Interactive Brokers FIX Interface.

[volpunter]

Well, I do not believe commissions matter, unless of course you trade higher frequencies with short holding periods. But even then you should do an entirely segregated analysis, TCA.

For all else commission should not matter other than as a business related expense. You also do not include your desk rent or data feed cost and break it down for each trade.

I don't need to know it as part of the submission process per se, I store the commission cost against the order as I receive execution reports, this seemed a fairly logically thing to do, as the profit loss reported not inclusive of the commission. If I want to track P/L in real-time, I don't see any other way to do it, it is the cost of the order after all. To turn the question around, what's the benefit of doing it the way you're doing it?

 

[Craig66]

Well, commissions are critical for me. I'll mull over your analogy though.

 

[volpunter]

then hard-code them in your system. The derivation is static. It is a trivial calculation.

Well, commissions are critical for me. I'll mull over your analogy though.