[ts-gen] Handling commissions and fees

[R P Herrold]

On Wed, 16 Sep 2009, Ken Feng wrote:

> Well, my "simple view" is that when I click on the Trades button in
> TWS, I see rows with trades with the commission at the end.  All I
> want is that commission column for a given row!

* chuckle* and I would like a pony  ;)

> Somehow, TWS is able to calculate and/or receive the information from
> the upstream - I, too, would like to have that number, for
> reconciliation purposes.

I started yesterday's long post with:

> Earlier TWS API versions did not, although I know that there 
> have been 'vote for features' requests for it
> 
> From a review of the Java sources in later TWS versions, I 
> do NOT find it is yet supported in the API levels available 
> to the shim ...

and although I knew that the GUI had some method available to 
it to access this information, limited my discussion only to 
that subset of what the GUI gets, which is exposed to the shim 
through the API.

As a simplified example, a screenshot from 2 Nov 2006 is at:
 	http://www.trading-shim.org/screenshots/061102-fast-fills.jpg 
and shows the clock widget in the lower right corner.  For the 
longest time, IB did not expose a 'official time' request and 
message pair to the API, even though what time the markets 
think it is is essential for certain "close to the closing 
tim" strategies.  The question came up webinar after webinar 
before it was added, and it was a hot topic on the IB provided 
mesage board.

At first I too was frustrated with the complexity of the API, 
and the seemingly ornate methods of starting and stopping 
subscription streams, forming orders, etc -- but IB has a 
really hard task of trying to make the TWS able to handle the 
Forex trader in Japan, the commodities trader in New Zealand, 
the futures trader in the UK, and more, all under the TWS, and 
all with some parts of the GUI exposed to the socket API, and 
all in a fashion that can be 'grown' in the future without 
breaking its 'in the field' installed base.

Remember that from IB (and their options subsidiary Timber 
Hill)  point of view it is CRITICALLY IMPORTANT to them to not 
give existing customers a reason to re-open the question of 
re-examining the platform to trade through, because they might 
lose an account to self-induced churn [and thus both the 
commissions, but also the wide visibility presumeably 
integrated into their backend -- they have certainly indicated 
that they watch via computers, order flow most carefully and 
re-hedge on a sub-second basis continuously in their 
conference calls to Wall St -- disclaimer: I hold a position 
in IBKR] ;)

The remedy on a desired feature is to use the IB method for 
requesting it -- if / when it appears, we at the shim well be 
at a development map point to slot it in fairly directly. 
Similarly a customer of ours may pay us to advance getting it 
(or most other features -- we'll quote prices on request) 
in on our roadmap before we would otherwise normally do it [we 
are happy to keep our customers happy as well]

with my best regards,

-- Russ herrold