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Multi-Market Settlement & Borrow Fee Calendar API
A programmable calendar engine that accurately calculates short position borrow fees accounting for settlement dates, weekend charges, holidays, early closes, and SSR rules across global markets. Delivered as both a Python library and REST API, it eliminates the need for quant teams to build and maintain custom calendar systems per market.
Why this matters
You are a quant developer building an algorithmic trading system that includes short positions. You discover that calculating borrow fees is surprisingly complex: a Thursday-close to Friday-open short incurs three days of fees because of weekend charges. Holidays make it worse, and they do not line up across markets. You end up building separate calendar systems for every market your firm trades, discovering edge cases by losing money on unexpected fee charges. There is no turnkey library that handles this correctly out of the box, so you sink weeks of engineering time into what should be a solved problem.
- · Built for Quant developers at small-to-mid trading firms and serious retail algo traders who need accurate short position cost modeling in backtesting and live trading systems.
- · Most likely monetization: Freemium SaaS — free open-source Python library for basic US market, paid API for global markets and advanced features.
The Pain · Narrative
You are a quant developer building an algorithmic trading system that includes short positions. You discover that calculating borrow fees is surprisingly complex: a Thursday-close to Friday-open short incurs three days of fees because of weekend charges. Holidays make it worse, and they do not line up across markets. You end up building separate calendar systems for every market your firm trades, discovering edge cases by losing money on unexpected fee charges. There is no turnkey library that handles this correctly out of the box, so you sink weeks of engineering time into what should be a solved problem.
Score Breakdown
Market Signal
Go-to-Market
Quant developers at small trading firms (5-50 people) who have either built or are about to build custom short position cost calculators
~20,000 quant developers globally who model short positions across multiple markets
GitHub open-source library seeding with API upsell, promoted in algo trading and quant dev communities
$49/month for global markets API access, free for US-only Python library
500 GitHub stars and 5 paying API users within 30 days of launch
MVP Scope · 1–2 weeks
- Build Python library encoding T+1 settlement rules with weekend/holiday fee day counting logic
- Integrate pandas-market-calendars for US market holiday and early-close data
- Implement borrow fee calculator handling all common short position open/close scenarios
- Add SSR rule modeling for US equities with restriction trigger logic
- Write comprehensive test suite covering the Thursday-Friday quiz case and holiday edge cases
- Wrap the library as a REST API service with FastAPI endpoints for fee calculation
- Add holiday calendar support for EU, UK, JP, and HK markets with separate settlement rules
- Build an interactive web calculator tool for manual fee estimation and marketing
- Create API documentation with worked examples for common short position scenarios
- Publish core US library to PyPI as open-source with API service landing page
Differentiation
Why This Might Fail
Self-rebuttal — the most important trust signal
- 1Many quant teams have already built custom internal calendar solutions during their initial platform development, creating a built-it-before-won't-buy-it barrier that reduces the addressable paying market significantly
- 2Maintaining accurate holiday and early-close calendars across dozens of global markets requires continuous data updates and verification, creating an operational burden that may not be sustainable for a small team
- 3Broker-specific fee structures and settlement quirks may differ enough that a generic engine produces incorrect results for some users, eroding trust and generating support overhead
Evidence Summary
How AI synthesized this insight — no verbatim quotes
The original poster highlighted the non-obvious complexity of borrow fee calculation with a specific quiz example that tripped up assumptions. A developer confirmed the real-world impact, describing how their team had to build separate calendar systems for every market because holidays and early closes do not align across instruments. They noted that the fastest way to discover calendar mismatches was to trade and encounter them, implying no reliable reference data exists. This signals a clear gap for a turnkey calendar and fee calculation engine.
Action Plan
Validate this opportunity before writing code
Recommended Next Step
Build
Strong demand signals detected. Real pain, real willingness to pay — start building an MVP.
Landing Page Copy Kit
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Headline
Multi-Market Settlement & Borrow Fee Calendar API
Sub-headline
A programmable calendar engine that accurately calculates short position borrow fees accounting for settlement dates, weekend charges, holidays, early closes, and SSR rules across global markets. Delivered as both a Python library and REST API, it eliminates the need for quant teams to build and maintain custom calendar systems per market.
Who It's For
For Quant developers at small-to-mid trading firms and serious retail algo traders who need accurate short position cost modeling in backtesting and live trading systems
Feature List
✓ Settlement-date-aware borrow fee day counting for any open/close date combination ✓ Multi-market holiday and early-close calendar support (US, EU, UK, JP, HK, etc.) ✓ SSR (Short Sale Restriction) rule modeling for US equities ✓ Python library with clean API for integration into backtesting frameworks ✓ REST API endpoint for real-time fee calculation in live trading systems
Where to Validate
Share your landing page in r/r/algotrading — that's exactly where these pain points were discovered.
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