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How to simulate market maker credit? #486067
06/06/22 21:27
06/06/22 21:27
Joined: Aug 2021
Posts: 101
M
MegaTanker Offline OP
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MegaTanker  Offline OP
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M

Joined: Aug 2021
Posts: 101
Let's say the exchange grants you 0.0005% of the trade volume as credit for every maker order that get's taken. Can Zorro simulate this? It's technically a negative commission but Zorro interprets negative values for the Commission variable as a percentage based commission, not a credit.

Re: How to simulate market maker credit? [Re: MegaTanker] #486068
06/06/22 21:32
06/06/22 21:32
Joined: Feb 2017
Posts: 1,806
Chicago
AndrewAMD Offline
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AndrewAMD  Offline
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Joined: Feb 2017
Posts: 1,806
Chicago
Just use enterTrade.

Re: How to simulate market maker credit? [Re: MegaTanker] #486071
06/07/22 07:26
06/07/22 07:26
Joined: Apr 2008
Posts: 594
Austria
Petra Offline
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Petra  Offline
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Joined: Apr 2008
Posts: 594
Austria
0.0005% is probably irrelevant for backtests. If you want still simulate it, add it to the Balance variable after entering the trade.

Re: How to simulate market maker credit? [Re: MegaTanker] #486074
06/07/22 18:57
06/07/22 18:57
Joined: Aug 2021
Posts: 101
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MegaTanker Offline OP
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MegaTanker  Offline OP
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Joined: Aug 2021
Posts: 101
I realized you can set a negative Spread which will be added to the Balance instead of subtracted. Probably a little more intuitive than manually setting the Balance but similar.

Re: How to simulate market maker credit? [Re: MegaTanker] #486087
06/08/22 13:49
06/08/22 13:49
Joined: Feb 2017
Posts: 1,806
Chicago
AndrewAMD Offline
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AndrewAMD  Offline
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Joined: Feb 2017
Posts: 1,806
Chicago
I actually wrote about this on my blog:
https://www.vitaltrades.com/2020/07/14/adding-exact-fee-and-credit-calculations-to-zorro/

So basically, you can set Commission to 0 for your trading asset, and then use a dummy asset to add complex commissions calculations in the form of standalone trades with profits/losses.


Moderated by  Petra 

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