Fee Rules

Fee rules are a concise way to specify an ECN fee schedule or any other schedule that contains a large number of conditional fees.

How the Rules Work
 

1. Rules are processed first to last for every execution. 
2. The first rule in the list that matches determines the fee.
3. If no rule matches, the fee received from the data source is left unchanged.

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

Creating a Rule

Below is a sample rule:

    route=ARCA,ARCAPOP;penny=true;liq=A => 0.003

    route=ARCA,ARCA=,ARCAPOP;penny=true;liq=A => 0.003
    => 0.005 

Unless otherwise specified, conditions are not case sensitive and support a variety of operators: =, != (not equals), >=, >, <=, <

Wildcards / Partial Matches

For = and != operators you can specify a partial value to match by using the wildcard symbol: % (PropReports version 1.5.97.14.74 and greater).  

This could be useful for capturing routes or symbols with a common prefix without having to list them all. For example, route=ARCA% will match any execution where route begins with ARCA (e.g. ARCA and ARCAPOP).  Likewise, symbol=/KC% will match all symbols that start with /KC (e.g. /KCH4 and /KCK5) .  

You can also specify the wildcard at the end of the text to match.  For example symbol=%.TO will match any symbol with a suffix of .TO.

Please be aware that entering a % anywhere else in the text or both at the beginning and the end will match the percent sign.  This means route=A%B will only match the exact route A%B  and route=%AB% will only match the exact route %AB%.

In the very rare case you need to match text that actually ends or begins with a percent sign you can escape it by prepending a '\'  For example route=XYZ\% will match the exact route and route=\%XYZ  will match the route %XYZ.

AND-ing conditions

Sometimes you may require ALL of a multiple set of conditions, and you can do so with the use of the semi-colon character ";". For example, let's say you want to select trades where both the destination is set to EDGA and the contra is set to BATS. 

    route=EDGA;contra=BATS => 0.003

OR-ing conditions

Sometimes you may want to match more than one set of conditions, and you can do so with the use of the comma character ",". 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):

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

Slicing 

Sometimes you may want to match one particular character placed in the nth position of a string in order to assess a fee based on that sliced character.  You can use brackets [ ] to do so and note that you can use this with non-numeric comparison operators (!= and =).   Using [] or [:] alone will have no effect.   Slicing is available beginning in version 1.6.5.68.

Example: In the Liq field there is an eight character string of "ABCDEFGH".  The following examples of slicing could be used:

Fees

Positive fees are charges, negative fees are rebates. There are four ways to assess a fee or rebate:

You can also specify a minimum/maximum of two or three fees (available in PropReports v1.5.91.17 and greater):

Markup/Markdown

To mark up or mark down a received (original) fee you can specify a fee as follows (PropReports v1.5.97.14.36 and greater): 

 Important: When using in Fee Rules plan, the fee that is being marked up/down is the computed Exchange Fee.  If you need to mark up/down a different trade fee, you will need to use this within a Per Execution plan type.

Blocks

To avoid repeating the same condition you can specify blocks.

Instead of:

You can use:

Blocks can also be nested.  For example: 

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.