佣金计划的实施不久前进行了重新设计。最重要的：部分修改涉及：

  • 保留原来的 CommissionInfo 类和行为
  • 为轻松创建用户定义的佣金打开大门
  • 使格式 xx% 成为新佣金方案的默认值，而不是 0.xx（只是个人喜好问题），保持行为可配置

扩展委员会中概述了基础知识。

实际上，我们可以把实际交易过程的手续费、佣金、点差等交易成本，都通过一定的算法，设计到自定义的CommissionInfo类中。

Tips：请参阅下面的文档字符串以CommInfoBase获取参数参考

定义佣金计划

它涉及 1 或 2 个步骤

1、子类化CommInfoBase

只需更改默认参数就足够了。backtrader 已经使用模块中存在的一些定义来做到这一点 backtrader.commissions。期货的常规行业标准是每份合约和每轮固定金额。定义可以如下：

class CommInfo_Futures_Fixed(CommInfoBase):
    params = (
        ('stocklike', False),
        ('commtype', CommInfoBase.COMM_FIXED),
    )

对于股票和 perc-wise 佣金：

class CommInfo_Stocks_Perc(CommInfoBase):
    params = (
        ('stocklike', True),
        ('commtype', CommInfoBase.COMM_PERC),
    )

如上所述，此处解释百分比的默认值（作为参数传递commission）是：xx%。如果希望旧的/其他行为0.xx，可以轻松完成：

class CommInfo_Stocks_PercAbs(CommInfoBase):
    params = (
        ('stocklike', True),
        ('commtype', CommInfoBase.COMM_PERC),
        ('percabs', True),
    )

2、覆盖（如果需要）_getcommission方法

定义为：

def _getcommission(self, size, price, pseudoexec):
   '''Calculates the commission of an operation at a given price

   pseudoexec: if True the operation has not yet been executed
   '''

下面的实际示例中的更多详细信息

如何将此应用到平台

一旦有了CommInfoBase子类，诀窍就是使用 broker.addcommissioninfo而不是通常的broker.setcommission. 后者将在内部使用 legacy CommissionInfoObject。

做起来比说的容易：

...

comminfo = CommInfo_Stocks_PercAbs(commission=0.005)  # 0.5%
cerebro.broker.addcommissioninfo(comminfo)

该addcommissioninfo方法定义如下：

def addcommissioninfo(self, comminfo, name=None):
    self.comminfo[name] = comminfo

设置name意味着该comminfo对象将仅适用于具有该名称的资产。默认值None表示它适用于系统中的所有资产。

一个实际的例子

Ticket #45询问适用于期货的佣金计划，以百分比计算，并使用合约的整个“虚拟”价值的佣金百分比。即：在佣金计算中包括未来乘数。

这应该很容易：

import backtrader as bt

class CommInfo_Fut_Perc_Mult(bt.CommInfoBase):
    params = (
      ('stocklike', False),  # Futures
      ('commtype', bt.CommInfoBase.COMM_PERC),  # Apply % Commission
    # ('percabs', False),  # pass perc as xx% which is the default
    )

    def _getcommission(self, size, price, pseudoexec):
        return size * price * self.p.commission * self.p.mult

将其放入系统：

comminfo = CommInfo_Fut_Perc_Mult(
    commission=0.1,  # 0.1%
    mult=10,
    margin=2000  # Margin is needed for futures-like instruments
)

cerebro.broker.addcommission(comminfo)

如果首选格式0.xx作为默认值，只需将 param 设置percabs 为True：

class CommInfo_Fut_Perc_Mult(bt.CommInfoBase):
    params = (
      ('stocklike', False),  # Futures
      ('commtype', bt.CommInfoBase.COMM_PERC),  # Apply % Commission
      ('percabs', True),  # pass perc as 0.xx
    )

comminfo = CommInfo_Fut_Perc_Mult(
    commission=0.001,  # 0.1%
    mult=10,
    margin=2000  # Margin is needed for futures-like instruments
)

cerebro.broker.addcommissioninfo(comminfo)

这一切都应该解决问题。

解释pseudoexec

让我们回顾一下 的定义_getcommission：

def _getcommission(self, size, price, pseudoexec):
    '''Calculates the commission of an operation at a given price

    pseudoexec: if True the operation has not yet been executed
    '''

pseudoexec arg 的目的可能看起来晦涩难懂，但它是有目的的。

  • 平台可能会调用该方法来进行可用现金的预计算和一些其他任务
  • 这意味着该方法可能（并且实际上会）使用相同的参数多次调用

pseudoexec指示调用是否对应于订单的实际执行。尽管乍一看这似乎并不“相关”，但如果考虑以下情况：

  • 一旦谈判合约数量超过5000个单位，经纪人提供期货往返佣金50％的折扣

    在这种情况下，如果pseudoexec不存在，对该方法的多次非执行调用将迅速触发折扣已到位的假设。

让场景发挥作用：

import backtrader as bt

class CommInfo_Fut_Discount(bt.CommInfoBase):
    params = (
      ('stocklike', False),  # Futures
      ('commtype', bt.CommInfoBase.COMM_FIXED),  # Apply Commission

      # Custom params for the discount
      ('discount_volume', 5000),  # minimum contracts to achieve discount
      ('discount_perc', 50.0),  # 50.0% discount
    )

    negotiated_volume = 0  # attribute to keep track of the actual volume

    def _getcommission(self, size, price, pseudoexec):
        if self.negotiated_volume > self.p.discount_volume:
           actual_discount = self.p.discount_perc / 100.0
        else:
           actual_discount = 0.0

        commission = self.p.commission * (1.0 - actual_discount)
        commvalue = size * price * commission

        if not pseudoexec:
           # keep track of actual real executed size for future discounts
           self.negotiated_volume += size

        return commvalue

目的和存在pseudoexec希望现在很清楚。

CommInfoBase 文档字符串和参数

这里是：

class CommInfoBase(with_metaclass(MetaParams)):
    '''Base Class for the Commission Schemes.

    Params:

      - commission (def: 0.0): base commission value in percentage or monetary
        units

      - mult (def 1.0): multiplier applied to the asset for value/profit

      - margin (def: None): amount of monetary units needed to open/hold an
        operation. It only applies if the final ``_stocklike`` attribute in the
        class is set to False

      - commtype (def: None): Supported values are CommInfoBase.COMM_PERC
        (commission to be understood as %) and CommInfoBase.COMM_FIXED
        (commission to be understood as monetary units)

        The default value of ``None`` is a supported value to retain
        compatibility with the legacy ``CommissionInfo`` object. If
        ``commtype`` is set to None, then the following applies:

          - margin is None: Internal _commtype is set to COMM_PERC and
            _stocklike is set to True (Operating %-wise with Stocks)

          - margin is not None: _commtype set to COMM_FIXED and _stocklike set
            to False (Operating with fixed rount-trip commission with Futures)

        If this param is set to something else than None, then it will be
        passed to the internal ``_commtype`` attribute and the same will be
        done with the param ``stocklike`` and the internal attribute
        ``_stocklike``

      - stocklike (def: False):  Indicates if the instrument is Stock-like or
        Futures-like (see the ``commtype`` discussion above)

      - percabs (def: False): when ``commtype`` is set to COMM_PERC, whether
        the parameter ``commission`` has to be understood as XX% or 0.XX

        If this param is True: 0.XX
        If this param is False: XX%

    Attributes:

      - _stocklike: Final value to use for Stock-like/Futures-like behavior
      - _commtype: Final value to use for PERC vs FIXED commissions

      This two are used internally instead of the declared params to enable the
      compatibility check described above for the legacy ``CommissionInfo``
      object
    '''

    COMM_PERC, COMM_FIXED = range(2)

    params = (
        ('commission', 0.0), ('mult', 1.0), ('margin', None),
        ('commtype', None),
        ('stocklike', False),
        ('percabs', False),
    )

 

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