def test_per_contract_with_minimum(self):
# Minimum is met by the first trade.
self.verify_per_unit_commissions(
PerContract(cost=0.01, exchange_fee=0.3, min_trade_cost=1),
commission_totals=[2.6, 4.3, 5.3],
sid=1000,
)
# Minimum is met by the second trade.
self.verify_per_unit_commissions(
PerContract(cost=0.01, exchange_fee=0.3, min_trade_cost=3),
commission_totals=[3.0, 4.3, 5.3],
sid=1000,
)
# Minimum is met by the third trade.
self.verify_per_unit_commissions(
PerContract(cost=0.01, exchange_fee=0.3, min_trade_cost=5),
commission_totals=[5.0, 5.0, 5.3],
sid=1000,
)
# Minimum is not met by any of the trades.
self.verify_per_unit_commissions(
PerContract(cost=0.01, exchange_fee=0.3, min_trade_cost=7),
commission_totals=[7.0, 7.0, 7.0],
sid=1000,
)
def test_per_contract_no_minimum(self):
# Note that the exchange fee is a one-time cost that is only applied to
# the first fill of an order.
#
# The commission on the first fill is (230 * 0.01) + 0.3 = 2.6
# The commission on the second fill is 170 * 0.01 = 1.7
# The total after the second fill is 2.6 + 1.7 = 4.3
# The commission on the third fill is 100 * 0.01 = 1.0
# The total after the third fill is 5.3
model = PerContract(cost=0.01, exchange_fee=0.3, min_trade_cost=None)
self.verify_per_unit_commissions(
model=model,
commission_totals=[2.6, 4.3, 5.3],
sid=1000,
order_amount=500,
fill_amounts=[230, 170, 100],
)
# Test using custom costs and fees.
model = PerContract(
cost={
"CL": 0.01,
"FV": 0.0075
},
exchange_fee={
"CL": 0.3,
"FV": 0.5
},
min_trade_cost=None,
)
self.verify_per_unit_commissions(model, [2.6, 4.3, 5.3], sid=1000)
self.verify_per_unit_commissions(model, [2.225, 3.5, 4.25], sid=1001)
def __init__(self, data_frequency, equity_slippage=None,
future_slippage=None, equity_commission=None,
future_commission=None, cancel_policy=None, stock_exchange='NYSE'):
# these orders are aggregated by asset
self.open_orders = defaultdict(list)
# keep a dict of orders by their own id
self.orders = {}
# holding orders that have come in since the last event.
self.new_orders = []
self.current_dt = None
self.max_shares = int(1e+11)
self.slippage_models = {
Equity: equity_slippage or FixedBasisPointsSlippage(),
Future: future_slippage or VolatilityVolumeShare(
volume_limit=DEFAULT_FUTURE_VOLUME_SLIPPAGE_BAR_LIMIT,
),
}
self.commission_models = {
Equity: equity_commission or PerShare(),
Future: future_commission or PerContract(
cost=DEFAULT_PER_CONTRACT_COST,
exchange_fee=FUTURE_EXCHANGE_FEES_BY_SYMBOL,
),
}
self.data_frequency = data_frequency
self.cancel_policy = cancel_policy if cancel_policy else NeverCancel()
def __init__(self, data_frequency, broker):
self.broker = broker
self._processed_closed_orders = []
self._processed_transactions = []
self.data_frequency = data_frequency
self.new_orders = []
self.max_shares = int(1e+11)
self.slippage_models = {
Equity:
FixedBasisPointsSlippage(),
Future:
VolatilityVolumeShare(
volume_limit=DEFAULT_FUTURE_VOLUME_SLIPPAGE_BAR_LIMIT, ),
}
self.commission_models = {
Equity:
PerShare(),
Future:
PerContract(
cost=DEFAULT_PER_CONTRACT_COST,
exchange_fee=FUTURE_EXCHANGE_FEES_BY_SYMBOL,
),
}
log.info('Initialized blotter_live')
def __init__(
self,
equity_slippage=None,
future_slippage=None,
option_slippage=None,
equity_commission=None,
future_commission=None,
option_commission=None,
cancel_policy=None,
):
super(SimulationBlotter, self).__init__(cancel_policy=cancel_policy)
# these orders are aggregated by asset
self.open_orders = defaultdict(list)
# keep a dict of orders by their own id
self.orders = {}
# holding orders that have come in since the last event.
self.new_orders = []
self.max_shares = int(1e11)
self.slippage_models = {
Equity:
equity_slippage or FixedBasisPointsSlippage(),
Future:
future_slippage or VolatilityVolumeShare(
volume_limit=DEFAULT_FUTURE_VOLUME_SLIPPAGE_BAR_LIMIT),
Option:
option_slippage or CoverTheSpread(),
}
self.commission_models = {
Equity:
equity_commission or PerShare(),
Future:
future_commission or PerContract(
cost=DEFAULT_PER_CONTRACT_COST,
exchange_fee=FUTURE_EXCHANGE_FEES_BY_SYMBOL,
),
Option:
option_commission
or PerOptionContract(cost=DEFAULT_PER_OPTION_CONTRACT_COST,
exchange_fee=0.01),
}