On switching to a commission-free broker for algo trading (spoiler: it matters a lot for our algo)

We have been using IBKR for both our data and order execution since we went live with paper trading in March 2025 and then live with real money in July 2025. They have been awesome and their 5-second bars and 250-millisecond market data ticks are the core of our long-only first strategy. We had been using the IBAlgo Adaptive Patient limit order type for all our buys and sells (you set a target and a hard limit). Getting it set up to begin with was a little tricky (we use the https://github.com/gnzsnz/ib-gateway-docker project to make it easier), but for the most part it has "just worked" (we also use https://github.com/wboayue/rust-ibapi for connecting to IBGateway). The only place they have a weakness is their trade commissions. Since we went live we have paid about $0.0035/sh for both in+out above and beyond regulatory fees. Now, this might not sound like a lot, but this is about $3k over a year when we started with $25k. That is about 12% of edge just to IBKR in commissions. So, 6 days ago we started running a parallel version of our trader where all we did was replace our IBKR order component with one that trades via the Schwab Trader API (using https://github.com/major/schwab-rs). The data is still coming from IBKR and we just simultaneously route orders to both Schwab and IBKR. Over these first 6 days, both have taken identical trades. We implemented an IBAlgo Adaptive limit order ourselves that is basically a ladder that starts the moving limit price at the bid (for a buy) and works its way towards the hard limit price we specify, with the urgency determining how fast it escalates (and starts at ask and marches to limit for the sell). We implemented the same custom adaptive order for both IBKR and Schwab for an apples-to-apples comparison. Our real concern was that IBKR was going to have better price and timing execution by "enough" to negate the cost of commissions. We needed to do a side-by-side experiment to verify. Well the results are in: * The order execution is almost identical, but Schwab has a small but non-trivial advantage over the first 6 days (70 trades). It was +2.6 bps to Schwab. * IBKR commissions on those 70 trades over 6 days was $122.56. Schwab's was $17.86 (just FINRA and SEC regulator fees). This amounts to about 0.0608% per day that was saved via trading with a zero-commission broker. But that isn't the whole story because that amount can be compounded daily, and that amount is a plus even on losing trades and losing days. That compounding makes this end up being about 15-17% per year of algorithm profit that is being swallowed up in just commissions. Still a pretty small comparative sample, but enough to run this experiment for a couple more weeks and then like switch to just Schwab for order execution. tl;dr - If you can get your system set up with a zero commission broker, it can have a substantive impact on high churn algorithms.