def __init__(self,
cost,
exchange_fee,
min_trade_cost=DEFAULT_MINIMUM_COST_PER_FUTURE_TRADE):
# If 'cost' or 'exchange fee' are constants, use a dummy mapping to
# treat them as a dictionary that always returns the same value.
# NOTE: These dictionary does not handle unknown root symbols, so it
# may be worth revisiting this behavior.
if isinstance(cost, (int, float)):
self._cost_per_contract = DummyMapping(float(cost))
else:
# Cost per contract is a dictionary. If the user's dictionary does
# not provide a commission cost for a certain contract, fall back
# on the pre-defined cost values per root symbol.
self._cost_per_contract = defaultdict(
lambda: DEFAULT_PER_CONTRACT_COST, **cost)
if isinstance(exchange_fee, (int, float)):
self._exchange_fee = DummyMapping(float(exchange_fee))
else:
# Exchange fee is a dictionary. If the user's dictionary does not
# provide an exchange fee for a certain contract, fall back on the
# pre-defined exchange fees per root symbol.
self._exchange_fee = merge(
FUTURE_EXCHANGE_FEES_BY_SYMBOL,
exchange_fee,
)
self.min_trade_cost = min_trade_cost or 0
def __init__(self, volume_limit, eta=ROOT_SYMBOL_TO_ETA):
super(VolatilityVolumeShare, self).__init__()
self.volume_limit = volume_limit
# If 'eta' is a constant, use a dummy mapping to treat it as a
# dictionary that always returns the same value.
# NOTE: This dictionary does not handle unknown root symbols, so it may
# be worth revisiting this behavior.
if isinstance(eta, (int, float)):
self._eta = DummyMapping(float(eta))
else:
# Eta is a dictionary. If the user's dictionary does not provide a
# value for a certain contract, fall back on the pre-defined eta
# values per root symbol.
self._eta = merge(ROOT_SYMBOL_TO_ETA, eta)