FeeModel for IB

[omniv0x]

I have added a FeeModel for IB US Stocks. I still have to figure out how to write tests before I would be able to push any PRs - still wanted to contribute so I thought I'd share it here:

package org.roboquant.brokers.sim
import org.roboquant.brokers.Trade
import org.roboquant.brokers.sim.execution.Execution
import java.time.Instant
import kotlin.math.absoluteValue

/**
*FeeModel for InteractiveBrokers US Stocks, based on the "Fixed Tier" for simplicity.
 */
class IBStocksUSFixedFeeModel() : FeeModel {

    override fun calculate(execution: Execution, time: Instant, trades: List<Trade>): Double {
        val secFee: Double  = 0.000008 * execution.value.absoluteValue
        var finraFee: Double = 0.000145 * execution.size.absoluteValue.toDouble()
        if (finraFee > 7.27) {finraFee = 7.27}  //Maximum USD 7.27 per trade. In the case of partial executions, each execution is considered one trade.
        var commission: Double = execution.size.absoluteValue.toDouble() * 0.005
        if (commission > 0.01 *  execution.value.absoluteValue) {commission = 0.01 * execution.value.absoluteValue}
        if (commission < 1.00) {commission = 1.00} // Minimum per Order: 1.00 USD
        return (commission + secFee + finraFee)
    }
}

In the future a more dynamic approach might be advisable:

package org.roboquant.brokers.sim
import org.roboquant.brokers.Trade
import org.roboquant.brokers.sim.execution.Execution
import org.roboquant.common.AssetType
import java.time.Instant
import kotlin.math.absoluteValue

/**
 *FeeModel for multiple AssetTypes on Interactive Brokers.
 * @constructor specify the assetType)
 */
class IBFeeModel(val assetType: AssetType) : FeeModel{

    override fun calculate(execution: Execution, time: Instant, trades: List<Trade>): Double {
        when(assetType) {
            AssetType.STOCK -> TODO()
            AssetType.OPTION -> TODO()
            AssetType.FUTURES -> TODO()
            AssetType.FOREX -> TODO()
            AssetType.CRYPTO -> TODO()
            AssetType.BOND -> TODO()
            AssetType.CFD -> TODO()
            AssetType.WARRANT -> TODO()
            AssetType.INDEXES -> TODO()
            AssetType.MUTUAL_FUND -> TODO()
            AssetType.COMMODITY -> TODO()
        }
    }
}

[jbaron]

Have to look into details a bit more, but at first glance calculations look indeed correct implementation and nice to have a more realistic fee calculator than the ones that are included !!!

Two remarks:

• It should be part of org.roboquant.ibkr package and module if hardcoded to IBKR fee model. Or perhaps as an alternative make the parameters you use configurable and IBKR could just one of the predefined ones USStocksFixedFeeModel.IBKR(). Then is should be part of org.roboquant.brokers.sim.

• One check that should be added is to throw a Roboquant Configuration exception if the currency is not the expected one. Just to protect people from using this with the wrong currencies. Of course the name is already a clear indication, but general idea behind roboquant is to limit user mistakes if possible.

Great work!!!