Fees

MarketGrid has the ability to levy fees on a per-trade basis.

Depending on market configuration, Fees may be charged to either the buyer and seller in a trade, or the maker and taker.

When MarketGrid is configured to track cash balances, the maximum fee payable against an order (resulting from any combination of fills against that order) will be reserved at the time of order entry, so that it is not possible for fees to reduce an account's balance below zero.

Fee value and currency

Fees are always calculated on the SettlementValue of an order or trade and are always in the same Currency as the SettlementValue, (the order’s or trade’s SettlementCurrency) using the same implied decimals as the SettlementValue.

Default fee calculations on InstrumentMarkets

InstrumentMarkets are the individual Products traded on MarketGrid. Each is an instance of an Instrument on a Market.

For each InstrumentMarket, there is a default method that is used for the calculation of trade fees, unless over-ridden for a particular Firm. The method is determined using the following parameters.

FeeBasis

The FeeBasis parameter controls the way that fees are calculated. It is one of the following values.

FeeType

The FeeType parameter controls to whom fees are charged. It is one of the following:

Buyer/seller fees

If the FeeType is BuySell then the following parameters will be used:

FeeBuy and FeeSell

The values used for fee calculation may be different for the buy and sell side of the trade. The value of FeeBuy is used for calculations for the buy trade and FeeSell is used for calculations for the sell side.

MinFeeBuy, MinFeeSell, MaxFeeBuy, MaxFeeSell

MinFeeBuy, MinFeeSell and MaxFeeBuy, MaxFeeSell may be used to set a minimum and maximum fee for buy and sell trades respectively. If the calculated fee is less than the minimum value, then the minimum value will be used and similarly for the maximum. If these are set to zero, then there is no minimum (or maximum).

Maker/taker fees

If the FeeType is MakerTaker, the way that fees are calculated depends on whether the calculation is on an incoming order, a trade, or an RFQ.

For an incoming order, the fee is initially calculated using the higher of the maker or taker fee on the order. This is because at order entry time, we do not know whether the order quantity will be matched as maker, taker or some combination of both so the maximum fee that could be required is used to check against the Holding balance in the SettlementCurrency.

For a trade, the fee is calculated appropriately using either the maker or the taker value for the appropriate side of the trade.

For a trade generated from an RFQ (and for the purposes of reserving cash for an RFQ) the BuySell fee type is always used, regardless of the applicable FeeType configuration. This is because there is no maker or taker for an off-book trade.

If the FeeType is MakerTaker, then the following parameters will be used (other than for RFQs as described above):

FeeMaker and FeeTaker

The values used for fee calculation may be different for the maker and taker side of the trade. The value of FeeMaker is used for calculations for the maker trade and FeeTaker is used for calculations for the taker side.

MinFeeMaker, MinFeeTaker, MaxFeeMaker, MaxFeeTaker

MinFeeMaker, MinFeeTaker and MaxFeeMaker, MaxFeeTaker may be used to set a minimum and maximum fee for maker and taker trades respectively. If the calculated fee is less than the minimum value, then the minimum value will be used and similarly for the maximum. If these are set to zero, then there is no minimum (or maximum).

Calculation examples

The following examples show how the fee parameters determine the fee for a trade where the FeeType is BuySell. The example considers a buy trade with quantity 1,000 and value $12,000. It would work similarly for a sell trade (using SellFee and MinSellFee).

Fee parameter setup

For each InstrumentMarket, the parameters for fee calculations (described in the previous section) are inherited from the first entity in the following list which has a FeeBasis value other than NotSet:

1. InstrumentMarket->Market
2. InstrumentMarket->InstrumentGroup
3. InstrumentMarket->Instrument
4. InstrumentMarket->Currency->InstrumentGroup
5. InstrumentMarket->Currency->Instrument

If no applicable fee configuration is found, the InstrumentMarket's FeeBasis is set to NoFee.

Firm– and Enterprise-level fees

It is possible to override the default fee calculation for an Instrument (or for all Instruments) for a particular Firm (or for all the Firms in an Enterprise), by assigning a FeeSet to the Firm (or Enterprise). A FeeSet is a set of one or more Fee records that define the parameters to be used when calculating the fee for an Instrument, or for all Instruments.

FeeSet table

The FeeSet table defines the FeeSet records that are available to assign to Firms or Enterprises. Each FeeSet record is simply a name for that FeeSet. The table definition is as follows.

Fee table

The Fee table defines the Fee records that belong to each FeeSet. The table definition is as follows.

Assigning a FeeSet to a Firm and Enterprise

Each Firm and Enterprise has a FeeSet field where the FeeSet to be used for that Firm or Enterprise is defined. This is optional, it need not be set. For each trade, the fee parameters to be used for calculating the fee are determined as follows.

1. If the trade’s Firm has a FeeSet and that FeeSet includes a Fee record for the trade’s Instrument or for all Instruments (the Fee record has Instrument set to NULL), then use the parameters from that Fee record.
2. else if the Enterprise of the trade’s Firm has a FeeSet that FeeSet contains a Fee record for the trade’s Instrument or for all Instruments (the Fee record has Instrument set to NULL), then use the parameters from that Fee record.
3. else use the default parameters for the trades InstrumentMarket.

FeeSet examples

The following examples show how the fee parameters for a trade are determined. We have static data as follows.

FeeSet table

Fee table

Firm table

Trades

Fees for trades will be calculated as follows.