Fee Schedule Formulas

Owned by Oleg Barshay
Last updated: Jul 03, 2012

Fee schedules are formulas in a simplified language (a modified version of the PHP programming language) that specify how much to charge or rebate for specific trading activity.  

For each direct fee category (Commission, Exchange, NSCC, Clearing, TAF, SEC, and Misc) there can be one schedule in effect at a time but different schedules can be in effect for different accounts.  

There are four formula types:

Formula TypeWhen to UseFormula FrequencySample Plan
Per ExecutionSimple "per share" or "percentage of value" plans.Once for every "regular" fill. A regular fee is a fill that is not a journal, not canceled and does not have fees set manually. Fees are posted on every applicable fill.

$0.50/1000

$quantity * 0.0005;
Per Order Schedules with a per ticket component.

Once for every order.  PropReports groups executions into orders based on the Order Id.  Fees are posted on the last fill for each order.

$0.50 / 1000, $10 maximum per ticket

min(10, $quantity * 0.0005);
Per SymbolPer symbol / per side plans.Once for every instrument traded per day per account. Fees are posted on the last fill for that instrument for the day.

$1.50 fee per symbol per side, plus $0.50/1000

return $quantity * 0.0005 + 
    ($quantityBought > 0 ? 1.50 : 0) + 
    ($quantitySold > 0 ? 1.50 : 0);
Fee RulesWhen specifying an ECN fee schedule or any other schedule that contains a large number of conditional fees.

Once for every "regular" fill. Fees are posted on every applicable fill.
dst=EDGA {
    penny=true {
        liq=A => -0.001%
        liq=B => 0.003%
    }
    liq=A => -0.002
    liq=B => 0.0002
}
=> 0.0005