Trade fee formulas use a simple language (a modified 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.
Creating a Rule
Here's a sample rule:
dst=ARCA,ARCAPOP;penny=true;liq=A => 0.003The 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
...
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. |
| $currency | Currency code of the trade (3-character ISO code). |
| $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). |
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) => 0.003Fees
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 => -0.002dst=EDGA;liq=B => 0.0002You 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 ignoreddst=EDGA;liq=A => -0.002...
| $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. |
| $execBroker | MPID / identifier of the executing broker. Will always be in uppercase. |
| $contra | MPID / identifier of the counterparty. Will always be in uppercase. |
| $route | Name of the route, ECN or exchange. Will always be in uppercase. |
| $internalContra | Indicates the actual counterparty when an order is routed via an order desk or another intermediary (when available). (v1.5.98.19.16 or greater) |
| $internalRoute | Indicates the actual destination when an order is routed via an order desk or another intermediary (when available). |
| $internalLiquidity | Indicates the actual liquidity flag when an order is routed via an order desk or another intermediary (when available). |
| $liquidity | Liquidity flag. |
| $capacity | Trading capacity of the order (when available). A = Agency, P = Principal, R = Riskless Principal. |
| $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) |
| $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. The quantity is for the instrument type of the execution being evaluated. For example, if a formula is being evaluation for an equity, monthlyVolume will equal total equity shares the account traded from the beginning of the month up to and including the execution processed. |