adding independent commission modeling.

zipline/finance/commissions.py

@@ -0,0 +1,19 @@
+class PerShareCommission(object):
+
+    def __init__(self, cost=0.03):
+        self.cost = cost
+
+
+    def calculate(self, transaction):
+        return self.cost, abs(transaction.amount * self.cost)
+
+class PerTradeCommission(object):
+
+    def __init__(self, cost=5.0):
+        self.cost = cost
+
+    def calculate(self, transaction):
+        if transaction.amount == 0:
+            return 0.0, 0.0
+
+        return abs(self.cost / transaction.amount), self.cost

zipline/finance/slippage.py

@@ -1,24 +1,31 @@
 import pytz
 import math
-from datetime import timedelta
 
 import zipline.protocol as zp
 
-def create_transaction(sid, amount, price, dt, direction, commission):
+from zipline.finance.commissions import PerShareCommission
+
+def create_transaction(sid, amount, price, dt, commission):
+
     txn = {'sid'            : sid,
             'amount'        : int(amount),
             'dt'            : dt,
             'price'         : price,
-            'commission'    : commission * amount * direction
           }
-    return zp.ndict(txn)
+
+    transaction = zp.ndict(txn)
+    per_share, total_commission = commission.calculate(transaction)
+    transaction.price = transaction.price + per_share
+    transaction.commission = total_commission
+    return transaction
 
 class VolumeShareSlippage(object):
 
     def __init__(self,
             volume_limit=.25,
             price_impact=0.1,
-            commission=0.03):
+            commission=PerShareCommission()):
+
         self.volume_limit = volume_limit
         self.price_impact = price_impact
         self.commission = commission
@@ -83,13 +90,12 @@ class VolumeShareSlippage(object):
                 simulated_amount,
                 event.price + simulated_impact,
                 dt.replace(tzinfo = pytz.utc),
-                direction,
                 self.commission
             )
 
 class FixedSlippage(object):
 
-    def __init__(self, spread=0.0, commission=0.0):
+    def __init__(self, spread=0.0, commission=PerShareCommission()):
         """
         Use the fixed slippage model, which will just add/subtract a specified spread
         spread/2 will be added on buys and subtracted on sells per share
@@ -119,7 +125,6 @@ class FixedSlippage(object):
             amount,
             event.price + (self.spread/2.0 * direction),
             event.dt,
-            direction,
             self.commission
         )