Page Comparison

Trade fee formulas use a simple language (a simplified version of the PHP programming language) to specify how fees should be assessed in PropReports. A

A "Per Execution" formula will be applied to runs once for every "Regular" fill . This means that the and the result is saved as the fee. The formula will NOT run for any fill that is either canceled, has has fees manually set or has a status that is not regular.

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

Image Removed

Creating a Rule

Here's a sample rule:

    dst=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 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:

    dst=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
contra	Contra value. The meaning of this field varies greatly by platform and destination.	contra=PFSI
curr	An ISO 4217 (3-character) currency of the trade. (v1.5.92.26 or greater)	curr=EUR
dst	Exchange, Route or ECN. Different platforms send 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).	dst=ARCA
exch	Listing exchange for the security being traded (see list of exchange codes).	exch=NYQ
liq	Liquidity flag (see flags for various destinations). 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
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
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).	tape=A
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

OR-ing conditions

Sometimes you may want to match more than one set of conditions. 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):

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

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

Blocks

To avoid repeating the same condition you can specify blocks.

Instead of:

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

You can use:

dst=EDGA {

liq=A => -0.002

liq=B => 0.0002

}

Blocks can also be nested. For example:

dst=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

dst=EDGA;liq=A => -0.002

...

Image Added

The following variables are available when creating a Per Execution formula:

Variable Name	Description
$source	A numeric code indicating where the execution originated. See the list of source ids.
$date	The trade date in YYYY-MM-DD format (e.g. 2011-08-15).
$time	The trade time in HH:MM:SS format (e.g. 09:35:12). If the trade time is uknown, the variable is set to 00:00:00.
$type	B = Buy, S = Sell, T = Short, C = Cover. See side and intention codes for more information.
$quantity	Number of shares or contracts traded.
$symbol	Ticker symbol of the instrument being traded.
$multiplier	The multiplier (can be called "contract size" for options and "value multiplier" for futures) used when computing profit and loss.
$spotRate	The conversion rate from the trade currency to the account currency.
$price	Price of the trade.
$value	Value of the trade in the currency of the account.
$contraMmid	MPID / identifier of the counterparty. Will always be in uppercase.
$exchange	Name of the route, ECN or exchange. Will always be in uppercase.
$liquidity	Liquidity flag.
$originalCommission	Commission as received from the data source.
$originalExchangeFee	Exchange/ECN fee as received from the data source.
$originalSecFee	SEC transaction fee as received from the data source.
$originalTaf	Trade activity fee as received from the data source.
$originalNsccFee	National Securities Clearing Corporation fee as received from the data source.
$originalMiscellaneousFee	Miscellaneous fee as received from the data source.
$originalClearingFee	Other clearing fee as received from the data source.
$orderQuantity	Total quantity for the order. Set to 0 for all but the last execution for the order. Note that if an order contains a fill with a manually set fee, this variable will always be set to 0 for that order.
$monthlyVolume	Total cumulative quantity traded during the trade date month up to and including the execution being processed. Note that currently this lumps together volume across all instrument types.

Versions Compared

Old Version 1

New Version 2

Key