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 "Per Order" formula runs once for every order (ticket) and the result is saved as the fee on the last fill of each. PropReports groups executions into orders based on the Order Id.
The formula will NOT run for any orders that contain an execution with fees manually set. Canceled executions or those with a status that is not regular are disregarded.
Important: Make sure the Formula Type is set to "Per Order" when creating a plan.
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. |
| $spotRate | The conversion rate from the trade currency to the account currency. |
| $price | Price of the trade. |
| $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. |
| $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. |