BUG: Position cost basis was calculated incorrectly for Futures

For futures, we need to divide the position’s commission by the
contract size to get a per-unit commission in order to properly update
the position’s cost basis.

tests/test_perf_tracking.py

@@ -2056,6 +2056,41 @@ def test_position_values_and_exposures(self):
         self.assertEqual(100 + 200 + 300000 + 400000, pos_stats.gross_exposure)
         self.assertEqual(100 - 200 + 300000 - 400000, pos_stats.net_exposure)
 
+    def test_cost_basis(self):
+        dt = pd.Timestamp("2015-12-10 15:00", tz='UTC')
+
+        equity_pos = perf.Position(
+            self.EQUITY1,
+            amount=10,
+            last_sale_date=dt,
+            cost_basis=10,
+            last_sale_price=11,
+        )
+
+        future_pos = perf.Position(
+            self.FUTURE3,
+            amount=10,
+            last_sale_date=dt,
+            cost_basis=10,
+            last_sale_price=11,
+        )
+
+        self.assertEqual(10, equity_pos.cost_basis)
+
+        # send a $5 commission to the equity position.  Spread out over 10
+        # shares, that bumps the cost basis by $0.50.
+        equity_pos.adjust_commission_cost_basis(self.EQUITY1, 5)
+        self.assertEqual(10.5, equity_pos.cost_basis)
+
+        self.assertEqual(10, future_pos.cost_basis)
+
+        # send a $5k commission to the futures position.  since self.FUTURE3
+        # has a contract size (multipler) of 1000, this should result in a
+        # $10.5 updated cost basis. (5000 / 1000 = $5, spread out over 10
+        # contracts, is $0.50 extra per contract).
+        future_pos.adjust_commission_cost_basis(self.FUTURE3, 5000)
+        self.assertEqual(10.5, future_pos.cost_basis)
+
     def test_update_positions(self):
         pt = perf.PositionTracker(self.env.asset_finder, None)
         dt = pd.Timestamp("2014/01/01 3:00PM")

zipline/finance/performance/position.py

@@ -173,7 +173,11 @@ def adjust_commission_cost_basis(self, asset, cost):
             return
 
         prev_cost = self.cost_basis * self.amount
-        new_cost = prev_cost + cost
+        if isinstance(asset, Future):
+            cost_to_use = cost / asset.multiplier
+        else:
+            cost_to_use = cost
+        new_cost = prev_cost + cost_to_use
         self.cost_basis = new_cost / self.amount
 
     def __repr__(self):