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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,255 @@ | ||
| from datetime import timedelta | ||
| from textwrap import dedent | ||
|
|
||
| from zipline import TradingAlgorithm | ||
| from zipline.finance.commission import PerTrade, PerShare, PerDollar | ||
| from zipline.finance.order import Order | ||
| from zipline.finance.transaction import Transaction | ||
| from zipline.testing import ZiplineTestCase, trades_by_sid_to_dfs | ||
| from zipline.testing.fixtures import ( | ||
| WithAssetFinder, | ||
| WithSimParams, | ||
| WithDataPortal | ||
| ) | ||
| from zipline.utils import factory | ||
|
|
||
|
|
||
| class CommissionUnitTests(WithAssetFinder, ZiplineTestCase): | ||
| ASSET_FINDER_EQUITY_SIDS = 1, 2 | ||
|
|
||
| def generate_order_and_txns(self): | ||
| asset1 = self.asset_finder.retrieve_asset(1) | ||
|
|
||
| # one order | ||
| order = Order(dt=None, sid=asset1, amount=500) | ||
|
|
||
| # three fills | ||
| txn1 = Transaction(sid=asset1, amount=230, dt=None, | ||
| price=100, order_id=order.id) | ||
|
|
||
| txn2 = Transaction(sid=asset1, amount=170, dt=None, | ||
| price=101, order_id=order.id) | ||
|
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||
| txn3 = Transaction(sid=asset1, amount=100, dt=None, | ||
| price=102, order_id=order.id) | ||
|
|
||
| return order, [txn1, txn2, txn3] | ||
|
|
||
| def test_per_trade(self): | ||
| model = PerTrade(cost=10) | ||
|
|
||
| order, txns = self.generate_order_and_txns() | ||
|
|
||
| self.assertEqual(10, model.calculate(order, txns[0])) | ||
|
|
||
| order.commission = 10 | ||
|
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||
| self.assertEqual(0, model.calculate(order, txns[1])) | ||
| self.assertEqual(0, model.calculate(order, txns[2])) | ||
|
|
||
| def test_per_share_no_minimum(self): | ||
| model = PerShare(cost=0.0075, min_trade_cost=None) | ||
|
|
||
| order, txns = self.generate_order_and_txns() | ||
|
|
||
| # make sure each commission is pro-rated | ||
| self.assertAlmostEqual(1.725, model.calculate(order, txns[0])) | ||
| self.assertAlmostEqual(1.275, model.calculate(order, txns[1])) | ||
| self.assertAlmostEqual(0.75, model.calculate(order, txns[2])) | ||
|
|
||
| def verify_per_share_commissions(self, model, commission_totals): | ||
| order, txns = self.generate_order_and_txns() | ||
|
|
||
| for i, commission_total in enumerate(commission_totals): | ||
| order.commission += model.calculate(order, txns[i]) | ||
| self.assertAlmostEqual(commission_total, order.commission) | ||
| order.filled += txns[i].amount | ||
|
|
||
| def test_per_share_with_minimum(self): | ||
| # minimum is met by the first trade | ||
| self.verify_per_share_commissions( | ||
| PerShare(cost=0.0075, min_trade_cost=1), | ||
| [1.725, 3, 3.75] | ||
| ) | ||
|
|
||
| # minimum is met by the second trade | ||
| self.verify_per_share_commissions( | ||
| PerShare(cost=0.0075, min_trade_cost=2.5), | ||
| [2.5, 3, 3.75] | ||
| ) | ||
|
|
||
| # minimum is met by the third trade | ||
| self.verify_per_share_commissions( | ||
| PerShare(cost=0.0075, min_trade_cost=3.5), | ||
| [3.5, 3.5, 3.75] | ||
| ) | ||
|
|
||
| # minimum is not met by any of the trades | ||
| self.verify_per_share_commissions( | ||
| PerShare(cost=0.0075, min_trade_cost=5.5), | ||
| [5.5, 5.5, 5.5] | ||
| ) | ||
|
|
||
| def test_per_dollar(self): | ||
| model = PerDollar(cost=0.0015) | ||
|
|
||
| order, txns = self.generate_order_and_txns() | ||
|
|
||
| # make sure each commission is pro-rated | ||
| self.assertAlmostEqual(34.5, model.calculate(order, txns[0])) | ||
| self.assertAlmostEqual(25.755, model.calculate(order, txns[1])) | ||
| self.assertAlmostEqual(15.3, model.calculate(order, txns[2])) | ||
|
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||
|
|
||
| class CommissionAlgorithmTests(WithDataPortal, WithSimParams, ZiplineTestCase): | ||
| # make sure order commissions are properly incremented | ||
|
|
||
| sidint, = ASSET_FINDER_EQUITY_SIDS = (133,) | ||
|
|
||
| code = dedent( | ||
| """ | ||
| from zipline.api import ( | ||
| sid, order, set_slippage, slippage, FixedSlippage, | ||
| set_commission, commission | ||
| ) | ||
| def initialize(context): | ||
| # for these tests, let us take out the entire bar with no price | ||
| # impact | ||
| set_slippage(slippage.VolumeShareSlippage(1.0, 0)) | ||
| {0} | ||
| context.ordered = False | ||
| def handle_data(context, data): | ||
| if not context.ordered: | ||
| order(sid(133), {1}) | ||
| context.ordered = True | ||
| """, | ||
| ) | ||
|
|
||
| @classmethod | ||
| def make_daily_bar_data(cls): | ||
| num_days = len(cls.sim_params.trading_days) | ||
|
|
||
| return trades_by_sid_to_dfs( | ||
| { | ||
| cls.sidint: factory.create_trade_history( | ||
| cls.sidint, | ||
| [10.0] * num_days, | ||
| [100.0] * num_days, | ||
| timedelta(days=1), | ||
| cls.sim_params, | ||
| cls.env, | ||
| ), | ||
| }, | ||
| index=cls.sim_params.trading_days, | ||
| ) | ||
|
|
||
| def get_results(self, algo_code): | ||
| algo = TradingAlgorithm( | ||
| script=algo_code, | ||
| env=self.env, | ||
| sim_params=self.sim_params | ||
| ) | ||
|
|
||
| return algo.run(self.data_portal) | ||
|
|
||
| def test_per_trade(self): | ||
| results = self.get_results( | ||
| self.code.format("set_commission(commission.PerTrade(1))", 300) | ||
| ) | ||
|
|
||
| # should be 3 fills at 100 shares apiece | ||
| # one order split among 3 days, each copy of the order should have a | ||
| # commission of one dollar | ||
| for orders in results.orders[1:4]: | ||
| self.assertEqual(1, orders[0]["commission"]) | ||
|
|
||
| self.verify_capital_used(results, [-1001, -1000, -1000]) | ||
|
|
||
| def test_per_share_no_minimum(self): | ||
| results = self.get_results( | ||
| self.code.format("set_commission(commission.PerShare(0.05, None))", | ||
| 300) | ||
| ) | ||
|
|
||
| # should be 3 fills at 100 shares apiece | ||
| # one order split among 3 days, each fill generates an additional | ||
| # 100 * 0.05 = $5 in commission | ||
| for i, orders in enumerate(results.orders[1:4]): | ||
| self.assertEqual((i + 1) * 5, orders[0]["commission"]) | ||
|
|
||
| self.verify_capital_used(results, [-1005, -1005, -1005]) | ||
|
|
||
| def test_per_share_with_minimum(self): | ||
| # minimum hit by first trade | ||
| results = self.get_results( | ||
| self.code.format("set_commission(commission.PerShare(0.05, 3))", | ||
| 300) | ||
| ) | ||
|
|
||
| # commissions should be 5, 10, 15 | ||
| for i, orders in enumerate(results.orders[1:4]): | ||
| self.assertEqual((i + 1) * 5, orders[0]["commission"]) | ||
|
|
||
| self.verify_capital_used(results, [-1005, -1005, -1005]) | ||
|
|
||
| # minimum hit by second trade | ||
| results = self.get_results( | ||
| self.code.format("set_commission(commission.PerShare(0.05, 8))", | ||
| 300) | ||
| ) | ||
|
|
||
| # commissions should be 8, 10, 15 | ||
| self.assertEqual(8, results.orders[1][0]["commission"]) | ||
| self.assertEqual(10, results.orders[2][0]["commission"]) | ||
| self.assertEqual(15, results.orders[3][0]["commission"]) | ||
|
|
||
| self.verify_capital_used(results, [-1008, -1002, -1005]) | ||
|
|
||
| # minimum hit by third trade | ||
| results = self.get_results( | ||
| self.code.format("set_commission(commission.PerShare(0.05, 12))", | ||
| 300) | ||
| ) | ||
|
|
||
| # commissions should be 12, 12, 15 | ||
| self.assertEqual(12, results.orders[1][0]["commission"]) | ||
| self.assertEqual(12, results.orders[2][0]["commission"]) | ||
| self.assertEqual(15, results.orders[3][0]["commission"]) | ||
|
|
||
| self.verify_capital_used(results, [-1012, -1000, -1003]) | ||
|
|
||
| # minimum never hit | ||
| results = self.get_results( | ||
| self.code.format("set_commission(commission.PerShare(0.05, 18))", | ||
| 300) | ||
| ) | ||
|
|
||
| # commissions should be 18, 18, 18 | ||
| self.assertEqual(18, results.orders[1][0]["commission"]) | ||
| self.assertEqual(18, results.orders[2][0]["commission"]) | ||
| self.assertEqual(18, results.orders[3][0]["commission"]) | ||
|
|
||
| self.verify_capital_used(results, [-1018, -1000, -1000]) | ||
|
|
||
| def test_per_dollar(self): | ||
| results = self.get_results( | ||
| self.code.format("set_commission(commission.PerDollar(0.01))", 300) | ||
| ) | ||
|
|
||
| # should be 3 fills at 100 shares apiece, each fill is worth $1k, so | ||
| # incremental commission of $1000 * 0.01 = $10 | ||
|
|
||
| # commissions should be $10, $20, $30 | ||
| for i, orders in enumerate(results.orders[1:4]): | ||
| self.assertEqual((i + 1) * 10, orders[0]["commission"]) | ||
|
|
||
| self.verify_capital_used(results, [-1010, -1010, -1010]) | ||
|
|
||
| def verify_capital_used(self, results, values): | ||
| self.assertEqual(values[0], results.capital_used[1]) | ||
| self.assertEqual(values[1], results.capital_used[2]) | ||
| self.assertEqual(values[2], results.capital_used[3]) |
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