What percentage of your gross PnL is commission?

Please vote in the poll and briefly mention the products you trade (equities, futures etc.) and your trading style (scalping, swing trading etc.) in the thread together with the percentage figure.

Please note, the question relates to all-in commission, that includes all brokerage, exchange, regulatory and other fees.

 

too much.

 

0.73%
And 0.56% slippage

Futures. Medium term trend following and carry.

Anyone paying more than 3.5% is crazy, IMHO

GAT

 

What if they are HFT traders?

 

I am some where around 1.2%. My highest years are approx 1.5%. That is not counting the interest in the cash sweep that these days just about covers my trading costs.

I would halt trading for the year if I ever crossed 2% - that would indicate I am over trading and wandering towards the road of ruin. The first goal in trading is not to make someone else rich.

 

A follow on question.....what is the % if you include all of your paid services, data feeds, platforms, etc. ?
For example my option trading portfolio commission is high (partially due to the fact that I'm with a broker dealer and have to trade through them) but I pay 0 for data/platform, etc.

 

May I ask how you define slippage? Is it the difference between bid and ask?

The reason I ask is I am trading options with wide bid/ask. As the price of the underlying changes and bid/ask changes with it. Lets say in the case if I can buy at mid between bid and ask and later sell at mid between bid and ask what is my slippage, still the differences between bid/ask?

Thanks.

 

Ok if they are consistently profitable HFT traders, they paying up to a third of their profits in commission and market impact is probably OK. Let's say a Sharpe Ratio of 3.0 with a vol target of 20% a year; that's 60% a year in returns, paying 20% in commission and market impact. But I doubt this applies to many people on this site.

All my other fees add up to another 0.03%

GAT

 

Slippage is the difference between mid and what you actually pay.

In the case you specify you'd have zero slippage.

If you always trade hitting the bid (or ask) then your slippage would be half the bid/ask spread.

If you can always capture the spread you'd have positive slippage.

GAT

 

Is that 3 bp ? I assume you are managing a sizeable portfolio ?