Back to Community
Accounting for Hard to borrow fees

Is there a feature in Quantopian where we can accrue an expense for Hard To Borrow Fees? It would be nice if we could say, subtract annualized 3% per day from the cash line for the duration of a short position to cover the HTB fees. The HTBs are different for every stock at different times, but it would be cool if we could just put in an estimated %.

Thanks,
Gary

1 response

Currently there isn't a good way to simulate fees (borrowing costs, taxes) in the backtester. You hit on another item that's on our queue :). Other members of the community shared a hack around this, perhaps it'll be helpful to you: https://www.quantopian.com/posts/removing-cash-from-portfolio-to-pay-taxes

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.