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The following variables are available when creating a Per Order formula:
Variable Name | Description |
|---|---|
$date | The trade date in YYYY-MM-DD format (e.g. 2011-08-15). |
$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. |
| $listingExchange | Listing exchange for the security being traded (see list of exchange codes). |
| $spotRate | The conversion rate from the trade currency to the account currency. |
| $price | Price of the trade. |
| $routes | A mapping of route to quantity for this order. To check whether a part of the order was routed to a particular destination you can use |
| $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. |
| $originalOrf | Options Regulatory Fee as received from the data source. (v1.5.98.19.16 or greater) |
| $originalAccessFee | Exchange access fee as received from the data source. (v1.5.98.19.16 or greater) |
| $originalNfaFee | National Futures Association fee as received from the data source. (v1.5.98.19.16 or greater) |
| $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 order being processed. Note that currently this lumps together volume across all instrument types. |