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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
@@ -41,7 +41,6 @@ from zipline.finance.transaction import create_transaction
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import zipline.utils.math_utils as zp_math
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from zipline.finance.blotter import Order
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from zipline.finance.commission import PerShare, PerTrade, PerDollar
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from zipline.finance.performance.position import Position
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from zipline.utils.factory import create_simulation_parameters
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from zipline.utils.serialization_utils import (
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@@ -392,183 +391,6 @@ class TestSplitPerformance(WithSimParams, WithTmpDir, ZiplineTestCase):
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(i, perf_kind, perf_result['returns']))
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class TestCommissionEvents(WithSimParams, WithTmpDir, ZiplineTestCase):
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START_DATE = pd.Timestamp('2006-01-03', tz='utc')
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END_DATE = pd.Timestamp('2006-01-09', tz='utc')
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ASSET_FINDER_EQUITY_SIDS = 0, 1, 133
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SIM_PARAMS_CAPITAL_BASE = 10e3
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@classmethod
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def init_class_fixtures(cls):
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super(TestCommissionEvents, cls).init_class_fixtures()
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cls.asset1 = cls.env.asset_finder.retrieve_asset(1)
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def test_commission_event(self):
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trade_events = factory.create_trade_history(
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self.asset1,
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[10, 10, 10, 10, 10],
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[100, 100, 100, 100, 100],
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oneday,
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self.sim_params,
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env=self.env
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)
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# Test commission models and validate result
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# Expected commission amounts:
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# PerShare commission: 1.00, 1.00, 1.50 = $3.50
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# PerTrade commission: 5.00, 5.00, 5.00 = $15.00
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# PerDollar commission: 1.50, 3.00, 4.50 = $9.00
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# Total commission = $3.50 + $15.00 + $9.00 = $27.50
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data_portal = create_data_portal_from_trade_history(
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self.env,
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self.tmpdir,
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self.sim_params,
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{1: trade_events},
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)
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# Create 3 transactions: 50, 100, 150 shares traded @ $20
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first_trade = trade_events[0]
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transactions = [create_txn(first_trade.sid, first_trade.dt, 20, i)
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for i in [50, 100, 150]]
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# Create commission models and validate that produce expected
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# commissions.
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models = [PerShare(cost=0.01, min_trade_cost=1.00),
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PerTrade(cost=5.00),
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PerDollar(cost=0.0015)]
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expected_results = [3.50, 15.0, 9.0]
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for model, expected in zip(models, expected_results):
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total_commission = 0
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for trade in transactions:
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total_commission += model.calculate(trade)[1]
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self.assertEqual(total_commission, expected)
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# Verify that commission events are handled correctly by
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# PerformanceTracker.
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commissions = {}
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cash_adj_dt = trade_events[0].dt
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cash_adjustment = factory.create_commission(1, 300.0, cash_adj_dt)
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commissions[cash_adj_dt] = [cash_adjustment]
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# Insert a purchase order.
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txns = [create_txn(first_trade.sid, first_trade.dt, 20, 1)]
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results = calculate_results(self.sim_params,
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self.env,
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data_portal,
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txns=txns,
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commissions=commissions)
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# Validate that we lost 320 dollars from our cash pool.
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self.assertEqual(results[-1]['cumulative_perf']['ending_cash'],
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9680, "Should have lost 320 from cash pool.")
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# Validate that the cost basis of our position changed.
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self.assertEqual(results[-1]['daily_perf']['positions']
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[0]['cost_basis'], 320.0)
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# Validate that the account attributes were updated.
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account = results[1]['account']
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self.assertEqual(float('inf'), account['day_trades_remaining'])
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np.testing.assert_allclose(0.001, account['leverage'], rtol=1e-3,
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atol=1e-4)
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np.testing.assert_allclose(9680, account['regt_equity'], rtol=1e-3)
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self.assertEqual(float('inf'), account['regt_margin'])
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np.testing.assert_allclose(9680, account['available_funds'],
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rtol=1e-3)
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self.assertEqual(0, account['maintenance_margin_requirement'])
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np.testing.assert_allclose(9690,
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account['equity_with_loan'], rtol=1e-3)
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self.assertEqual(float('inf'), account['buying_power'])
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self.assertEqual(0, account['initial_margin_requirement'])
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np.testing.assert_allclose(9680, account['excess_liquidity'],
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rtol=1e-3)
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np.testing.assert_allclose(9680, account['settled_cash'],
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rtol=1e-3)
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np.testing.assert_allclose(9690, account['net_liquidation'],
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rtol=1e-3)
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np.testing.assert_allclose(0.999, account['cushion'], rtol=1e-3)
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np.testing.assert_allclose(10, account['total_positions_value'],
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rtol=1e-3)
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self.assertEqual(0, account['accrued_interest'])
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def test_commission_zero_position(self):
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"""
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Ensure no div-by-zero errors.
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"""
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events = factory.create_trade_history(
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self.asset1,
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[10, 10, 10, 10, 10],
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[100, 100, 100, 100, 100],
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oneday,
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self.sim_params,
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env=self.env
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)
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data_portal = create_data_portal_from_trade_history(
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self.env,
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self.tmpdir,
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self.sim_params,
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{1: events},
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)
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# Buy and sell the same sid so that we have a zero position by the
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# time of events[3].
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txns = [
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create_txn(self.asset1, events[0].dt, 20, 1),
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create_txn(self.asset1, events[0].dt, 20, -1)
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]
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# Add a cash adjustment at the time of event[3].
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cash_adj_dt = events[3].dt
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commissions = {}
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cash_adjustment = factory.create_commission(1, 300.0, cash_adj_dt)
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commissions[cash_adj_dt] = [cash_adjustment]
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results = calculate_results(self.sim_params,
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self.env,
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data_portal,
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txns=txns,
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commissions=commissions)
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# Validate that we lost 300 dollars from our cash pool.
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self.assertEqual(results[-1]['cumulative_perf']['ending_cash'],
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9700)
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def test_commission_no_position(self):
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"""
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Ensure no position-not-found or sid-not-found errors.
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"""
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events = factory.create_trade_history(
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self.asset1,
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[10, 10, 10, 10, 10],
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[100, 100, 100, 100, 100],
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oneday,
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self.sim_params,
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env=self.env
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)
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data_portal = create_data_portal_from_trade_history(
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self.env,
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self.tmpdir,
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self.sim_params,
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{1: events},
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)
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# Add a cash adjustment at the time of event[3].
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cash_adj_dt = events[3].dt
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commissions = {}
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cash_adjustment = factory.create_commission(self.asset1,
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300.0, cash_adj_dt)
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commissions[cash_adj_dt] = [cash_adjustment]
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results = calculate_results(self.sim_params,
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self.env,
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data_portal,
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commissions=commissions)
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# Validate that we lost 300 dollars from our cash pool.
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self.assertEqual(results[-1]['cumulative_perf']['ending_cash'],
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9700)
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class TestDividendPerformance(WithSimParams,
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WithInstanceTmpDir,
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ZiplineTestCase):
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