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BUG: reduced the commission and slippage values to account for lower volume transactions. These models are still simple approximations. More work required to closely model exchange fees. (fixing previous commit)

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fredfortier
2017-10-31 21:43:24 -04:00
parent e6ff7ee4fc
commit df357d2327
1 changed files with 3 additions and 3 deletions
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catalyst/exchange/exchange_blotter.py
+3 -3
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@@ -5,7 +5,7 @@ from catalyst.constants import LOG_LEVEL
from catalyst.finance.blotter import Blotter
from catalyst.finance.commission import CommissionModel
from catalyst.finance.slippage import SlippageModel
from catalyst.finance.transaction import Transaction, create_transaction
from catalyst.finance.transaction import create_transaction
log = Logger('exchange_blotter', level=LOG_LEVEL)
@@ -13,8 +13,8 @@ log = Logger('exchange_blotter', level=LOG_LEVEL)
# Orders won't often close at Equity levels.
# TODO: should work with set_commission and set_slippage
DEFAULT_SLIPPAGE_SPREAD = 0.0001
DEFAULT_MAKER_FEE = 0.15
DEFAULT_TAKER_FEE = 0.25
DEFAULT_MAKER_FEE = 0.0015
DEFAULT_TAKER_FEE = 0.0025
class TradingPairFeeSchedule(CommissionModel):