Some Studies on Commissions and Trading Costs

 

These are preliminary. And also now years out of date (I write this in May '08). I could improve some of the calculations. For example, the $100/month data feed fee for TradeStation (no longer applicable) was not included here. The way new stocks should be added to a portfolio when liquidity concerns appear is also not modelled ideally, although the results below should not be too far off.

Left; commissions vs alternative brokers, from amtperf.exe and commer.exe.

Account value for Long-Short Stock model at different brokerages. Assume $10k per stock, profits/losses kept within each stock. Average of the 10 stocks followed. For smaller trade share sizes, fixed commission Izone (sic; should be Freetrade), $5/trade, is the clear winner.

Account value for Long-Short Stock model at different brokerages. Entire account invested in the stock with highest volume, lowest bid/ask spread. $30k initial in this stock. Fixed commissions of Ameritrade and Freetrade (says "Izone" erroneously on plot) eventually beat the per share rates at IB and TradeStation when trade blocks become large.

Same chart, but initiate account on Nov 3, 2004.