revert redundnacies, fix bugs

QuantConnect · Dec 8, 2024 · 84e4be8 · 84e4be8
1 parent e66ab8e
commit 84e4be8
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Showing 5 changed files with 441 additions and 440 deletions.
diff --git a/Common/Orders/Fees/InteractiveBrokersFeeHelper.cs b/Common/Orders/Fees/InteractiveBrokersFeeHelper.cs
@@ -24,9 +24,6 @@ namespace QuantConnect.Orders.Fees
     /// </summary>
     internal static class InteractiveBrokersFeeHelper
     {
-        // List of Option exchanges susceptible to pay ORF regulatory fee.
-        private static readonly List<string> _optionExchangesOrfFee = new() { Market.CBOE, Market.USA };
-
         /// <summary>
         /// Determines which tier an account falls into based on the monthly trading volume of Equities (in shares)
         /// </summary>
@@ -195,16 +192,8 @@ internal static decimal CalculateOptionFee(Security security, Order order, decim
             // applying commission function to the order
             var orderPrice = GetPotentialOrderPrice(order, security);
             var optionFee = optionsCommissionFunc(quantity, orderPrice);
-            // Regulatory Fee: Options Regulatory Fee (ORF) + FINRA Consolidated Audit Trail Fees
-            var regulatory = _optionExchangesOrfFee.Contains(market) ? 
-                (0.01915m + 0.0048m) * quantity :
-                0.0048m * quantity;
-            // Transaction Fees: SEC Transaction Fee + FINRA Trading Activity Fee (only charge on sell)
-            var transaction = order.Quantity < 0 ? 0.0000278m * Math.Abs(order.GetValue(security)) + 0.00279m * quantity : 0m;
-            // Clearing Fee
-            var clearing = Math.Min(0.02m * quantity, 55m);
-
-            fee = optionFee.Amount + regulatory + transaction + clearing;
+
+            fee = optionFee.Amount;
             currency = optionFee.Currency;
 
             return orderPrice * quantity;
@@ -247,7 +236,7 @@ internal static decimal CalculateEquityFee(Security security, Order order, decim
             switch (market)
             {
                 case Market.USA:
-                    equityFee = new EquityFee(Currencies.USD, feePerShare: usFeeRate, minimumFee: usMinimumFee, maximumFeeRate: 0.005m);
+                    equityFee = new EquityFee(Currencies.USD, feePerShare: usFeeRate, minimumFee: usMinimumFee, maximumFeeRate: 0.01m);
                     break;
                 case Market.India:
                     equityFee = new EquityFee(Currencies.INR, feePerShare: 0.01m, minimumFee: 6, maximumFeeRate: 20);
@@ -271,16 +260,9 @@ internal static decimal CalculateEquityFee(Security security, Order order, decim
                 tradeFee = maximumPerOrder;
             }
 
-            // FINRA Trading Activity Fee only applies to sale of security.
-            var finraTradingActivityFee = order.Quantity < 0 ? Math.Min(8.3m, quantity * 0.000166m) : 0m;
-            // Regulatory Fees.
-            var regulatoryFee = tradeValue * 0.0000278m             // SEC Transaction Fee
-                + finraTradingActivityFee                           // FINRA Trading Activity Fee
-                + quantity * 0.000048m;                             // FINRA Consolidated Audit Trail Fees
-
             currency = equityFee.Currency;
             //Always return a positive fee.
-            fee = Math.Abs(tradeFee + regulatoryFee);
+            fee = Math.Abs(tradeFee);
 
             return tradeFee;
         }
@@ -606,4 +588,4 @@ public EquityFee(string currency,
             }
         }
     }
-}
+}
diff --git a/Common/Orders/Fees/InteractiveBrokersFeeModel.cs b/Common/Orders/Fees/InteractiveBrokersFeeModel.cs
@@ -164,8 +164,8 @@ private static CashAmount UnitedStatesFutureFees(Security security)
                 exchangeFeePerContract = 1.60m;
             }
 
-            // Add exchange fees
-            return new CashAmount(ibFeePerContract + exchangeFeePerContract, Currencies.USD);
+            // Add exchange fees + IBKR regulatory fee (0.02)
+            return new CashAmount(ibFeePerContract + exchangeFeePerContract + 0.02m, Currencies.USD);
         }
 
         /// <summary>

diff --git a/Common/Orders/Fees/InteractiveBrokersTieredFeeModel.cs b/Common/Orders/Fees/InteractiveBrokersTieredFeeModel.cs
@@ -44,6 +44,8 @@ public class InteractiveBrokersTieredFeeModel : FeeModel
             new Dictionary<string, Func<decimal, decimal, CashAmount>>();
         private Dictionary<SecurityType, decimal> _monthlyTradeVolume;
         private DateTime _lastOrderTime = DateTime.MinValue;
+        // List of Option exchanges susceptible to pay ORF regulatory fee.
+        private static readonly List<string> _optionExchangesOrfFee = new() { Market.CBOE, Market.USA };
 
         /// <summary>
         /// Initializes a new instance of the <see cref="InteractiveBrokersTieredFeeModel"/>
@@ -143,6 +145,17 @@ public override OrderFee GetOrderFee(OrderFeeParameters parameters)
                 case SecurityType.Option:
                 case SecurityType.IndexOption:
                     var orderPrice = InteractiveBrokersFeeHelper.CalculateOptionFee(security, order, quantity, market, _optionFee, out feeResult, out feeCurrency);
+                    // Regulatory Fee: Options Regulatory Fee (ORF) + FINRA Consolidated Audit Trail Fees
+                    var regulatory = _optionExchangesOrfFee.Contains(market) ?
+                        (0.01915m + 0.0048m) * quantity :
+                        0.0048m * quantity;
+                    // Transaction Fees: SEC Transaction Fee + FINRA Trading Activity Fee (only charge on sell)
+                    var transaction = order.Quantity < 0 ? 0.0000278m * Math.Abs(order.GetValue(security)) + 0.00279m * quantity : 0m;
+                    // Clearing Fee
+                    var clearing = Math.Min(0.02m * quantity, 55m);
+
+                    feeResult += regulatory + transaction + clearing;
+
                     // Update the monthly value traded
                     _monthlyTradeVolume[SecurityType.Option] += quantity * orderPrice;
                     break;
@@ -159,14 +172,20 @@ public override OrderFee GetOrderFee(OrderFeeParameters parameters)
                     var tradeFee = InteractiveBrokersFeeHelper.CalculateEquityFee(security, order, quantity, tradeValue, market, _equityCommissionRate, EquityMinimumOrderFee, out feeResult, out feeCurrency);
 
                     // Tiered fee model has the below extra cost.
+                    // FINRA Trading Activity Fee only applies to sale of security.
+                    var finraTradingActivityFee = order.Direction == OrderDirection.Sell ? Math.Min(8.3m, quantity * 0.000166m) : 0m;
+                    // Regulatory Fees.
+                    var regulatoryFee = tradeValue * 0.0000278m             // SEC Transaction Fee
+                        + finraTradingActivityFee                           // FINRA Trading Activity Fee
+                        + quantity * 0.000048m;                             // FINRA Consolidated Audit Trail Fees
                     // Clearing Fee: NSCC, DTC Fees.
                     var clearingFee = Math.Min(quantity * 0.0002m, tradeValue * 0.005m);
                     // Exchange related handling fees.
                     var exchangeFee = InteractiveBrokersFeeHelper.GetEquityExchangeFee(order, (security as Equity).PrimaryExchange, tradeValue, tradeFee);
                     // FINRA Pass Through Fees.
                     var passThroughFee = Math.Min(8.3m, tradeFee * 0.00056m);
 
-                    feeResult = feeResult + clearingFee + exchangeFee + passThroughFee;
+                    feeResult = feeResult + regulatoryFee + clearingFee + exchangeFee + passThroughFee;
 
                     // Update the monthly volume shares traded
                     _monthlyTradeVolume[SecurityType.Equity] += quantity;
@@ -227,8 +246,8 @@ private CashAmount UnitedStatesFutureFees(Security security)
                 exchangeFeePerContract = 1.60m;
             }
 
-            // Add exchange fees
-            return new CashAmount(ibFeePerContract[_futureCommissionTier] + exchangeFeePerContract, Currencies.USD);
+            // Add exchange fees + IBKR regulatory fee (0.02)
+            return new CashAmount(ibFeePerContract[_futureCommissionTier] + exchangeFeePerContract + 0.02m, Currencies.USD);
         }
 
         /// <summary>