fees.hpp File Reference

Fee rates per instrument, in centi-basis-points (integer) of the fill notional. More...

#include "fastmm/core/enums.hpp"
#include "fastmm/core/fixed_point.hpp"
#include "fastmm/core/instrument.hpp"
#include <array>
#include <cstdint>
#include <type_traits>

Go to the source code of this file.

Classes
struct	fastmm::FeeRates
	One maker/taker pair. 1 cbps == 0.01 bps == 1e-6 of the notional. More...
class	fastmm::FeeTable

Namespaces
namespace	fastmm

Detailed Description

Fee rates per instrument, in centi-basis-points (integer) of the fill notional.

Sign convention: a POSITIVE rate is a fee the account pays, a NEGATIVE rate is a rebate the account receives. maker_bps = 10 is Binance spot VIP 0 (0.1 %), maker_bps = -0.5 is a maker rebate of half a basis point.

FeeTable is a default pair plus per-instrument overrides. The configuration maps each venue's [venues.<name>.fees] onto the instruments of that venue and [[instruments]] maker_bps / taker_bps override one instrument (fee_table, config/config.hpp). The simulated venue charges fills with it (sim::FeeModel is this type) and the engine hands the same table to strategies (StrategyContext::fees).