One major trading cost is trading fees, which are usually fees per traded share/future contract/options contract levied by the trading exchange and the broker. It is important to understand what these fees are and account for them in trading strategy performance analysis, otherwise it might lead to false estimates of expected risk versus reward.

It is important to consider the PnL per contract traded to make sure that the strategy covers trading fees and profits after fees, which is especially important for high-volume trading strategies such as HFT or market-making algorithmic trading strategies, which typically trade a lot of contracts and have lower PnL per contract-traded ratios than some other strategies.

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