python version

Algorithm.Python/InteractiveBrokersTieredFeeModelAlgorithm.py

@@ -12,6 +12,7 @@
 # limitations under the License.
 
 from AlgorithmImports import *
+from Orders.Fees.InteractiveBrokersTieredFeeModel import InteractiveBrokersTieredFeeModel
 
 ### <summary>
 ### Test algorithm using "InteractiveBrokersTieredFeeModel"

Common/Orders/Fees/InteractiveBrokersFeeHelper.cs

@@ -71,7 +71,7 @@ internal static void ProcessFutureRateSchedule(decimal monthlyFutureTradeVolume,
         }
 
         /// <summary>
-        /// Determines which tier an account falls into based on the monthly trading volume of forex
+        /// Determines which tier an account falls into based on the monthly trading volume of Forex
         /// </summary>
         /// <remarks>https://www.interactivebrokers.com/en/pricing/commissions-spot-currencies.php?re=amer</remarks>
         internal static void ProcessForexRateSchedule(decimal monthlyForexTradeAmountInUSDollars, out decimal commissionRate, out decimal minimumOrderFee)
@@ -100,7 +100,7 @@ internal static void ProcessForexRateSchedule(decimal monthlyForexTradeAmountInU
         }
 
         /// <summary>
-        /// Determines which tier an account falls into based on the monthly trading volume of options
+        /// Determines which tier an account falls into based on the monthly trading volume of Options
         /// </summary>
         /// <remarks>https://www.interactivebrokers.com/en/pricing/commissions-options.php?re=amer</remarks>
         internal static void ProcessOptionsRateSchedule(decimal monthlyOptionsTradeAmountInContracts, out Func<decimal, decimal, CashAmount> optionsCommissionFunc)
@@ -140,7 +140,7 @@ internal static void ProcessOptionsRateSchedule(decimal monthlyOptionsTradeAmoun
         }
 
         /// <summary>
-        /// Determines which tier an account falls into based on the monthly trading volume of cryptos
+        /// Determines which tier an account falls into based on the monthly trading volume of Crypto
         /// </summary>
         /// <remarks>https://www.interactivebrokers.com/en/pricing/commissions-cryptocurrencies.php?re=amer</remarks>
         internal static void ProcessCryptoRateSchedule(decimal monthlyCryptoTradeAmountInUSDollars, out decimal commissionRate)
@@ -202,7 +202,7 @@ internal static decimal CalculateOptionFee(Security security, Order order, decim
         /// <summary>
         /// Calculate the transaction fee of a Future or FOP order
         /// </summary>
-        internal static void CalculateFutureFopFee(Security security, Order order, decimal quantity, string market,
+        internal static void CalculateFutureFopFee(Security security, decimal quantity, string market,
             Dictionary<string, Func<Security, CashAmount>> feeRef, out decimal fee, out string currency)
         {
             // The futures options fee model is exactly the same as futures' fees on IB.
@@ -229,7 +229,7 @@ internal static void CalculateFutureFopFee(Security security, Order order, decim
         /// Calculate the transaction fee of an Equity order
         /// </summary>
         /// <returns>Commission part of the transaction cost</returns>
-        internal static decimal CalculateEquityFee(Security security, Order order, decimal quantity, decimal tradeValue, string market,
+        internal static void CalculateEquityFee(decimal quantity, decimal tradeValue, string market,
             decimal usFeeRate, decimal usMinimumFee, out decimal fee, out string currency)
         {
             EquityFee equityFee;
@@ -263,8 +263,6 @@ internal static decimal CalculateEquityFee(Security security, Order order, decim
             currency = equityFee.Currency;
             //Always return a positive fee.
             fee = Math.Abs(tradeFee);
-
-            return tradeFee;
         }
 
         /// <summary>
@@ -293,8 +291,8 @@ internal static decimal CalculateCryptoFee(Security security, Order order, decim
             decimal cryptoMinimumOrderFee, out decimal fee, out string currency)
         {
             // get the total trade value in the USD
-            var totalTradeValue = order.GetValue(security);
-            var cryptoFee = Math.Abs(cryptoCommissionRate*totalTradeValue);
+            var totalTradeValue = Math.Abs(order.GetValue(security));
+            var cryptoFee = cryptoCommissionRate*totalTradeValue;
             // 1% maximum fee
             fee = Math.Max(Math.Min(totalTradeValue * 0.01m, cryptoMinimumOrderFee), cryptoFee);
             // IB Crypto fees are all in USD
@@ -399,10 +397,6 @@ internal static decimal GetEquityExchangeFee(Order order, Exchange exchange, dec
                     {
                         return order.AbsoluteQuantity * 0.0005m;
                     }
-                    else if (exchange == Exchange.ARCA)
-                    {
-                        return order.AbsoluteQuantity * 0.0015m;
-                    }
                     else if (exchange == Exchange.BATS)
                     {
                         return order.AbsoluteQuantity * 0.00075m;
@@ -494,7 +488,6 @@ internal static decimal GetPotentialOrderPrice(Order order, Security security)
                 case OrderType.MarketOnOpen:
                 case OrderType.MarketOnClose:
                 case OrderType.Market:
-                    decimal securityPrice;
                     if (order.Direction == OrderDirection.Buy)
                     {
                         price = security.BidPrice;

Common/Orders/Fees/InteractiveBrokersFeeModel.cs

@@ -106,12 +106,12 @@ public override OrderFee GetOrderFee(OrderFeeParameters parameters)
 
                 case SecurityType.Future:
                 case SecurityType.FutureOption:
-                    InteractiveBrokersFeeHelper.CalculateFutureFopFee(security, order, quantity, market, _futureFee, out feeResult, out feeCurrency);
+                    InteractiveBrokersFeeHelper.CalculateFutureFopFee(security, quantity, market, _futureFee, out feeResult, out feeCurrency);
                     break;
 
                 case SecurityType.Equity:
                     var tradeValue = Math.Abs(order.GetValue(security));
-                    InteractiveBrokersFeeHelper.CalculateEquityFee(security, order, quantity, tradeValue, market, 0.005m, 1m, out feeResult, out feeCurrency);
+                    InteractiveBrokersFeeHelper.CalculateEquityFee(quantity, tradeValue, market, 0.005m, 1m, out feeResult, out feeCurrency);
                     break;
 
                 case SecurityType.Cfd:

Common/Orders/Fees/InteractiveBrokersTieredFeeModel.cs

@@ -150,7 +150,9 @@ public override OrderFee GetOrderFee(OrderFeeParameters parameters)
                         (0.01915m + 0.0048m) * quantity :
                         0.0048m * quantity;
                     // Transaction Fees: SEC Transaction Fee + FINRA Trading Activity Fee (only charge on sell)
-                    var transaction = order.Quantity < 0 ? 0.0000278m * Math.Abs(order.GetValue(security)) + 0.00279m * quantity : 0m;
+                    var transaction = order.Direction == OrderDirection.Sell ?
+                        0.0000278m * Math.Abs(order.GetValue(security)) + 0.00279m * quantity :
+                        0m;
                     // Clearing Fee
                     var clearing = Math.Min(0.02m * quantity, 55m);
 
@@ -162,14 +164,14 @@ public override OrderFee GetOrderFee(OrderFeeParameters parameters)
 
                 case SecurityType.Future:
                 case SecurityType.FutureOption:
-                    InteractiveBrokersFeeHelper.CalculateFutureFopFee(security, order, quantity, market, _futureFee, out feeResult, out feeCurrency);
+                    InteractiveBrokersFeeHelper.CalculateFutureFopFee(security, quantity, market, _futureFee, out feeResult, out feeCurrency);
                     // Update the monthly contracts traded
                     _monthlyTradeVolume[SecurityType.Future] += quantity;
                     break;
 
                 case SecurityType.Equity:
                     var tradeValue = Math.Abs(order.GetValue(security));
-                    var tradeFee = InteractiveBrokersFeeHelper.CalculateEquityFee(security, order, quantity, tradeValue, market, _equityCommissionRate, EquityMinimumOrderFee, out feeResult, out feeCurrency);
+                    InteractiveBrokersFeeHelper.CalculateEquityFee(quantity, tradeValue, market, _equityCommissionRate, EquityMinimumOrderFee, out feeResult, out feeCurrency);
 
                     // Tiered fee model has the below extra cost.
                     // FINRA Trading Activity Fee only applies to sale of security.
@@ -181,11 +183,11 @@ public override OrderFee GetOrderFee(OrderFeeParameters parameters)
                     // Clearing Fee: NSCC, DTC Fees.
                     var clearingFee = Math.Min(quantity * 0.0002m, tradeValue * 0.005m);
                     // Exchange related handling fees.
-                    var exchangeFee = InteractiveBrokersFeeHelper.GetEquityExchangeFee(order, (security as Equity).PrimaryExchange, tradeValue, tradeFee);
+                    var exchangeFee = InteractiveBrokersFeeHelper.GetEquityExchangeFee(order, (security as Equity).PrimaryExchange, tradeValue, feeResult);
                     // FINRA Pass Through Fees.
-                    var passThroughFee = Math.Min(8.3m, tradeFee * 0.00056m);
+                    var passThroughFee = Math.Min(8.3m, feeResult * 0.00056m);
 
-                    feeResult = feeResult + regulatoryFee + clearingFee + exchangeFee + passThroughFee;
+                    feeResult += regulatoryFee + clearingFee + exchangeFee + passThroughFee;
 
                     // Update the monthly volume shares traded
                     _monthlyTradeVolume[SecurityType.Equity] += quantity;