Fix bug in repeated count and other misc

Author: LouisSzeto

Algorithm.CSharp/InteractiveBrokersTieredFeeModelAlgorithm.cs

@@ -77,7 +77,8 @@ public override void OnOrderEvent(OrderEvent orderEvent)
             {
                 // Assert if the monthly traded volume is correct in the fee model.
                 _monthlyTradedVolume += orderEvent.AbsoluteFillQuantity;
-                var modelTradedVolume = _feeModel.MonthTradedVolume[SecurityType.Equity];
+                // Month volume will update only at the next scan, so we add this fill quantity.
+                var modelTradedVolume = _feeModel.MonthTradedVolume[SecurityType.Equity] + orderEvent.AbsoluteFillQuantity;
                 if (_monthlyTradedVolume != modelTradedVolume)
                 {
                     throw new Exception($"Monthly traded volume is incorrect - Actual: {_monthlyTradedVolume} - Model: {modelTradedVolume}");
@@ -116,32 +117,32 @@ public override void OnOrderEvent(OrderEvent orderEvent)
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
             {"Total Orders", "36"},
-            {"Average Win", "0.00%"},
-            {"Average Loss", "0.00%"},
-            {"Compounding Annual Return", "-2.237%"},
-            {"Drawdown", "0.000%"},
-            {"Expectancy", "-0.486"},
+            {"Average Win", "0.02%"},
+            {"Average Loss", "-0.05%"},
+            {"Compounding Annual Return", "-26.786%"},
+            {"Drawdown", "0.600%"},
+            {"Expectancy", "-0.658"},
             {"Start Equity", "1000000000"},
-            {"End Equity", "999762433.94"},
-            {"Net Profit", "-0.024%"},
-            {"Sharpe Ratio", "-8.397"},
-            {"Sortino Ratio", "-11.384"},
+            {"End Equity", "996730872.35"},
+            {"Net Profit", "-0.327%"},
+            {"Sharpe Ratio", "-7.559"},
+            {"Sortino Ratio", "-9.624"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "75%"},
             {"Win Rate", "25%"},
-            {"Profit-Loss Ratio", "1.06"},
-            {"Alpha", "-0.035"},
-            {"Beta", "0.009"},
-            {"Annual Standard Deviation", "0.003"},
-            {"Annual Variance", "0"},
-            {"Information Ratio", "-5.78"},
-            {"Tracking Error", "0.269"},
-            {"Treynor Ratio", "-2.319"},
-            {"Total Fees", "$185772.29"},
-            {"Estimated Strategy Capacity", "$11000000.00"},
+            {"Profit-Loss Ratio", "0.37"},
+            {"Alpha", "-0.358"},
+            {"Beta", "0.098"},
+            {"Annual Standard Deviation", "0.027"},
+            {"Annual Variance", "0.001"},
+            {"Information Ratio", "-7.11"},
+            {"Tracking Error", "0.245"},
+            {"Treynor Ratio", "-2.105"},
+            {"Total Fees", "$4126697.73"},
+            {"Estimated Strategy Capacity", "$180000000.00"},
             {"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
-            {"Portfolio Turnover", "2.37%"},
-            {"OrderListHash", "d35a4e91c145a100d4bffb7c0fc0ff35"}
+            {"Portfolio Turnover", "40.56%"},
+            {"OrderListHash", "bd43a7c7f61e734a7dbc06180af8fc36"}
         };
     }
 }

Algorithm.Python/InteractiveBrokersTieredFeeModelAlgorithm.py

@@ -50,9 +50,10 @@ def on_data(self, slice: Slice) -> None:
             self.market_on_close_order(self.bac, -60000)
 
     def on_order_event(self, order_event: OrderEvent) -> None:
-        if order_event.status != OrderStatus.FILLED:
+        if order_event.status == OrderStatus.FILLED:
             # Assert if the monthly traded volume is correct in the fee model.
             self.monthly_traded_volume += order_event.absolute_fill_quantity
-            model_traded_volume = self.fee_model.monthly_trade_volume[SecurityType.EQUITY]
+            # Month volume will update only at the next scan, so we add this fill quantity.
+            model_traded_volume = self.fee_model.monthly_trade_volume[SecurityType.EQUITY] + order_event.absolute_fill_quantity
             if self.monthly_traded_volume != model_traded_volume:
-                raise Exception(f"Monthly traded volume is incorrect - Actual: {self.monthly_traded_volume} - Model: {model_traded_volume}")
+                raise Exception(f"Monthly traded volume is incorrect - Actual: {self.monthly_traded_volume} - Model: {model_traded_volume}")

Common/Orders/Fees/InteractiveBrokersFeeHelper.cs

@@ -166,7 +166,7 @@ internal static void ProcessCryptoRateSchedule(decimal monthlyCryptoTradeAmountI
         internal static decimal CalculateForexFee(Security security, Order order, decimal forexCommissionRate, 
             decimal forexMinimumOrderFee, out decimal fee, out string currency)
         {
-            // get the total order value in the account currency
+            // get the total order value in USD.
             var totalOrderValue = Math.Abs(order.GetValue(security));
             var baseFee = forexCommissionRate*totalOrderValue;
 
@@ -270,8 +270,9 @@ internal static void CalculateEquityFee(decimal quantity, decimal tradeValue, st
         /// </summary>
         internal static void CalculateCfdFee(Security security, Order order, out decimal fee, out string currency)
         {
-            var value = order.AbsoluteQuantity * order.Price;
-            fee = 0.00002m * value; // 0.002%
+            var securityPrice = order.Quantity > 0 ? security.AskPrice : security.BidPrice;
+            var value = order.AbsoluteQuantity * (securityPrice == 0m ? security.Price : securityPrice);
+            fee = 0.0001m * value; // 0.01%
             currency = security.QuoteCurrency.Symbol;
 
             var minimumFee = security.QuoteCurrency.Symbol switch
@@ -294,7 +295,7 @@ internal static decimal CalculateCryptoFee(Security security, Order order, decim
             var totalTradeValue = Math.Abs(order.GetValue(security));
             var cryptoFee = cryptoCommissionRate*totalTradeValue;
             // 1% maximum fee
-            fee = Math.Max(Math.Min(totalTradeValue * 0.01m, cryptoFee), cryptoMinimumOrderFee);
+            fee = Math.Max(Math.Min(totalTradeValue * 0.01m, cryptoMinimumOrderFee), cryptoFee);
             // IB Crypto fees are all in USD
             currency = Currencies.USD;
 

Common/Orders/Fees/InteractiveBrokersTieredFeeModel.cs

@@ -46,6 +46,7 @@ public class InteractiveBrokersTieredFeeModel : FeeModel
         // List of Option exchanges susceptible to pay ORF regulatory fee.
         private static readonly List<string> _optionExchangesOrfFee = new() { Market.CBOE, Market.USA };
         private Dictionary<SecurityType, decimal> _monthlyTradeVolume;
+        private Dictionary<Order, decimal> _volumeByOrder = new();
 
         /// <summary>
         /// The traded volume by security type for selecting the corresponding tier on the current month.
@@ -85,6 +86,20 @@ public InteractiveBrokersTieredFeeModel(decimal monthlyEquityTradeVolume = 0, de
             };
         }
 
+        private void UpdateMonthVolume()
+        {
+            foreach (var (order, volume) in new Dictionary<Order, decimal>(_volumeByOrder))
+            {
+                // Tier only changed by the filled volume.
+                if (order.Status == OrderStatus.Filled)
+                {
+                    _monthlyTradeVolume[order.SecurityType] += volume;
+                    // Remove the processed order.
+                    _volumeByOrder.Remove(order);
+                }
+            }
+        }
+
         /// <summary>
         /// Reprocess the rate schedule based on the current traded volume in various assets.
         /// </summary>
@@ -117,10 +132,13 @@ public override OrderFee GetOrderFee(OrderFeeParameters parameters)
             var order = parameters.Order;
             var security = parameters.Security;
 
+            // Update the monthly volume with filled quantity.
+            UpdateMonthVolume();
             // Reset monthly trade value tracker when month rollover.
             if (_lastOrderTime.Month != order.Time.Month && _lastOrderTime != DateTime.MinValue)
             {
                 _monthlyTradeVolume = _monthlyTradeVolume.ToDictionary(kvp => kvp.Key, _ => 0m);
+                _volumeByOrder.Clear();
             }
             // Reprocess the rate schedule based on the current traded volume in various assets.
             ReprocessRateSchedule(_monthlyTradeVolume[SecurityType.Equity], _monthlyTradeVolume[SecurityType.Future], _monthlyTradeVolume[SecurityType.Forex],
@@ -147,7 +165,8 @@ public override OrderFee GetOrderFee(OrderFeeParameters parameters)
             {
                 case SecurityType.Forex:
                     // Update the monthly value traded
-                    _monthlyTradeVolume[SecurityType.Forex] += InteractiveBrokersFeeHelper.CalculateForexFee(security, order, _forexCommissionRate, _forexMinimumOrderFee, out feeResult, out feeCurrency);
+                    var forexTradedValue = InteractiveBrokersFeeHelper.CalculateForexFee(security, order, _forexCommissionRate, _forexMinimumOrderFee, out feeResult, out feeCurrency);
+                    _volumeByOrder[order] = forexTradedValue;
                     break;
 
                 case SecurityType.Option:
@@ -167,14 +186,14 @@ public override OrderFee GetOrderFee(OrderFeeParameters parameters)
                     feeResult += regulatory + transaction + clearing;
 
                     // Update the monthly value traded
-                    _monthlyTradeVolume[SecurityType.Option] += quantity * orderPrice;
+                    _volumeByOrder[order] = quantity * orderPrice;
                     break;
 
                 case SecurityType.Future:
                 case SecurityType.FutureOption:
                     InteractiveBrokersFeeHelper.CalculateFutureFopFee(security, quantity, market, _futureFee, out feeResult, out feeCurrency);
                     // Update the monthly contracts traded
-                    _monthlyTradeVolume[SecurityType.Future] += quantity;
+                    _volumeByOrder[order] = quantity;
                     break;
 
                 case SecurityType.Equity:
@@ -198,16 +217,17 @@ public override OrderFee GetOrderFee(OrderFeeParameters parameters)
                     feeResult += regulatoryFee + clearingFee + exchangeFee + passThroughFee;
 
                     // Update the monthly volume shares traded
-                    _monthlyTradeVolume[SecurityType.Equity] += quantity;
+                    _volumeByOrder[order] = quantity;
                     break;
 
                 case SecurityType.Cfd:
                     InteractiveBrokersFeeHelper.CalculateCfdFee(security, order, out feeResult, out feeCurrency);
                     break;
 
                 case SecurityType.Crypto:
+                    var cryptoTradedValue = InteractiveBrokersFeeHelper.CalculateCryptoFee(security, order, _cryptoCommissionRate, CryptoMinimumOrderFee, out feeResult, out feeCurrency);
                     // Update the monthly value traded
-                    _monthlyTradeVolume[SecurityType.Crypto] += InteractiveBrokersFeeHelper.CalculateCryptoFee(security, order, _cryptoCommissionRate, CryptoMinimumOrderFee, out feeResult, out feeCurrency);
+                    _volumeByOrder[order] = cryptoTradedValue;
                     break;
 
                 default:

Common/Orders/Fees/InteractiveBrokersTieredFeeModel.py

@@ -29,6 +29,7 @@ class InteractiveBrokersTieredFeeModel(FeeModel):
     last_order_time = datetime.min
     # List of Option exchanges susceptible to pay ORF regulatory fee.
     option_exchanges_orf_fee = [Market.CBOE, Market.USA]
+    volume_by_order = {}
 
     def __init__(self, monthly_equity_trade_volume: float = 0, monthly_future_trade_volume: float = 0, monthly_forex_trade_amount_in_us_dollars: float = 0,
         monthly_options_trade_amount_in_contracts: float = 0, monthly_crypto_trade_amount_in_us_dollars: float = 0) -> None:
@@ -60,6 +61,14 @@ def __init__(self, monthly_equity_trade_volume: float = 0, monthly_future_trade_
             SecurityType.OPTION: monthly_options_trade_amount_in_contracts,
             SecurityType.CRYPTO: monthly_crypto_trade_amount_in_us_dollars
         }
+
+    def update_month_volume(self) -> None:
+        for order, volume in self.volume_by_order.copy().items():
+            # Tier only changed by the filled volume.
+            if order.status == OrderStatus.FILLED:
+                self.monthly_trade_volume[order.security_type] += volume
+                # Remove the processed order.
+                self.volume_by_order.pop(order)
 
     def reprocess_rate_schedule(self, monthly_equity_trade_volume: float, monthly_future_trade_volume: float, monthly_forex_trade_amount_in_us_dollars: float,
         monthly_options_trade_amount_in_contracts: float, monthly_crypto_trade_amount_in_us_dollars: float) -> None:
@@ -166,9 +175,12 @@ def get_order_fee(self, parameters: OrderFeeParameters) -> OrderFee:
         order = parameters.order
         security = parameters.security
 
+        # Update the monthly volume with filled quantity.
+        self.update_month_volume()
         # Reset monthly trade value tracker when month rollover.
         if self.last_order_time.month != order.time.month and self.last_order_time != datetime.min:
             self.monthly_trade_volume = {key: 0 for key in self.monthly_trade_volume.keys()}
+            self.volume_by_order = {}
         # Reprocess the rate schedule based on the current traded volume in various assets.
         self.reprocess_rate_schedule(self.monthly_trade_volume[SecurityType.EQUITY],
                                      self.monthly_trade_volume[SecurityType.FUTURE],
@@ -190,7 +202,7 @@ def get_order_fee(self, parameters: OrderFeeParameters) -> OrderFee:
             fee_result, fee_currency, trade_value = self.calculate_forex_fee(security, order, self.forex_commission_rate, self.forex_minimum_order_fee)
 
             # Update the monthly value traded
-            self.monthly_trade_volume[SecurityType.FOREX] += trade_value
+            self.volume_by_order[order] = trade_value
 
         elif security.Type == SecurityType.OPTION or security.Type == SecurityType.INDEX_OPTION:
             fee_result, fee_currency, order_price = self.calculate_option_fee(security, order, quantity, market, self.option_fee)
@@ -204,13 +216,13 @@ def get_order_fee(self, parameters: OrderFeeParameters) -> OrderFee:
             fee_result += regulatory + transaction + clearing
 
             # Update the monthly value traded
-            self.monthly_trade_volume[SecurityType.OPTION] += quantity * order_price
+            self.volume_by_order[order] = quantity * order_price
 
         elif security.Type == SecurityType.FUTURE or security.Type == SecurityType.FUTURE_OPTION:
             fee_result, fee_currency = self.calculate_future_fop_fee(security, quantity, market, self.future_fee)
 
             # Update the monthly value traded
-            self.monthly_trade_volume[SecurityType.FUTURE] += quantity
+            self.volume_by_order[order] = quantity
 
         elif security.Type == SecurityType.EQUITY:
             trade_value = abs(order.get_value(security))
@@ -233,7 +245,7 @@ def get_order_fee(self, parameters: OrderFeeParameters) -> OrderFee:
             fee_result += regulatory + exchange + clearing + pass_through
 
             # Update the monthly value traded
-            self.monthly_trade_volume[SecurityType.EQUITY] += quantity
+            self.volume_by_order[order] = quantity
 
         elif security.Type == SecurityType.CFD:
             fee_result, fee_currency = self.calculate_cfd_fee(security, order)
@@ -242,7 +254,7 @@ def get_order_fee(self, parameters: OrderFeeParameters) -> OrderFee:
             fee_result, fee_currency, trade_value = self.calculate_crypto_fee(security, order, self.crypto_commission_rate, self.crypto_minimum_order_fee)
 
             # Update the monthly value traded
-            self.monthly_trade_volume[SecurityType.CRYPTO] += trade_value
+            self.volume_by_order[order] = trade_value
 
         else:
             # unsupported security type

Launcher/config.json

@@ -9,7 +9,7 @@
   "environment": "backtesting", // "live-paper", "backtesting", "live-interactive", "live-interactive-iqfeed"
 
   // algorithm class selector
-  "algorithm-type-name": "BasicTemplateFrameworkAlgorithm",
+  "algorithm-type-name": "InteractiveBrokersTieredFeeModelAlgorithm",
 
   // Algorithm language selector - options CSharp, Python
   "algorithm-language": "CSharp",

Tests/Common/Orders/Fees/InteractiveBrokersFeeModelTests.cs

@@ -101,14 +101,18 @@ public void USAFutureFee(Symbol symbol, decimal expectedFee)
             Assert.AreEqual(1000 * expectedFee, fee.Value.Amount);
         }
 
-        [TestCase("USD", 70000, 0.00002 * 70000)]
-        [TestCase("USD", 100000, 0.00002 * 100000)]
-        [TestCase("USD", 10000, 1)] // The calculated fee will be under 1, but the minimum fee is 1 USD
-        [TestCase("JPY", 3000000, 0.00002 * 3000000)]
-        [TestCase("JPY", 1000000, 40)]// The calculated fee will be under 40, but the minimum fee is 40 JPY
-        [TestCase("HKD", 600000, 0.00002 * 600000)]
-        [TestCase("HKD", 200000, 10)]// The calculated fee will be under 10, but the minimum fee is 10 HKD
-        public void CalculatesCFDFee(string quoteCurrency, decimal price, decimal expectedFee)
+        [TestCase("USD", 70000, 1, 0.0001 * 70001)]
+        [TestCase("USD", 100000, 1, 0.0001 * 100001)]
+        [TestCase("USD", 70000, -1, 0.0001 * 69999)]
+        [TestCase("USD", 100000, -1, 0.0001 * 99999)]
+        [TestCase("USD", 100, 1, 1)] // The calculated fee will be under 1, but the minimum fee is 1 USD
+        [TestCase("JPY", 3000000, 1, 0.0001 * 3000001)]
+        [TestCase("JPY", 3000000, -1, 0.0001 * 2999999)]
+        [TestCase("JPY", 10000, 1, 40)]// The calculated fee will be under 40, but the minimum fee is 40 JPY
+        [TestCase("HKD", 600000, 1, 0.0001 * 600001)]
+        [TestCase("HKD", 600000, -1, 0.0001 * 599999)]
+        [TestCase("HKD", 2000, 1, 10)]// The calculated fee will be under 10, but the minimum fee is 10 HKD
+        public void CalculatesCFDFee(string quoteCurrency, decimal price, decimal quantity, decimal expectedFee)
         {
             var security = new Cfd(Symbols.DE10YBEUR,
                 SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
@@ -119,10 +123,9 @@ public void CalculatesCFDFee(string quoteCurrency, decimal price, decimal expect
                 new SecurityCache());
             security.QuoteCurrency.ConversionRate = 1;
 
+            security.SetMarketPrice(new Tick(DateTime.UtcNow, security.Symbol, price-1m, price+1m));
 
-            security.SetMarketPrice(new Tick(DateTime.UtcNow, security.Symbol, price, price));
-
-            var order = new MarketOrder(security.Symbol, 1, DateTime.UtcNow);
+            var order = new MarketOrder(security.Symbol, quantity, DateTime.UtcNow);
             var fee = _feeModel.GetOrderFee(new OrderFeeParameters(security, order));
 
             Assert.AreEqual(quoteCurrency, fee.Value.Currency);