Defining Trading Fees

The Fees panel of the Trade windows allows capturing fees for a trade. Fees can be entered manually or can be automatically calculated.

A number of fee types are provided out-of-the-box.

The clearing fee, execution fee and broker fee can be calculated by the system.

 

1. Fee Definition

The fee types must first be registered using Configuration > Fees, Haircuts, & Margin Calls > Fee Definition from the Calypso Navigator (menu action trading.FeeDefinitionWindow).

Step 1 - For the Clearing fee and Execution fee, enter a fee type – It will identify the fee throughout the system. Select the role Clearer. Check Transfer and Accounting. Set the default calculator to FeeGrid and save.

You can also check Price if you want to include the fee in the NPV.

Step 2 - For the broker fee, set the fee type to BRK. Select the role Broker. Check Transfer and Accounting. Set the default calculator to FeeGrid and save.

You can click Help for complete details on using this window.

 

1.1 Fee Grid

Then you can specify under what conditions the fees should be calculated using Configuration > Fees, Haircuts, & Margin Calls > Fee Grid from the Calypso Navigator.(menu action refdata.FeeGridWindow) as shown below.

»

Configure a fee grid for each fee, and save. Note that the description is mandatory.

 

»

The fees can be half-turn (computed upon trade capture), or round-turn (computed only when the trades are liquidated, expired, or exercised).

»

To compute round-turn fees, check the “Round Turn” checkbox. The fees will be computed using the ROUND_TURN_FEES scheduled task

 

1.2 Sample Round Turn Fees

For example, the Clearing Fee is set as “Round Turn”, and the Execution fee is not.

This Clearing fee is not computed upon trade capture, but the Execution fee is.

•

Sample Buy trade:

•

Sample Sell Trade

The trades are tagged as “Round Turn” through the trade keyword ROUND TURN = True.

 Ⓘ   [NOTE: You can add the keyword to the domain if it is not visible]

»

When you run the ROUND_TURN_FEES scheduled task, liquidation trades tagged as “Round Turn” (sell trades, expiration trades, exercise trades) are amended, and the round turn fee is added, for the liquidated portion.

The Sell trade is amended and the Clearing fee is computed

 

2. Workflow Setup

The trade rule AutomaticFees must be placed on the trade workflow using Configuration > Workflow > Workflow Configuration from the Calypso Navigator.(menu action refdata.WorkFlowJFrame).