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Realistic commission for live trading?
Carlo Contavalli
posted May 21, 2015

I see that set_commission defaults to $0.03 commission per share. I see that the Interactive Broker web site in the fixed plan defines
"USD 0.005 per share USD 1.00 up to 0.5% of trade value". But then the notes say on one side:

All exchange fees are included.

... and the other:

Plus the applicable exchange, ECN and/or specialist fees based on execution venue.

Where the link for "fees on execution value" point to the same page.

So... if you've done live trading with IB, what are the real transaction costs? Anything else that should be added? How do you use set_commission to match reality, or at least to closely resemble it?

3 responses
Simon Thornington
May 21, 2015

Personally in my backtests I use slippage of $0.01, commission of $0.0035 and minimum commission of $0.35. That has been roughly my experience for small orders.

Carlo Contavalli
May 22, 2015

oh, you probably use a tiered plan, rather than a fixed plan? In that case, though, $0.0035 per share does not include Exchange Fees, Clearing Fees, and Transaction Fees? Which can be another $0.0020? or even 0.017 depending on the exchange? Or am I reading the documentation incorrectly?

Matthew Wilkinson
Jan 15, 2016

I've started looking into the same thing. What did you decide? IB should have a calculator. What bothers me is in IB, before you submit an order you can preview it. It shows estimated commissions, w/ quite a range -.01 to .65 cents for something as simple as apple. I spoke w/ their support, and after you place an order the commissions are supposed to be visible on the trade log.

Trading small volumes w/ the tiered structure makes sense.

I'm also interested in using the IB relative orders, as mentioned here in help. Looks great - by providing mkt liquidity one can save some money on fees while limiting slippage.

Under IB's Tiered pricing structure:

commission per share: USD 0.0035
maximum per order: 0.5% of trade value

additional exchange fees, example NYSE: any shares that are > $1 per share
market order (removing liquidity from market) 0.00275
limit order (adding liquidity to market) 0.0000

any shares that are < $1 per share
market order (removing liquidity from market) 0.003
limit order (adding liquidity to market) 0.0000

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