Estimate exchange/broker fee commission from trade volume

15 dic 2017

This script is used to estimate how much an exchange/broker makes off a particular pair/symbol. If Coinbase(GDAX) has a 0.25% taker fee and a 0.15% maker fee per trade and you estimate the average commission fee at 0.19% then you simple input that, and how many periods you'd like to know the total fee for (30 periods on the 1 day chart = last 30 days, 28 periods on 4 hour chart = last 7 days, etc).

This is for broad estimates of a single pair and only works well on exchanges that show only the volume on that exchange (stock markets may be less useful for this tool).
THIS TOOL IS TO PROVIDE A BROAD ESTIMATE, NOT AN EXACT FIGURE!
// percentage fee rate is entered as a percent: 3.5=3.5%, not 350%.
// pbtc, the one for calculating the USD value of fees that are in bitcoin, uses the price at time fees were realized. IE chart is on
// 1 day interval and XBARFEE is set at 4, then PBTC gives the USD value as if the exchange sold all btc at the end of each day for
// 4 days. i.e.:
// Day 1: BTCUSD= $5000 fees=1.5, Day 2: BTCUSD = $5000 fees=3.0, Day 3 BTCUSD = $10,000 fees=1.0, Day 4 BTCUSD = $20,000 fees=1.0
// PBTC would NOT show (1.5+ 3 + 1 + 1) = 6.5 * 20k = $130,000. It would do: (1.5*5000)+(3*5000)... = $52,500.