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[roq-api] Support commissions and fees #186

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thraneh opened this issue Feb 19, 2022 · 0 comments
Open

[roq-api] Support commissions and fees #186

thraneh opened this issue Feb 19, 2022 · 0 comments

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@thraneh
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thraneh commented Feb 19, 2022

This is tricky for various reasons

  • Sometimes we only have OrderUpdate and sometimes we only receive total traded (not partial fills). This implies the OrderUpdate should also track total commissions/fees.
  • Sometimes the commissions/fees are only reported by trade and there's no obvious link back to OrderUpdate.
  • The commission/fee asset isn't always available and assumptions must be made.
  • Sometimes we don't get any commissions/fees at all.

The goal is to fully support when possible.

@thraneh thraneh added this to the Roadmap milestone Feb 19, 2022
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