Setting Futures Commissions in a BigQuant Backtest

Summary

This forum entry shows a BigQuant initialization example for setting futures commissions through a per-contract commission object. The configuration maps an instrument to separate rates for opening, closing, and same-day closing trades, then passes the mapping into the backtest context. The author reports a realized fee total and a fee-to-traded-value ratio from the resulting trade records, asking why the configured rate appears not to take effect. A close-position time is also set in the initialization routine.

The entry supplies a configuration example and an observed discrepancy, but it contains no reply or diagnosis. It does not establish whether the difference comes from contract multiplier treatment, commission units, trade mix, platform defaults, or another setting. The displayed ratio should therefore be treated as the author’s calculation, not as a verified platform result or general commission rule. The material can help identify where to configure costs and what to inspect, but it does not resolve the issue or show a corrected backtest.

Key ideas

• The example configures futures commissions by instrument with distinct open, close, and same-day close rates.
• It applies the commission mapping during strategy initialization.
• The author compares the recorded fees with a rate calculated from trading value and observes a mismatch.
• The post provides no explanation or confirmed fix for the discrepancy.
• Commission units and platform handling need verification before interpreting backtest results.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.