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      Mariner Backtesting - Commissions

      Commission

      When calculating Net Profit/Loss, Cloudquant factors in several fees and commissions that are charged by the exchange or brokerage the order was placed with.

      Below is a table describing the major fee types and how they are calculated.

      Fee Name Description
      fee_brokerage Brokerage fees charged by a broker for routing/placing/etc. an order
      fee_exchange Fees the exchange charged
      rebate_exchange Rebates the exchange paid for providing liquidity
      fee_regulatory Fees charged by regulatory agencies (SEC and FINRA)
      fee_clearing The clearing house fee
      total_commission This is the sum of all of the above fields

      The brokerage, exchange, and clearing fees are calculated by looking up an associated value in a table of commissions. This table is shown below with examples.

      Regulatory Fees

      Regulatory fees charged by the SEC and FINRA are calculated with the two following formulas for sales of shares only. SEC fee:

      abs(number_of_shares_sold * price * .0000218)

       

      FINRA fee:

      abs(min(number_of_shares_sold, 50000) * .000119)

       

      The FINRA fee is capped at 50000 shares. So, if you sell 63000 shares, you will be charged for the sale of 50000 shares.

      Table of fees

       

       

      Algorithm Name Algorithm GUID Clearing Fee (per share) Exchange Fee (per share) Exchange Rebate (per share) Brokerage Fee (per share) Execution Fee (per execution)
      add_trade acbe2048-817b-4fa5-9c2b-fc60edd5568d 0 0 0 0.0 0.0
      arca_ioc_buy_prog_apollo ac88423a-cb44-4e8b-9ca3-8104c091842d 0.0007 0.003 -0.002 0.0 0.0
      arca_ioc_buy_script 61936a17-b249-4342-8959-fef3edb96e93 0.0007 0.003 -0.002 0.0 0.0
      arca_ioc_buy_script_apollo f05365c7-408e-4db2-87d0-e3608d5a1039 0.0007 0.003 -0.002 0.0 0.0
      arca_ioc_sell_prog_apollo f338f60d-10ad-4560-94d4-96aefecc8e83 0.0007 0.003 -0.002 0.0 0.0
      arca_ioc_sell_script 43e3ee45-5516-4881-9dce-2fdff9741410 0.0007 0.003 -0.002 0.0 0.0
      arca_ioc_sell_script_apollo 5366bcdd-6cb8-4570-b328-f4d04e733be1 0.0007 0.003 -0.002 0.0 0.0
      arca_loc_buy a03c2644-0cad-42d6-9922-44f1e534ee11 0.0007 0.0012 0 0.0 0.0
      arca_loc_sell 24c5a68c-dded-40b0-85a2-30482a333f35 0.0007 0.0012 0 0.0 0.0
      arca_loo_buy f629b2e1-2896-4b50-931c-e068b19e413f 0.0007 0.0015 0 0.0 0.0
      arca_loo_sell 03d615b9-e74a-4831-a2b7-503c547662dd 0.0007 0.0015 0 0.0 0.0
      arca_midpoint_limit_buy b259cf8b-7e19-4c44-9d39-3ee7fa297516 0.0007 0.003 0.0015 0.0 0.0
      arca_midpoint_limit_sell d1d6eca0-63b5-42db-8f5b-10df055a1f92 0.0007 0.003 0.0015 0.0 0.0
      arca_moc_buy df58779e-22f2-47a1-afa5-ce5ed0fc095d 0.0007 0.003 0 0.0 0.0
      arca_moc_sell 28bfb89c-93f9-45b1-b414-f79aa16865c5 0.0007 0.003 0 0.0 0.0
      arca_moo_buy 48c76891-2d0b-424e-91de-480d15718761 0.0007 0.003 0 0.0 0.0
      arca_moo_sell b5729f26-67a8-4256-a9cc-9685a4614287 0.0007 0.003 0 0.0 0.0
      bats_ioc_buy_script f3b4beac-a70b-4953-97e0-fd7d2a0f7ee0 0.0007 0.003 -0.002 0.0 0.0
      bats_ioc_buy_script_apollo ca67c43c-aec0-45e5-8eed-d780ab41fbd8 0.0007 0.003 -0.002 0.0 0.0
      bats_ioc_sell_script a033a317-51bc-4fe7-84e1-ebe3023c67bd 0.0007 0.003 -0.002 0.0 0.0
      bats_ioc_sell_script_apollo 951e83ad-cd70-4355-b8b3-2d046b91eb4d 0.0007 0.003 -0.002 0.0 0.0
      bats_limit_buy_script 7a6228ad-dc9d-4377-8b2e-99e8ebb90152 0.0007 0.003 -0.002 0.0 0.0
      bats_limit_sell_script f8328375-d95c-4c10-aa7e-0c7fecf13336 0.0007 0.003 -0.002 0.0 0.0
      bats_midpoint_limit_buy ee3904b3-c2a7-476b-bb79-2695871c8cf9 0.0007 0.003 -0.002 0.0 0.0
      bats_midpoint_limit_sell 4a6d660f-fdc7-4c42-9b7e-522cf0308657 0.0007 0.003 -0.002 0.0 0.0
      chx_ioc_buy_script 51229d6c-8a94-4c18-ae6e-8bd91c9685d5 0.0007 0.0033 0 0.0 0.0
      chx_ioc_sell_script 69a73663-c255-42e0-98ef-71b337da5a3a 0.0007 0.0033 0 0.0 0.0
      edga_ioc_buy_script 951a550d-2be3-452e-bd27-a93037b3dd46 0.0007 0.003 -0.002 0.0 0.0
      edga_ioc_sell_script d1b6c9bc-2b54-491d-869f-44e4310199c9 0.0007 0.003 -0.002 0.0 0.0
      edga_ioc_sell_script_apollo 8e0f3d16-1be3-4599-a143-be49bf7e10fc 0.0007 0.003 -0.002 0.0 0.0
      edgx_ioc_buy_script 99fe9af5-d783-4ce3-bf67-897be245c3e5 0.0007 0.003 -0.002 0.0 0.0
      edgx_ioc_buy_script_apollo b0386412-8d06-4d75-b335-85b0067dd374 0.0007 0.003 -0.002 0.0 0.0
      edgx_ioc_sell_script ea93b405-8bff-4175-94b7-ec21576c4021 0.0007 0.003 -0.002 0.0 0.0
      edgx_ioc_sell_script_apollo bd1eb2fe-0608-42e8-9965-284e5c25b786 0.0007 0.003 -0.002 0.0 0.0
      floor_loc_buy dcd42fdf-190c-420a-9fed-08b32210d11e 0.0007 0.0007 0 0.0 0.0
      floor_loc_sell ad4ec364-54c1-45b5-8d83-dbb9c81256ec 0.0007 0.0007 0 0.0 0.0
      floor_loo_buy e9a2e0a0-ea3f-4b00-a29c-98ae628f78f5 0.0007 0.0007 0 0.0 0.0
      floor_loo_sell db1f87b2-7335-42c0-8bdb-eb225edf19c1 0.0007 0.0007 0 0.0 0.0
      floor_moc_buy db7606ad-4a28-4d1f-9ee7-8f2987ca74b6 0.0007 0.0007 0 0.0 0.0
      floor_moc_sell a8afc758-184c-4dfa-8866-b35af4958f2f 0.0007 0.0007 0 0.0 0.0
      floor_moo_buy e15f4f03-0667-495f-b7ca-db8e0d5ca757 0.0007 0.0007 0 0.0 0.0
      floor_moo_sell cbffe042-0c56-426b-afb9-ffbc5e9ed141 0.0007 0.0007 0 0.0 0.0
      iex_ioc_buy_script_router e695b6d5-908a-48e2-b69b-e1934ceb1a6c 0.0007 0.0009 0.0009 0.0 0.0
      iex_ioc_sell_script_router f403da2f-ccd7-4719-a76d-718f753baaae 0.0007 0.003 -0.002 0.0 0.0
      iex_midpoint_limit_buy 37ae01d7-bf10-4b13-8ea8-aeedd59fcfbd 0.0007 0.0009 0.0009 0.0 0.0
      iex_midpoint_limit_sell 5b451365-f413-4bb5-8490-59438987bc7f 0.0007 0.0009 0.0009 0.0 0.0
      inet_ioc_buy_script 61c86974-24d3-4c55-b99f-d87c444be0e5 0.0007 0.003 -0.002 0.0 0.0
      inet_ioc_sell_script 35f156b3-19c2-402e-8bf2-08ec862399af 0.0007 0.003 -0.002 0.0 0.0
      letb_arca_ioc_sell_script d8dc870c-9785-4e55-91fe-6e34bb91d072 0.0007 0.003 -0.002 0.001 0.0
      letb_arca_loc_buy f02acc58-09b2-4d19-940b-b477626abb0a 0.0007 0.0012 0 0.001 0.0
      letb_arca_loc_sell f82f2265-b154-4cf2-b14f-591d4d17bdb3 0.0007 0.0012 0 0.001 0.0
      letb_arca_loo_buy 1941f1ed-eaff-4a48-865f-9bf812b9a30d 0.0007 0.0015 0 0.001 0.0
      letb_arca_loo_sell bf0e2147-36c0-4f9f-9386-bf2dbebef262 0.0007 0.0015 0 0.001 0.0
      letb_arca_moc_buy 5941aaac-ee97-4dc5-8691-8f8c21b145b6 0.0007 0.0012 0 0.001 0.0
      letb_arca_moc_sell 14cb4454-2361-4f91-a3b4-743c25b11b4d 0.0007 0.0012 0 0.001 0.0
      letb_bats_ioc_buy_script cd8d6499-4da3-4bf1-834a-bdd6cec48bd0 0.0007 0.003 -0.002 0.001 0.0
      letb_bats_ioc_sell_script 6f8fb323-c5b5-4ef5-80d1-c4634b7d0041 0.0007 0.003 -0.002 0.001 0.0
      letb_floor_moc_buy e158abda-f7b6-46d4-9dec-87d846ae0202 0.0007 0.0007 0 0.001 0.0
      letb_floor_moc_sell be4398e3-e8c4-4668-89ae-691cb29ac8ef 0.0007 0.0007 0 0.001 0.0
      letb_inet_ioc_buy_script 495fdd0d-fde7-4418-a823-65b5881c6b00 0.0007 0.003 -0.002 0.001 0.0
      letb_inet_ioc_sell_script 1cf5a19e-a927-415d-9338-25bb7cc47479 0.0007 0.003 -0.002 0.001 0.0
      letb_nasdaq_loc_buy f43bfec5-7597-43be-b0e4-27f7e0e2ef7f 0.0007 0.0015 0 0.001 0.0
      letb_nasdaq_loo_buy dc33f114-90cd-4ea6-92f6-9930fd960cda 0.0007 0.0015 0 0.001 0.0
      letb_nasdaq_loo_buy_io 16e475c4-c7ec-4dd3-9486-5fef12fe6faf 0.0007 0.0015 0 0.001 0.0
      letb_nasdaq_loo_sell 97e36ac0-6ad6-4dcc-a4bc-2db43a69e633 0.0007 0.0015 0 0.001 0.0
      letb_nasdaq_loo_sell_io bc273e89-f5f9-4f91-9fe6-cd495e84f96b 0.0007 0.0015 0 0.001 0.0
      letb_nasdaq_moc_buy c85c5c24-b4b7-4790-80c2-c39cc0489059 0.0007 0.0015 0 0.001 0.0
      letb_nasdaq_moc_sell a4e60976-a4f1-4c8a-98f0-f9e75311a5fb 0.0007 0.0015 0 0.001 0.0
      letb_nyse_loc_buy dda5620f-5ffa-4e74-af4c-5dc8b2bde86b 0.0007 0.0011 -0.002 0.001 0.0
      letb_nyse_loc_sell c3b38737-08a8-4367-92cc-0ed5fdd286d4 0.0007 0.0011 -0.002 0.001 0.0
      letb_nyse_loo_buy ad488cdc-29ae-49ad-9cfe-e9c9d6af89a7 0.0007 0.001 -0.002 0.001 0.0
      letb_nyse_loo_sell 08a77de9-5559-4a29-bdaa-7594203cda1d 0.0007 0.001 -0.002 0.001 0.0
      letb_nyse_moc_buy f760c714-607a-49b7-8e7c-f122d2463719 0.0007 0.0011 -0.002 0.001 0.0
      letb_nyse_moc_sell 67dc33c9-712c-43c9-9d62-e2db88410662 0.0007 0.0011 -0.002 0.001 0.0
      letb_nyse_moo_buy d78434a0-af82-4938-919e-fe3bc2392a1a 0.0007 0.001 -0.002 0.001 0.0
      letb_nyse_moo_sell f31a17bb-f2f0-4d25-aa75-4ec09adbd0f1 0.0007 0.001 -0.002 0.001 0.0
      lime_midpoint_limit_buy 4e69745f-5410-446c-9f46-95ec77050aa5 0.0007 0.003 -0.002 0.001 0.0
      lime_midpoint_limit_sell 23d56e4a-ca4e-47d0-bf60-7d07da2038b7 0.0007 0.003 -0.002 0.001 0.0
      nasdaq_ioc_buy_script 875eab48-7177-4db1-8c1f-6da593bc5db6 0.0007 0.003 -0.002 0.0 0.0
      nasdaq_ioc_buy_script_apollo e3053616-d12f-474d-8982-4072dcd319c6 0.0007 0.003 -0.002 0.0 0.0
      nasdaq_ioc_sell_script 66844a9a-fa8e-4f7a-bf75-bcdb5354b645 0.0007 0.003 -0.002 0.0 0.0
      nasdaq_ioc_sell_script_apollo c3235b6b-9ada-4381-b701-ea3a56f1e9cd 0.0007 0.003 -0.002 0.0 0.0
      nasdaq_loc_buy a3d068a6-f2ba-4270-b029-57eb455decae 0.0007 0.0015 0 0.0 0.0
      nasdaq_loc_buy_io f7221ac9-7178-4e9e-baca-d68199c06c95 0.0007 0.00085 0 0.0 0.0
      nasdaq_loc_sell e1302f13-3c4b-4d07-b43d-b7b32f29700a 0.0007 0.0015 0 0.0 0.0
      nasdaq_loc_sell_io 3120f982-e103-4175-8421-9966bf665c96 0.0007 0.00085 0 0.0 0.0
      nasdaq_loo_buy 8a8b1b72-8224-4a57-8e49-618e0e80bd01 0.0007 0.0015 0 0.0 0.0
      nasdaq_loo_buy_io c582f7b3-0f83-4eb0-a776-b50527c833cb 0.0007 0.00085 0 0.0 0.0
      nasdaq_loo_sell a8f38ef2-85b4-461e-9ab7-49f9c84d59d2 0.0007 0.0015 0 0.0 0.0
      nasdaq_loo_sell_io 0a7411a7-fa34-4293-805d-14fb4e77e6b9 0.0007 0.00085 0 0.0 0.0
      nasdaq_moc_buy e8d1c66b-e8c7-4756-b29f-080b55fc58bb 0.0007 0.0015 0 0.0 0.0
      nasdaq_moc_sell 39f6e5fe-3782-4119-8c75-9b7e3558e5cb 0.0007 0.0015 0 0.0 0.0
      nasdaq_moo_buy 38448f6d-2fa5-421b-945e-ca0f1ec6f4c4 0.0007 0.0015 0 0.0 0.0
      nasdaq_moo_sell be6c7d04-0023-4874-adb2-f5aa9d5a67bd 0.0007 0.0015 0 0.0 0.0
      nasdaq_to_cboe_ioc_buy_script 281ab456-cf8c-43a1-9578-17d66f1c76c5 0.0007 0.003 -0.002 0.0 0.0
      nasdaq_to_cboe_ioc_sell_script 3cbde4b3-3a6c-4f50-b954-57ca3a2bc298 0.0007 0.003 -0.002 0.0 0.0
      nyse_loc_buy a4f5de75-1f6c-4bb5-bea5-c649c4515a8e 0.0007 0.0011 0 0.0 0.0
      nyse_loc_sell 8e15d90b-5842-4e6a-81ea-5d404400913c 0.0007 0.0011 0 0.0 0.0
      nyse_loo_buy 67ec1474-5fbe-421f-a5a1-083e36302f6f 0.0007 0.001 0 0.0 0.0
      nyse_loo_sell 8b30e0f8-6fac-484f-8641-66716b54f701 0.0007 0.001 0 0.0 0.0
      nyse_moc_buy 45fdb0b4-06b7-4845-ad2b-c4a9610d522e 0.0007 0.0011 0 0.0 0.0
      nyse_moc_sell 3baa4e23-315a-4304-a852-bb476dfee9eb 0.0007 0.0011 0 0.0 0.0
      nyse_moo_buy 7933f7c8-2561-4665-a51d-f67df4eb9fac 0.0007 0.001 0 0.0 0.0
      nyse_moo_sell 3b717b2a-509e-415a-ac43-3d8584d57db8 0.0007 0.001 0 0.0 0.0
      redi_ioc_buy_script 754b2bf8-391b-45eb-b300-75e0ce40ddd2 0.0007 0.003 -0.002 0.0 0.0
      redi_ioc_sell_script 3cc39a4b-58a2-4a61-b3ea-896354bd5fc9 0.0007 0.003 -0.002 0.0 0.0