wassname/catalyst
1
0
Fork 0
mirror of https://github.com/wassname/catalyst.git synced 2026-07-11 20:40:54 +08:00
Code Issues Packages Projects Releases Wiki Activity

fixed bug where commission ignored order direction

Browse Source
This commit is contained in:
fawce
2012-10-01 21:46:48 -04:00
parent 5e9edc02c4
commit 9f8fd52b7d
1 changed files with 4 additions and 2 deletions
Download Patch File Download Diff File Expand all files Collapse all files
zipline/finance/slippage.py
+4 -2
View File
@@ -10,10 +10,12 @@ def transact_stub(slippage, commission, open_orders, events):
This is intended to be wrapped in a partial, so that the
slippage and commission models can be enclosed.
"""
transaction = slippage.simulate(open_orders, events)
if transaction:
if transaction and transaction.amount != 0:
direction = abs(transaction.amount) / transaction.amount
per_share, total_commission = commission.calculate(transaction)
transaction.price = transaction.price + per_share
transaction.price = transaction.price + (per_share * direction)
transaction.commission = total_commission
return transaction