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