Commission

[NinjaTrader_Jason]

Hello Geo,

You can setup tiered commissions in NinjaTrader 7, so a commission will be calculated for each contract (unit) instead of the entire order. Please see the link below for instructions.

http://www.ninjatrader.com/support/helpGuides/nt7/commission_tab.htm

[geoninja]

Hello Jason,

Would you ,mind, please, re-reading the second half of my original message?

Futures brokerages offer tiered commission levels, but it is entirely different from the "tiered commissions" in NT. At the start of the month, I pay $3.80 RT per ES contract. Once I have traded more than 1000 RTs in the current month, my per contract commission decreases to $3.60. It drops further after more than 5000 contracts traded in the current month, etc.

This is not possible to set up in NT, yet this is how tiered futures commissions work at every futures brokerage I know. This is basic functionality, it should be included in NT7 final, IMHO.

Thank you for your response.

Geo

[NinjaTrader_Jason]

Hello Geo,

It is possible to setup such tiered commissions in NinjaTrader. Please see the screenshot for an example.

I used a value of $1.9, so it will calculate a commission of $3.8 per round turn per contract.

However these settings will not reset each month. You could reset your database at the beginning of each month to clear all historical trade data. That way the commission settings will start fresh.

You could transfer your trade history via the Account Performance-tab to Excel to save your trade history before you reset the database. Right click in the Account Performance-tab and select Grid-->Export to Excel.

[geoninja]

Hello Jason,

Thank you for your response. Unfortunately, you seem to misinterpret the way Ninja works with "tiered commission levels". In my understanding, the settings you posted cause Ninja to choose the commission level to apply for the current trade based on *lot size*, as it is usually done for stocks. However, this is not how futures are treated in real life. My ES per contract, per side commissions are completely independent of the lot size of the trade, they depend only on the total number of contracts traded (RTs) in the current month.

Please, read my description again in post #17, and the second half of post #13. Thank you.

Geo

[NinjaTrader_Jason]

Hello Geo,

No, a commission level is not based on lot size but the amount of contacts you already traded.

If you setup a commission level as per the screenshot in post #18, it will calculate a commission of 1.9 for the first 1000 contracts you will trade.

Once you traded 1000 contracts, it will apply a commission of 1.8 up to 5000 contracts. Any contract you trade there after will use a commission of 1.7.

[geoninja]

Hello Jason,

With all due respect, I find your response perplexing. If you take the time to set up the commissions and post the image, why not go all the way and actually test what you write?

I have just done it on a Zen Sim connection, and unfortunately, I need to stand by my earlier statement, i.e. NT can not be set up to use tiered commission levels for futures. NT does use commission levels based on lot size, which is the generally accepted way for stocks, but not for futures. This happens with both global and instrument-specific commission levels set up.

For real-life, tiered futures commission levels to work NT should keep track of all units traded in current month (RTs, more precisely), should keep track of this on a per instrument basis (since that is what brokers do!), and apply commissions based on the actual monthly total RTs for the instrument (since that is what brokers do). None of this happens now.

As mentioned earlier, just keeping track of all RTs traded for the current month for every instrument traded, and putting an information row into the Performance Summary page would be a step in the right direction.

I do not want to repeat everything I have already written regarding this, let me refer you to my messages further up.

Thank you for your response.

Proof of the pudding attached:

[NinjaTrader_Brett]

Geo,

This is Brett responding for Jason.

I have read your previous emails. I understand what you mention. Your saying that once you trade enough volume in the month on a counter at the start of the month your commissions level actually drops.

I've been in futures for quite a while and this is the first time I have heard of this commission setup. Also you are correct you are not able to setup the commission setup in NinjaTrader currently to reflect this per month commission setup and reduction.

I will send it into development as a suggestion to add in a future version of NinjaTrader. As it stands now you will need to manually adjust the commission level down once your have crossed the commission threashold to reduce your commissions.

For our information for development, what broker that we support works in this fashion that your connected too?

Let me know if I can be of further assistance.

[geoninja]

Brett,
Thank you for your response. Yes, my impression is that you do understand the problem, to my relief.

Yes, I am aware that the only way to use really tiered futures commissions (based on per instrument monthly trading volume) is to manually change the commission set up once the respective volume levels get passed. However, currently there is no way to get that crucial piece of information from NT: the total RTs traded month-to-date for the current instrument.
NT does tell me the total number of trades placed MTD on the Performance Summary page. As such, it should be fairly easy to add a row to the report with the total number of contracts/shares traded in the period selected (of course, one would also filter on the instrument to get this info).
Currently, I do need to rely on Excel for this, and honestly, *I* do feel ashamed to have to...

To respond to your question, what futures broker do You use that does not give you discounted commissions based on monthly trading volume?

But really, IB, Mirus, AMP, Velocity, TradeStation all give you volume-tiered commissions. Who does not, really??

Geo

[NinjaTrader_Brett]

Hello,

Your understanding is correct.

Correct however I had not personally seen it reset counter at the beginning of the month though this could be the case. Usually in my experience its once you have trading that amount of volume for the quarter or longer you will continue to get the low commission rate, you dont get dropped back down to the high commission rate every month if you are a high volume trader you get a fixed commission rate for the quarter, as a suggestion I might contact my broker and discuss this option with him if you are trading this many contracts as this seems a little off to me based on my experience with some brokers.

Let me know if I can be of further assistance.