Trading Fee Models for Maker, Taker, Directional, and Flat Charges

Summary

The document presents a fee-model design for a trading system, with fees calculated from an order’s execution details. Common fees distinguish maker orders, which add liquidity, from taker orders, which remove it. The fee amount can be proportional to transaction value, proportional to executed quantity, or a flat charge per trade. These models use the relevant maker or taker rate when calculating the charge.

A directional fee structure adds buyer-specific and seller-specific charges on top of the common maker or taker fee. For value-based fees, both components apply to transaction value; for quantity-based fees, the common component uses executed quantity while the directional component uses value. This supports markets with charges such as transaction taxes that differ by trade direction. The source is implementation code and gives no example rates, market-specific rules, or validation results. Users must ensure that the chosen basis and fee rates match their venue and that order side, maker status, execution quantity, and transaction value are represented consistently.

Key ideas

• Common fees distinguish maker orders from taker orders.
• Fees can be computed from transaction value, executed quantity, or as a flat amount per trade.
• Directional fees add buyer-specific or seller-specific charges to common fees.
• Quantity-based directional models combine a quantity-based common charge with a value-based directional charge.
• The code defines calculation structures but does not provide market-specific rates or validation evidence.

Tags

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