Commissions based on trade outcome
Author: brucev
Creation Date: 11/4/2012 11:56 PM
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brucev

#1

11/4/2012 11:56 PM

Hi,

I would like to create a commission structure based on whether a trade was successful or not.

Something along the lines of:
BUY commission: 0.25%
SELL commission: 0.25% for losing trades, 0.5% for winning trades.

I can't see any way in the current commission structure to tell whether a trade was successful or not.
Any ideas?

Cheers,
Bruce
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Eugene

#2

11/5/2012 1:32 AM

Hi Bruce,

The Commission interface is profitability-agnostic.

I haven't tested it, just off the top of my head. As you can see, the Calculate method accepts a Bars parameter. How about assigning a value that depends on a Position's profitability to its .Bars.Tag property after it's exited, and then read it back in your Commission structure?
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