[ts-gen] Handling commissions and fees

R P Herrold herrold at owlriver.com
Tue Sep 15 12:01:11 EDT 2009


On Tue, 15 Sep 2009, Paul C wrote:

> On Tue, Sep 15, 2009 at 11:07:19PM +0900, Ken Feng wrote:
>> Does commissions for trades and periodic fees (exchange, financing,
>> etc...) show up anywhere in the trade responses (ShimText) or in the
>> journaling tables?

see Paul's extract below

>> If not, is there a way to query for them?

my just released posts says:  I know of no direct way to do so

> That -29.260000 above appears to be a "realised P&L" which includes two
> $2.13 commissions (i.e. a loss of $25 (5 points on the DOW mini
> futures YM) + $4.26 commissions)
>
> That's one way.  Maybe theres a better way!

One hates to see the loss to get at the commission data, but 
yes ;)

The results are almost certainly settled by IB in the Base 
currency for the account although here USD is shown

Paul's method of inference works, but the problem is that one 
needs to track pre and post pricing for every trade for all 
held assets -- so as to be able to factor out price 
fluctuations in currencies and securities -- in anything but 
the simplest of cases, this would quickly becomes a nightmare

-- Russ herrold


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