From df357d23279a3ca7f30c5bc0fe1a4a83d0760d52 Mon Sep 17 00:00:00 2001 From: fredfortier Date: Tue, 31 Oct 2017 21:43:24 -0400 Subject: [PATCH] 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) --- catalyst/exchange/exchange_blotter.py | 6 +++--- 1 file changed, 3 insertions(+), 3 deletions(-) diff --git a/catalyst/exchange/exchange_blotter.py b/catalyst/exchange/exchange_blotter.py index dc612891..365682c7 100644 --- a/catalyst/exchange/exchange_blotter.py +++ b/catalyst/exchange/exchange_blotter.py @@ -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):