Developing commission libraries
Author: RA81
Creation Date: 5/27/2009 2:09 AM
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RA81

#1
sorry fo my poor english.


I have some questions to developers:

1. in the Wiki thereis the comission dll. Community.comission.dll but there is no source for it. Can i get it somewere?? My broker comission is in percent of trade. If trade costs 100$ than broker take 0.03% of comission = $0.03.
may be you can explain parameters of this function public abstract double Calculate(WealthLab.TradeType tradeType, WealthLab.OrderType orderType, double orderPrice, double shares, WealthLab.Bars bars) , especially WealthLab.Bars bars?


2. if we can write dll for comission< can we write dll for position sizing? if we can please explain protected and public properties and methods of class public class PositionSize and how i should use it?


3. if i set Risk of 1 trade = 1% of equity, what equity WLD use? is it current equity or start equity?
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Eugene

#2
Hi,

1. It makes sense to hold your horses regarding developing Commission libraries in 5.1. There was a limitation that didn't allow you to select or store options. In addition, the documentation is not yet available. Once WLD 5.4 is released, there will be some interface changes in it.

2. No, it's not possible. A general guideline is, if you're not seeing some properties/methods or a class documented in the QuickRef, they are left undocumented. Wealth-Lab 5 contains a number of APIs to extend the application, for example, like data providers. However, at the moment these documents are not available. As of version 5.3/5.4, WLD/WLP will not yet have support for custom position sizing like it's been in Wealth-Lab 4, but we expect this feature to arrive late this year.

3. WL5 will use the current equity, marked to market.
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RA81

#3
ok lets go


1. It is much better for me to write a little dll for comission calculation than wait several month for WLD 5.4. Please help with the source of Community.comission.dll


2. quickref is good thing but looking straight into dll-s helps me with understanding core function of WLD much better. I think it is a good idea to give tools for developer and they will add all they want. Everybody will win.
Just some more docs :). This is all we need.


WLD 5 seems very good for strategy testing with new .NET tech. Thank you for it
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Eugene

#4
The application, Wealth-Lab Pro/Developer, belongs to Fidelity who ultimately decides which part of their property to document or exemplify for that matter. Although I understand your point, the docs and code will appear if and when Fidelity decides to make them public.

Even then, exposing the PositionSize properties will not help because all Strategies are pre-executed with 1 share per Position before applying position sizing. What you (and we all) really need is the coming support for PosSizers.
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RA81

#5
ok. lets wait for a new version :((((
Fidelity should look at Google :). It use open source with big profits.
its offtop.

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RA81

#6
ok. have finished with Comission dll with 0.03% comission for Trade. If any Want source just post about it.

very simple code.
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Eugene

#7
Thank you for the offer, it's appreciated. Please note that percentage commission is going to be supported in WLD5 starting from 5.3/5.4 (in Community.Commissions).

In the current build (5.1), a UI doesn't exist to allow for customization of the values--so you'd have to build a DLL for each value or do that through an XML/INI file which is not user-friendly.
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RA81

#8
QUOTE:
In the current build (5.1), a UI doesn't exist to allow for customization of the values--so you'd have to build a DLL for each value or do that through an XML/INI file which is not user-friendly.


i know, but everybody can change 1 string in the code and recompile :). still waiting for a new release.
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iliakan

#9
Could you please post the stuff or maybe e-mail me to
CODE:
Please log in to see this code.
?
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Cone

#10
At this point % commissions don't exist in Community.Commissions. If you can confirm that the percentage commission is function of shares * price, then I can add that for the 5.4 release.
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iliakan

#11
I'm using latest WL5 and there is no % commission. I need 0.05%.

P.S. Couldn't acquire Community.Commissions dll. Is it available nowadays?
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Eugene

#12
Percentage commission is sort of traditional in the region where the posters are coming from. For example, in WL4 that translates to:
CODE:
Please log in to see this code.
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iliakan

#13
Eugene: you mean:
CODE:
Please log in to see this code.
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RA81

#14
i'd make it this way for my comission of 0.03% for trade

CODE:
Please log in to see this code.


to CONE: here you are.


to iliakan: send it to you
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iliakan

#15
Hi, RA81.

Thanks, but the code did not reach me.
Did you remove spaces in email? :)