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Commission on trades
Shane Dooley
posted Jul 7, 2015

I want to know if commision for each trade is automatically calculated on each order in the backtester? So if I say order(sid('aapl'), 10) will the price of that order automatically include 10*commisionRate? Looking through the documentation this is what makes me think that it is: 

# **These are the default commission and slippage settings**.  Change them to fit your  
# brokerage fees. These settings only matter for backtesting.  When you trade this  
# algorithm, they are moot - the brokerage and real market takes over.  
set_commission(commission.PerTrade(cost=0.03))  
set_slippage(slippage.VolumeShareSlippage(volume_limit=0.25, price_impact=0.1))

And by "default commission settings" I assume they mean that these are automatically set at runtime so I don't have to set them? In addition, can someone who trades live comment on how accurate the defaults are?

Thanks!

1 response
Alisa Deychman
Jul 8, 2015

Hi Shane, the price will not include the commission. It's included in the cost_basis which is the volume-weighted average price paid (price and commission) per share in this position. Your backtest returns take the commissions into account.

The default commission is a guideline - if you don't change the setting the default parameters will be used. When you go live, the slippage and commission settings are ignored - you get the market fills and broker commission prices.

You can tune these parameters to better simulate your strategy. If you'd like to closely simulate live trading with Interactive Brokers, I suggest to use the $.0075/share parameter. We are going to update the default commission model with this setting.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.