commission per share

[ionaz]

Hi Ninjatrader

Where shall I add commission per share so that it goes into the backtest results?
I have a broker charging 0.5$ per trade plus 0.0039$ per 1 share.
When I run backtest only 0.5$ part is relected.

Please have a look at my commission settings in the attachment.

Thanks

[NinjaTrader_Jason]

Hello ionaz,

You will need to setup commissions for 'Simulator' and the instrument type you intend to backtest in the Strategy Analyzer.

A flat commission (minimum commission) will apply commissions per side per order.
A tiered level (commission level) will apply commissions per side per contract/share.

Make sure you enable 'Apply commissions to PnL calculations' at Control Center-->Tools-->Options-->General-tab once you setup commissions.

For example, if you like a commission of $2.00 per order per side, please enter a minimum commission of 2. A commission of $2 will be calculated for the entire order per side. So if you submit an order for 5 contracts, it will calculate a commission of $2 per side, which is a total of $4 per the entire order.

If you like a commission of $2.00 per contract, please enter a commission level of 2/99999999. Each contract traded will calculate a commission of $2 per side. So if you submit an order for 5 contracts, a commission of $2 * 5 is calculated per side, which is $20 for the entire order.

Please note that the commissions will only apply for trades after you setup commissions. It is not possible to apply commissions for the trades in your Word document.

So please use a commission level of 0.0039/99999999 in combination with a minimum commission of 0.5.

[ionaz]

Hi Jason

Thanks very much for you post.
I've done everything as per your advice, but unfortunately it doen't work. Commission is calculated but only partially, the 0.0039 per share is not calculated.

I've attached everything for your judgement. can you pls have a look and see if I did it right.

Regards

Jonas

[NinjaTrader_Jason]

Hello ionaz,

I see commissions calculated when I enter a minimum commission of 0.0039. However it is rounded to 2 decimals. Each trade shows a commission of 0.01 (0.0078 is rounded to 0.01).

Unfortunately it does not support more than 2 decimals.

Do you see the same commissions if you are only using a commission level - delete the minimum commission.

[ionaz]

Hi Jason

Do you see the same commissions if you are only using a commission level - delete the minimum commission.

I've tried this and got very strange results:

1. $ 10.31 - with just 0.0039/share
2. $ 942.5 - with just min commission ($0.5/order)
3. $ 942.5 - with min + 0.0039/share

So I don't see why option 2 and option 3 return the same result. Option 1 shows that the 0.0039/share works but only alone (when $0.5/order is wswitched off). In other words I'd expect the option 3 to return an overall 942.5+10.31 = 952.81, but it only returns the option 2 result.

I've restarted the backtest each time I made changes to the commission settings.
I've attached the commission settings (this is what I referred as option 3 in this post).

[NinjaTrader_Jason]

I can reproduce the issue on my end. I will need to check with development. Once there is news, I will let you know.

In the mean time, I suggest to use the commission level and manually add the minimum commission of $1 per trade.

[ionaz]

Ok Jason

I look forward to your reply then.

Regards

Jonas

[NinjaTrader_Jason]

Hello Jonas,

Unfortunately I do not have a response yet - we are still investigating.

I will let you know once there is news regarding the matter.

[ionaz]

Hi Jason

Thanks, I look forward to hearing from you.

[NinjaTrader_Matthew]

Hello,

The minimum commission and commission levels are not going to be added together.

If you define a commission level, it will overwrite anything you have in the minimum commissions. This value is just there to ensure you get charged at least X amount.

If I'm following you correctly, I'm not familiar with a commission structure that takes one value for each trade and adds that to another value for each contract traded. If this is in fact how your broker is changing you, we unfortunately we not have the option to calculate your commissions in this manner.