Sub-brokerage US day trading: costs and backtest inputs
Day trading US stocks through sub-brokerage is usually limited to buy-then-sell, depends on settled cash and your broker's rules, and carries a percentage commission with a minimum per order. A backtest has to use those costs at your real order size, and many intraday stock strategies do not survive them.
By Soren Huang · Published · updated · Editorial policy
Contents
Can you day trade US stocks through sub-brokerage?
Day trading US stocks through Taiwan sub-brokerage (複委託) is usually possible as buy-then-sell. Your broker's rules, cash that must settle before you can reuse it, and a percentage commission with a minimum per order shape what you can actually do. In a backtest, enter those costs at your real order size. Many intraday stock strategies do not survive them.
Sub-brokerage (複委託) is a service in which a Taiwan securities firm sends your orders for foreign securities to a foreign broker on your behalf. Taiwan's domestic day trading system for local stocks (現股當沖) does not cover these trades. For 複委託當沖, your broker's terms and the US market's rules decide what is allowed.
Before you test anything, find the answers to these four questions in your broker's terms:
- Can you sell a stock on the same day you bought it, and can you reuse the money from that sale on the same day?
- Can you sell short, which means selling first and buying back later?
- Which order types does the broker accept (market, limit, stop), and does it accept orders outside regular hours?
- Is the commission a percentage of trade value, a minimum per order, or both? Do you settle in New Taiwan dollars or in US dollars?
How do settlement and fees work for 複委託美股當沖?
Settlement limits how often your money can turn over in a day, and fees come from more than one place. Settlement is the step where cash and shares actually change hands after a trade. Since 28 May 2024, most US stock trades settle one business day after the trade date (T+1).
Settlement matters for day trading because sub-brokerage orders are usually paid in full from your settlement account. When you sell, the money may not be available for a new purchase until the trade settles or until your broker releases it. Your broker sets that timing. The result is a cap on round trips per day. With a small account, you may get one or two full-size trades per day, not ten.
The US pattern day trader rule (FINRA Rule 4210) used to require twenty-five thousand US dollars of equity for frequent day trading. FINRA replaced it with intraday margin standards effective 4 June 2026, and some firms may still be transitioning. These rules are written for margin accounts at US brokers. In a fully paid account, the binding limit is usually settled cash and your broker's own rules. Ask your broker how it applies these rules to your account.
The costs of one round trip (a buy and the matching sell) usually include:
- Commission: often a percentage of the trade value with a minimum per order, charged on the buy and again on the sell.
- Regulatory fees on sells: the SEC Section 31 fee and the FINRA Trading Activity Fee. Both are small, apply to the sell side, and may be passed on to you.
- Currency conversion: if you settle in New Taiwan dollars, the broker converts at its own rate, which includes a spread. If you hold US dollars in a foreign-currency settlement account, you avoid converting on every trade.
- Spread and slippage: slippage is the difference between the price your rules expected and the price you actually got. It grows at the open, around news and in thinly traded stocks.
The regular US stock session runs from 9:30 to 16:00 New York time. In Taiwan time, that is 21:30 to 04:00 while the US is on daylight saving time and 22:30 to 05:00 in winter. Taiwan does not change its clocks, so the session moves by one hour twice a year. The futures market hours tool shows sessions in your own time zone.
Is your cost per trade smaller than your average trade?
A strategy is only worth trading if its gross average trade is clearly larger than its round-trip cost. The average trade is the total profit or loss divided by the number of trades. It is the edge you collect each time you trade. Think of a shop. If every sale earns 8 dollars and the card fee on every sale is 11 dollars, selling more makes the loss bigger.
One ratio captures this check:
Cost multiple = gross average trade ÷ round-trip cost
Here, "gross average trade" is the average result per trade before any costs. "Round-trip cost" is everything you pay to enter and exit once: commission, fees, conversion, spread and slippage. If the multiple is below 1, the strategy loses money after costs. Many traders want it several times above 1, so that a few worse fills do not erase the edge. The win rate and expectancy calculator gives you the average trade from your win rate and average win and loss.
Hypothetical example
Stock through sub-brokerage: buy 40 shares at US$50, a position of US$2,000. The commission is 0.25% with a US$5 minimum, so it is US$5 on the buy and US$5 on the sell. Sell-side regulatory fees are about US$0.05. Slippage is 2 cents per share on each side, which is US$1.60. The round-trip cost is about US$11.65, or 0.58% of the position. If the strategy's gross average trade is 0.4% (US$8), the cost multiple is about 0.7, and the strategy loses about US$3.65 per trade.
If you raise the position to US$20,000, the minimum stops mattering. The 0.25% commission still costs 0.5% per round trip, so the percentage fee keeps the strategy below a multiple of 1.
One Micro E-mini S&P 500 (MES) futures contract: commission and fees are US$2 per round trip, and slippage is one tick on each side, which is 2 × US$1.25 = US$2.50. The round-trip cost is US$4.50, whatever the index level. A strategy that captures 2 index points on average makes US$10 gross per contract, so its cost multiple is about 2.2.
Why are futures easier to test intraday?
Index futures remove most of the frictions that make intraday stock backtests unrealistic, so the test is closer to what you can trade. The differences come from how the products work, not from any single broker.
| Question | US stocks via sub-brokerage | Index futures (e.g. ES, MES, TAIEX futures) |
|---|---|---|
| Can you go short as easily as long? | Depends on the broker; often buy-then-sell only | Yes, selling first is a normal order |
| How is the commission charged? | Often a percentage of value with a minimum per order | A fixed amount per contract, whatever the price |
| Can you reuse money after closing a trade? | May wait for settlement or broker release | Margin is freed when the position closes |
| Do US day-trading margin rules apply? | Not to fully paid accounts, but cash limits apply | No, they are securities rules |
| How long is the session? | 6.5 regular hours | CME equity index futures trade nearly 23 hours, Sunday to Friday |
| What data do you test on? | Many stocks; lists built from today's names miss delisted companies (survivorship bias) | One contract series per market, rolled between expiries |
A fixed cost per contract makes cost modelling simple. One MES contract is worth US$5 per index point and has a minimum price move (tick) of 0.25 points, so each tick is US$1.25. You can enter that cost once and trust it across the whole history. The futures contract calculator shows the tick size and tick value for each market. S&P 500 futures explained: ES vs MES covers the contract and its sessions in detail. Exchanges can change hours, fees and contract specifications, so the exchange's contract page is the final word: confirm current values there before you enter them.
What cost inputs should a sub-brokerage backtest use?
Use your broker's actual fee schedule at your actual order size, and set the execution rules to match what the account allows. Most backtesters accept a fixed cost per trade. A percentage-with-minimum commission only matches a fixed cost if you calculate it at the order size you really use.
| Input | What to enter | Why it matters |
|---|---|---|
| Commission | Percentage × your order value, or the minimum if that is higher, on each side | A per-share fee from another broker can understate the cost several times over |
| Regulatory fees | The sell-side fees from your broker's statement | Small, but they apply to every exit |
| Currency conversion | The conversion spread on each conversion, if you settle in New Taiwan dollars | Converting in and out every day adds a cost on both sides |
| Slippage | At least one cent per share per side for liquid stocks; more at the open | Intraday edges are small, so slippage takes a large share of them |
| Direction | Long-only unless your broker offers short selling | Short trades you cannot place inflate the result |
| Trades per day | The number your settled cash supports | Removes trades the account could not have paid for |
| Session and execution | Regular hours only; fill on the next bar after the signal | Filling on the bar that created the signal uses a price you could not get |
Then run the test again at twice the slippage. If the cost multiple falls below 1, the strategy depends on fills you may not get. Trading costs in backtests explains how to estimate slippage from your own fills. The normal-slippage run and the double-slippage run of one strategy can sit together in the strategy databank of AlphaPrime (Valynox), searchable and sortable.
What this means if you use AlphaPrime: AlphaPrime works on futures bar data, where costs are charged per contract and short trades are normal orders. Its backtesting applies fees, slippage, next-bar execution and trading sessions to every candidate, so the strategies you rank already reflect the cost multiple you would face.
Frequently asked questions
Can you day trade US stocks through 複委託?
Usually yes, as buy-then-sell on the same day, but the exact rules depend on your broker. Check whether money from a sale can be reused the same day and whether short selling is offered. Those two answers decide how many trades per day your strategy can really take.
Does the pattern day trader rule apply to sub-brokerage accounts?
FINRA replaced the pattern day trader rule with intraday margin standards effective 4 June 2026. Both were written for margin accounts at US brokers. Sub-brokerage orders are usually paid in full, so the practical limit is settled cash and your broker's own rules. Ask your broker how it handles frequent day trades.
What time is the US stock market open in Taiwan?
The regular session runs from 9:30 to 16:00 New York time. That is 21:30 to 04:00 Taiwan time during US daylight saving time and 22:30 to 05:00 in winter. Taiwan does not use daylight saving time, so the session shifts by one hour twice a year.
How do I enter a percentage commission with a minimum in a backtest?
Multiply the percentage by the order value you will actually trade. Use the minimum instead if it is higher, and count it on both the buy and the sell. Add sell-side fees, conversion costs and slippage to get one round-trip cost, then enter that as the cost per trade.
Why do many traders test intraday ideas on futures instead of US stocks?
Futures charge a fixed cost per contract and allow short trades as easily as long ones. Margin is freed as soon as a position closes. That makes the costs and the trade list in a backtest closer to what an account can actually do during the day.