TFEX Trading Costs and Break-Even
Estimate round-trip futures costs and convert them to break-even points. A SET50 example shows how fees, spread, and slippage affect net results.
By Kru Kook (Krittiya Khunabrimas)
What makes up one round trip
Looking only at commission can understate trading costs. Before opening a position, separate costs incurred on entry and exit: negotiated brokerage commission, exchange or data fees where charged, the bid–offer spread, and slippage between the intended and executed price.
Spread and slippage are not necessarily fixed. Actual costs depend on time, order-book depth, and order type. Use your own fills when estimating a system.
Estimate total cost and convert it to points
Round-trip cost = entry costs + exit costs
Approximate break-even points = round-trip cost ÷ value per point per contract
For multiple contracts, multiply per-contract costs by contract count and divide by the position’s total value per point. Alternatively, calculate per contract to make the estimate easier to audit.
SET50 break-even example
Assume estimated round-trip costs of THB 80 per contract and the SET50 Futures multiplier of THB 200 per point. The cost-only break-even distance is 80 ÷ 200 = 0.4 index points per contract. With a minimum tick of 0.1 point, that is four ticks.
This uses hypothetical cost inputs, not a quoted fee schedule. If price moves only 0.2 point in the desired direction, gross P&L is THB 40 and does not cover THB 80 of costs; the approximate net result is a THB 40 loss.
Estimate a break-even exit price
For a Long, add the cost-per-point estimate to the entry price. For a Short, subtract it. This is only an approximation when costs are treated as a fixed baht amount; it does not capture actual changes in spread or slippage.
For partial entries, partial exits, or positions held across sessions, record each cost from the broker’s trade confirmation rather than relying on the simple exit-price formula.
Track your actual costs
If realized P&L uses actual entry and exit fills, spread and slippage are already reflected in those fill prices; do not add them twice. Add only fees that the broker statement has not already included.
- Record the intended order price and actual fill.
- Log fees by trade and contract count.
- Convert slippage into money using the product’s value per point.
- Summarize average and range by session and order type.
- Test a strategy with actual costs or conservative assumptions.
A strategy that appears profitable from price movement alone can lose money after costs. Check the current exchange and broker schedules before placing an order.