We add spread to our systems in the PRT platform, but what about overnight broker fees, interest, and the impact of dividends?

I’ve developed some code that calculates the cost of overnight fees, interest, and the impact of dividends. I use it across all my systems since these factors can really add up over time.

Below, you’ll find the code based on the DAX 40. It should be simple to integrate into your own systems and customise as needed. The code is designed to work on any intraday time frame, you’ll just need to adjust the CurrentTime = 220000 to match the fee application time in your own time zone.

This version is designed for the UK, with IG, and assumes an interest rate of 4.75% plus a broker fee of 3.0%. It also includes an approximate calculation for dividends (accounting for both positive values for longs and negatives for shorts). It then plots the results on a graph, and if a position is held on a Friday night, the fee is calculated as three times the standard value.

IF CurrentTime=220000 AND OpenDayOfWeek>0 then

SONIArate=4.75
if longonmarket then
int = (3 + SONIArate) * 0.01
myrate = - (abs(countoflongshares) * close * int)
endif
if shortonmarket then
int = (3 - SONIArate) * 0.01
myrate = - (abs(countofshortshares) * close * int)
endif

if onmarket then
mymonthrate = myrate / 12
mydayrate = myrate / 365
mytotalint=mytotalint+mydayrate
if opendayofweek=5 then
mytotalint=mytotalint+(mydayrate*2)
endif
endif

// DAX dividend adjustment
if longonmarket then
mydiv=(countoflongshares*close*0.0225)/260
mytotaldiv=mytotaldiv+mydiv
endif
if shortonmarket then
mydiv=-(countofshortshares*close*0.0225)/260
mytotaldiv=mytotaldiv+mydiv
endif

// Plot graphs
graph mytotalint coloured(100,40,100) AS "Interest"
graph mytotaldiv coloured(100,60,100) AS "Dividends"
graph mytotalint+mytotaldiv coloured(100,80,100) AS "Combined"

ENDIF