Interactive Brokers commissions for forex in Strategy Analyzer impossible

[adamus]

Interactive Brokers have a commission structure for forex where they charge 0.00002 ticks per currency unit traded, as per their website:

http://www.interactivebrokers.com/en/p.php?f=commission

The salient point is:

0.2 basis point *Trade Value

where basis point is in the currency being traded, i.e. for GBPUSD 2 basis points equals 0.00003 USD, for EURUSD $0.000025 etc.

So obviously this varies with the exchange rate. I can only enter dollar values for commissions using a fixed exchange rate, so therefore at all other points in the historical data, the commission will be too high or too low, and in some years this can be considerable!

What is required is a currency field in the commissions table. Is this a known issue?

Thanks

[NinjaTrader_ChristopherJ]

Hello adamus,

Thank you for your post.

You may setup commissions within NinjaTrader with a decimal being used as apposed to full dollar amounts only.

Can you please give me an example of the commission charge you would like generated for EUR/USD per pip for $10,000 or $100,000.

I look forward to assisting you further with this issue.

[adamus]

This is what I see in Interactive Brokers (commission is the last column):

SLD    1,000,000    EUR    EUR.USD Cash    1.2789    USD    IDEALPRO    MAY 6 11:50:40    ChartTrader1875153178    25.20
BOT    1,000,000    GBP    GBP.USD Cash    1.50735    USD    IDEALPRO    MAY 6 11:56:26    FxTrader    29.70

As you can see for 1,000,000 of each, I pay €25.20 for Euro/USD and £29.70 for GBP/USD.

[NinjaTrader_ChristopherJ]

I will need to test this on my end and will follow up with you as soon as I gather additional information.

[NinjaTrader_ChristopherJ]

I have tested this on my end and have successfully add commissions for GBPUSD and EURUSD. To add tihs commission please use the steps I have provided below:

• Tools
• Instrument Manager
• Remove GBPUSD from your default list
• Select GBPUSD within the Available instrument list
• Edit
• Misc tab
• Click on the + sign next to IB
• In Commission levels please click on the ... box on the right
• New
• For Commission on the right hand side input 0.00002970 as referenced in the attached screen shot.
• Click Ok
• Click Ok
• Add GBPUSD back to your Default list
• Please use the same steps for EURUSD however you will want to input a value of 0.00002520

Please let me know if I may be of further assistance.

[adamus]

That's using a USD value for the commission which is valid today but will change because of the exchange rate. It needs to be in the original currency.

This is more obvious when you look at non-dollar crosses e.g. EURCHF.

[NinjaTrader_JoshP]

Thanks for the suggestion.

[adamus]

Josh,

just to clarify my previous post, it was less of a suggestion and more of an explanation that NT7 calculates commissions erroneously in backtests and optimizations for IB.

If I'm backtesting GBPUSD, the current rate is 1.5000, and the IB commission is 0.00002 ticks of GBP - or 0.00003 USD.

So I enter 0.000025 USD into NT commissions tab for GBPUSD.

Back in 2007 (which is included in my 10 year backtest) the commission at IB was still 0.00002 ticks of GBP but the rate was 2.0000 so the commission cost me 0.00004 USD.

Therefore the trades for 2007 will be marked with the wrong commission.

[NinjaTrader_ChristopherJ]

Unfortunately commissions can only be configured in USD at this time time within NinjaTrader. I will forward this to our development team for future considerations.