ENH: Add Backtest(spread=), change Backtest(commission=) #839
Conversation
`commission=` is now applied twice as common with brokers. `spread=` takes the role `commission=` had previously.
kernc
force-pushed
the
spread-commission
branch
from
4249ce3
to
cd5ae83
Compare
|
Looking forward to this one, it will enable this library to more accurately account for fees, especially with the commission tuple! |
|
@kernc when do you expect to merge this into the main branch and create a new release? |
| def _commission_func(self, order_size, price): | ||
| return self._commission_fixed + abs(order_size) * price * self._commission_relative |
There was a problem hiding this comment.
Will this cover all sorts of commission cases?
There was a problem hiding this comment.
The base case is solved I would say.
Nice to have:
In cryptocurrency exchanges, your commissions tend to be reduced over a rolling 30-day period if you create enough volume.
It would be handy if you could create a scaling commission feature based on the transaction volume. It would also be handy if it can be split into maker/taker.
|
Hi! First thanks @kernc thanks for building this project. I've been using it for a short while and it's awesome at what it does so far. Is there any prognosis as to when this would be merged? |
commission=is now applied twice as common with brokers.spread=takes the rolecommission=had previously.Fixes #149
Fixes #113
Closes #662
Closes #1006