As with everything else it is determined by competition: little or no competition => very high fees (or more correctly large bid-ask spreads). That is one reason why many IB try to develop new derivatives: they can be very profitable when no one else trades them yet. Then the cost comes down somewhat when competitors come in. Lack of transparency in pricing ...
I am not a tax lawyer or a CPA.
"Carried interest" is a specific type of "performance fee" that is charged by the General Partner of an investment fund as an incentive/reward for good performance of the fund. They are common in Private Equity, some Hedge Funds, maybe VC. (Keep in mind that performance fee arrangements differ, not all funds are partnerships (...
You can take a look at this paper (December 2011):
At the end of the paper you can also find an interesting reference list.
The book Modeling Maximum Trading Profits with C++: New Trading and Money Management Concepts covers exactly what you're trying to do, based on the idea of Robert Pardo's "perfect profit" described thus:
"Perfect profit is a theoretical measure of market potential. It is the total profit produced by buying at every valley and selling at every top that ...
When fees are not symmetric, to take fees into account on orderbook needs to know if you want to provide or consume liquidity: you have in fact two different views (ie two ranking) on the same orderbook:
Say you are a buyer, and do the calculation for the first limit only. $P^B(i)$ and $P^A(i)$ are respectively the prices at the bid and ask on venue $i$, ...
that only charges for my profits - do you understand how CFDs work?
For the sake of simplicity, there are four aspects to CFD trading:
(1) bid/offer spread - differs on whether you're doing OTC contract, or have DMA access
(2) margin requirements - usually tiered and each tier has % of required margin
(3) overnight funding
(4) commissions - there are ...
What happens when a broker routes market order to an exchange B at the
time when NBBO is at the exchange A?
Assuming the order was a Buy order, your market order just became the best bid and it is on exchange B. If the best offer was on B, order filled, if not it will route to A (assuming routing allowed).
the broker will have to pay the routing fee ...
If you're just looking to net out the fees from your gross returns, a-b should be relatively accurate for your backtest.
I will caution you to make sure that you're reflecting the actual structure of the fees on the trading platform. Depending on where the fees are paid out of, your true returns (in your trading system) may be different from your backtests. ...
MorningStar or Lipper will be your best bets if you want everything in a nice machine readable format. factset/etf.com or etfdb are great sources for etf data.
If you want to go through the web, you can try etf.com or etfdb.com for the ETFs and morningstar.com for the mutual funds.