or '''Cancel''' to cancel the operation.
::<div style="background-color: #E3FBE5;">Note: Trade means a filled order.</div>
To modify an existing rule, select the rule by clicking it with the mouse and click '''Edit'''.
To clone an existing rule, select the rule by clicking it with the mouse click '''Clone...'''.
To delete a rule, select the rule by clicking it with the mouse click '''Delete'''.
To save the changes and close '''Commission Rules Manager''' click '''OK'''
To exit '''Commission Rules Manager''' without saving any changes to the rules click '''Cancel'''.
[[Category: Strategies]]
==Selecting Commission Rules==
To access Commission Rules settings:
# Open the '''Strategy Properties''' window.<br><br>To open the '''Strategy Properties''' window:
## Open the '''Format Objects''' window.<br><span>{{FormatObjectIS}}</span>
## Select the '''Signals''' tab.
## Click '''Properties''' to open the '''Strategy Properties''' window.
# Select the '''Properties''' tab.
In the '''Costs/Capitalization''' section, in the '''Commission Rule''' list, select the Commission Rule.
The default rule is '''No Commission'''. Other prebuilt Commission Rules are:
* '''0.01$ per Contract'''. Commission is set to $0.01 per contract regardless of the trade size.
* '''0.01% per Contract'''. Commission is set to 0.01% of trade value regardless of the trade size.
* '''1$ per Trade'''. Commission is set to $1 per trade regardless of the trade size.
* '''Tiered per Month'''. Commission is set to 0.01% of trade value if trade size is less than 9999, 0.005% of trade value if trade size is between 10000 and 99999, 0.0025% of trade value if trade size is equal or higher than 100000.
Every template parameter can be changed. In most cases default templates should be enough. However, if it is not the case custom templates can be created.
==Commission Rules Manager==
Click '''Manage Rules''' to open '''Commission Rules Manager'''.
To create a new rule:
# Click '''New Rule...'''.
# Enter the rule name in the '''Rule Name'''.
# Select volume measurement unit from the '''Volume in''' list.
# Select the accumulation period from the '''Reset Volume Counter''' list.
## '''After every trade'''. Volume used for commission calculation is reset after every trade.
## '''Monthly'''. Volume used for commission calculation is reset at the end of the calendar month.
# Select calculation mode from the '''Calculate Commission''' list.
::* '''in real-time'''. Commission is calculated in real-time, after every filled contract inside one order. If your order falls on two or more commission levels, commission will be calculated for each portion and then added.
<div style="background-color: #E5F6FF;">Example 1:
'''After every trade''' is selected in the Reset Volume Counter list.
Commission rules:
0-99 $0.05 per Contract
100-999 $0.03 per Contract
>=1000 $0.01 per Contract
The strategy buys 60 contracts - commission = $0.05 * 60 = $3
The strategy sells 150 contracts - commission = $0.05 * 99 + $0.03 * 51 = $6.48
The strategy buys 3000 contracts - commission = $0.05 * 99 + $0.03 *900 + $0.01 * $2001 = $51.96</div>
<div style="background-color: #E5F6FF;">Example 2:
'''Monthly''' is selected in the Reset Volume Counter list.
Commission rules:
0-99 $0.05 per Contract
100-999 $0.03 per Contract
>=1000 $0.01 per Contract
First day
::The strategy buys 60 contracts - commission = $0.05 * 60 = $3
::The strategy sells 150 contracts - commission = $0.05 * 39 + $0.03 * 111 = $5.28
::The strategy buys 3000 contracts - commission = $0.03 *789 + $0.01 * 2211 = $45.78
First day ends: accumulated volume for the month = 60 + 150 + 3000 = 3210
Second day
::The strategy sells 100 contracts - commission = $0.01 * 100 = $1
...
First day of the next month: accumulated volume for the month = 0
::The strategy sells 50 contracts - commission = $0.05 * 50 = $2.5
::The strategy sells 50 contracts - commission = $0.05 * 49 + $0.03 * 1 = $2.48
</div>
::* '''after every trade'''. Commission is calculated after the entire order is processed. If your order falls on two or more commission levels, commission level corresponding to the entire order size will be applied.
<div style="background-color: #E5F6FF;">Example 3:
'''After every trade''' is selected in the Reset Volume Counter list.
Commission rules:
>0 $1 per Trade
>=100 $1.25 per Trade
>=1000 $1.5 per Trade
The strategy buys 60 contracts - commission = $1
The strategy sells 150 contracts - commission = $1.25
The strategy buys 3000 contracts - commission = $1.5</div>
<div style="background-color: #E5F6FF;">Example 4:
'''Monthly''' is selected in the Reset Volume Counter list.
Commission rules:
>0 $1 per Trade
>=100 $0.75 per Trade
>=1000 $0.5 per Trade
First day: accumulated volume for the month = 0
::The strategy buys 10 contracts - accumulated voume = 10 - commission = $1
::The strategy sells 20 contracts - accumulated voume = 30 - commission = $1
::The strategy buys 100 contracts - accumulated voume = 130 - commission = $0.75
::The strategy buys 100 contracts - accumulated voume = 230 - commission = $0.75
First day ends: accumulated volume for the month = 10 + 30 + 100= 230
Second day
::The strategy sells 100 contracts - accumulated voume = 330 - commission = $0.75
...
First day of the next month: accumulated volume for the month = 0
::The strategy sells 50 contracts - accumulated voume = 50 - commission = $1
::The strategy sells 50 contracts - accumulated voume = 100 - commission = $0.75
</div>
::* '''once per day'''. Commission is calculated based on the number of contracts traded from the first calendar day of the month till the end of the previous calendar day for all orders processed during the current day.
::<div style="background-color: #E3FBE5;">Note: '''Once per day''' option is available only when '''Monthly''' accumulation period is selected in the Calculate Commission list..</div>
<div style="background-color: #E5F6FF;">Example 5:
Commission rules:
>0 $1 per Trade
>=100 $0.75 per Trade
>=1000 $0.5 per Trade
First day: accumulated volume for the month = 0
::The strategy buys 10 contracts - accumulated volume = 0 - commission = $1
::The strategy sells 20 contracts - accumulated volume = 0 - commission = $1
::The strategy buys 100 contracts - accumulated volume = 0 - commission = $1
::The strategy buys 100 contracts - accumulated volume = 0 - commission = $1
First day ends: accumulated volume for the month = 10 + 20 + 100 + 100 = 230
Second day: accumulated volume for the previous period = 230
::The strategy sells 100 contracts - accumulated volume = 230 - level 2 - commission = $0.75
...
First day of the next month: accumulated volume for the month = 0
::The strategy sells 50 contracts - accumulated volume = 0 - level 1 - commission = $1
::The strategy sells 50 contracts - accumulated volume = 0 - level 1 - commission = $1</div>
:Click '''Add...''' to add new '''Fixed Commission Rule'''
:# Enter the volume value into the '''Volume''' field.
:#Enter the commission value into the '''Commission Value''' field.
:# Select commission measurement unit from the list.
:# Check the '''Commission Limits''' check box to enable commission maximum and minimum values.
:## Check the '''Min Value''' check box, setup the minimum commission value and select '''per Contract''' / '''per Trade''' calculation mode.
:## Check the '''Max Value''' check box, setup the maximum commission value and select '''per Contract''' / '''per Trade''' calculation mode. <div style="background-color: #E5F6FF;">Example 6: Commission rule is set to $0.1 per contract. Min Value is set to $1 per trade and Max Value is set to 5$ per trade. If the strategy sells 5 contracts, the commission will be $1. If the strategy buys 100 contracts, the commission will be $5. </div>
:# Click '''OK''' to save the '''Fixed Commission Rule''' or '''Cancel''' to cancel the operation.
:# To edit an existing Fixed Commission Rule select a rule with the mouse and click '''Edit...'.
:# To delete a Fixed Commission Rule select a rule with the mouse and click '''Delete'.
:# Click '''OK''' to save the rule or '''Cancel''' to cancel the operation.
::<div style="background-color: #E3FBE5;">Note: Trade means a filled order.</div>
To modify an existing rule, select the rule by clicking it with the mouse and click '''Edit'''.
To clone an existing rule, select the rule by clicking it with the mouse click '''Clone...'''.
To delete a rule, select the rule by clicking it with the mouse click '''Delete'''.
To save the changes and close '''Commission Rules Manager''' click '''OK'''
To exit '''Commission Rules Manager''' without saving any changes to the rules click '''Cancel'''.
[[Category: Strategies]]
