Fee rules are a concise way to specify an ECN fee schedule or any other schedule that contains a large number of conditional fees.

How the Rules Work

Rules are processed first to last for every execution.
The first rule in the list that matches determines the fee.
If no rule matches, the fee received from the data source is left unchanged.

Important: Make sure the Formula Type is set to "Fee Rules" when creating a plan.

Creating a Rule

Below is a sample rule:

    route=ARCA,ARCAPOP;penny=true;liq=A => 0.003

The left-hand side (everything before =>) specifies the conditions to match. The rule above match any execution where route is ARCA or ARCAPOP and the liquidity flag is A and the price was less than $1.    (The semi-colon character is used as an AND qualifier.)
 

The right-hand side specifies the fee to assess if the conditions match. Positive fees are charges, negative fees are rebates. The rule above charges $3 / 1000 shares.

Leaving the condition blank will match every trade (useful as the last rule to provide a catch-all). For example, changing the example above as follows will charge all remaining executions $5 / 1000:

    route=ARCA,ARCA=,ARCAPOP;penny=true;liq=A => 0.003
    => 0.005

Conditions

Unless otherwise specified, conditions are not case sensitive and support a variety of operators: =, != (not equals), >=, >, <=, <

Name	Description	Example
afterHours	Execution occurred on or after 4pm EST	afterHours=true
capacity	Trading capacity of the order (when available). A = Agency, C = Agency Cross, P = Principal, R = Riskless Principal.	capacity=P
contra	MPID / identifier of the counterparty.	contra=PFSI
ccy	An ISO 4217 (3-character) currency of the trade. (v1.5.97.13 or greater)	ccy=EUR
exch	Listing exchange for the security being traded (see list of exchange codes).	exch=NYQ
execBroker	MPID / identifier of the executing broker.	execBroker=PFSI
internalContra	Indicates the actual MPID / identifier of the counterparty when an order is routed via an order desk or another intermediary (when available). (v1.5.98.19.16 or greater)	internalContra=PFSI
internalLiq	Indicates the actual liquidity flag when an order is routed via an order desk or another intermediary (when available). Note: This value is case-sensitive.	internalLiq=A
internalRoute	Indicates the actual destination when an order is routed via an order desk or another intermediary (when available).	internalRoute=EDGA
liq	Liquidity flag (see flags for various destinations). Note: This value is case-sensitive.	liq=A
lot	Considers quantity of trade: (ODD = if quantity < 100 on an execution) (EVEN = if quantity divisible by 100) (MIXED = if > 100 and not divisible by 100 evenly)	lot=odd lot=even lot=mixed
mult	The multiplier (sometimes called "contract size" for options and "value multiplier" for futures) associated with the traded instrument and used when computing profit and loss (v1.5.97.14.13 or greater)	mult=100
penny	Set to true if trade is sub-dollar	penny=true
price	Execution price.	price>2
qty	Quantity of the execution. (v1.5.92.18 or greater)	qty=100
route	Exchange, Route or ECN. Different platforms can send different values for the same venue (e.g. Sterling: NSDQ vs Laser: ISLD). Furthermore, some platforms can indicate multiple values for the same destination (e.g. Sterling: ARCA, ARCA= to mean ARCA).	route=ARCA
side	Buy or sell	side=buy
source	Where PropReports received the trade from (see list of source ids).	source=1
subType	For equities, this will be either etf or blank	subType=etf
symbol	Ticker symbol of the security being traded	symbol=IBM
tape	Trade reporting facility indicator (e.g. A, B, or C). See Tape Designations.	tape=A
time	Execution time in the format HH:MM:SS (v.1.6.5.85 or greater).	time>=10:00:00
type	Type of instrument being traded (equity, option, future, index, fund, fx, bond)	type=option
underlyingSymbol	For options, the ticker symbol of the underlying security or index.	underlyingSymbol=YHOO
underlyingType	For options, the type of the underlying security (equity, future, index)	underlyingType=index
underlyingSubType	For options, the sub type of the underlying equity (etf or blank)	underlyingSubType=etf

Wildcards / Partial Matches

For = and != operators you can specify a partial value to match by using the wildcard symbol: % (PropReports version 1.5.97.14.74 and greater).

This could be useful for capturing routes or symbols with a common prefix without having to list them all. For example, route=ARCA% will match any execution where route begins with ARCA (e.g. ARCA and ARCAPOP). Likewise, symbol=/KC% will match all symbols that start with /KC (e.g. /KCH4 and /KCK5) .

You can also specify the wildcard at the end of the text to match. For example symbol=%.TO will match any symbol with a suffix of .TO.

Please be aware that entering a % anywhere else in the text or both at the beginning and the end will match the percent sign. This means route=A%B will only match the exact route A%B and route=%AB% will only match the exact route %AB%.

In the very rare case you need to match text that actually ends or begins with a percent sign you can escape it by prepending a '\' For example route=XYZ\% will match the exact route and route=\%XYZ will match the route %XYZ.

AND-ing conditions

Sometimes you may require ALL of a multiple set of conditions, and you can do so with the use of the semi-colon character ";". For example, let's say you want to select trades where both the destination is set to EDGA and the contra is set to BATS.

    route=EDGA;contra=BATS => 0.003

OR-ing conditions

Sometimes you may want to match more than one set of conditions, and you can do so with the use of the comma character ",". For example, let's say you want to select trades where either the destination or contra are set to ARCA. Since version 1.5.92.18 you can specify a rule as follows (please note the use of parenthesis):

    (route=ARCA),(contra=ARCA) => 0.003

Slicing

Sometimes you may want to match one particular character placed in the nth position of a string in order to assess a fee based on that sliced character. You can use brackets [ ] to do so and note that you can use this with non-numeric comparison operators (!= and =). Using [] or [:] alone will have no effect. Slicing is available beginning in version 1.6.5.68.

Example: In the Liq field there is an eight character string of "ABCDEFGH". The following examples of slicing could be used:

Condition examples	Fee Rule Syntax
liq[1] will match against A	liq[1]=A => 0.001
liq[2] will match against B	liq[2]=B => 0.001
liq[1:2] will match against AB	liq[1:2]=AB => 0.001
liq[1:5] will match against ABCDE	liq[1:5]=ABCDE => 0.001
liq[4:] will match against DEFGH	liq[4:]=DEFGH => 0.001
liq[:4] will match against ABCD	liq[:4]=ABCD => 0.001
When *multiple* sliced conditions need to be true, use the AND-ing semi-colon character ";" liq[1] will match against A *and* liq[4] will match against D	liq[1]=A;liq[4]=D => 0.001
When *one* sliced condition needs to be true, use the OR-ing comma character "," liq[1] will match against A or liq[4] will match against D	liq[1]=A,liq[4]=D => 0.001

Fees

Positive fees are charges, negative fees are rebates. There are four ways to assess a fee or rebate:

Method	Example
Per Share	`0.003` (1,000 shares @ $2 is charged 1,000 * 0.003 = $3.00).
Percentage of Value	`0.003%` (1,000 shares @ $2 is charged $2,000 * 0.003 = $6.00).
Fixed Amount per Execution (available in v1.5.92.51.3 or greater)	`[10]` ($10 is charged)
Pass Through (do not change)	blank (the fee will be left as received from the data source)

You can also specify a minimum/maximum of two or three fees (available in PropReports v1.5.91.17 and greater):

Example	Description
`max(0.003%, 0.003)`	Result will be the highest of : (0.003 * trade value) or (0.003 * quantity)
`min(0.003%, 0.003, [3])`	Result will be the lowest of : (0.003 * trade value) or (0.003 * quantity) or 3

Markup/Markdown

To mark up or mark down a received (original) fee you can specify a fee as follows (PropReports v1.5.97.14.36 and greater):

Important: When using in Fee Rules plan, the fee that is being marked up/down is the computed Exchange Fee. If you need to mark up/down a different trade fee, you will need to use this within a Per Execution plan type.

Example	Description
`markup(0.003)`	Add a charge of 0.003 per share to the imported fee.
`markdown([1])`	Reduce imported fee by $1

Blocks

To avoid repeating the same condition you can specify blocks.

Instead of:

route=EDGA;liq=A => -0.002
route=EDGA;liq=B => 0.0002

You can use:

route=EDGA {

liq=A => -0.002

liq=B => 0.0002

}

Blocks can also be nested. For example:

route=EDGA {

penny=true {

liq=A => -0.001%

liq=B => 0.003%

}

liq=A => -0.002

liq=B => 0.0002

}

Comments

Any lines that start with a '#' are ignored. Any text following a '#' at the end of a line will also be ignored. Comments are available in PropReports v1.5.91.17 and greater.

# this Comment line will be ignored

route=EDGA;liq=A => -0.002

route=EDGA;liq=B => 0.002 # another comment that will be ignored

Browser not supported