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The following variables are available when creating a Per Order 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. | ||
| $orderQuantity | Total quantity for the order. Set to 0 for all but the last execution for the order. Note that if an order contains a fill with a manually set fee, this variable will always be set to 0 for that order$fillCount | Number of regular executions comprising this order (not counting any canceled or non-regular fills). | |
| $monthlyVolume | Total cumulative quantity traded during the trade date month up to and including the execution order being processed. Note that currently this lumps together volume across all instrument types. |