From e6ff7ee4fcfcd80cb4da7ee22a8058272f53d0fe Mon Sep 17 00:00:00 2001 From: fredfortier Date: Tue, 31 Oct 2017 21:40:12 -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. --- catalyst/exchange/exchange_blotter.py | 15 ++++----------- 1 file changed, 4 insertions(+), 11 deletions(-) diff --git a/catalyst/exchange/exchange_blotter.py b/catalyst/exchange/exchange_blotter.py index 8fcbf623..dc612891 100644 --- a/catalyst/exchange/exchange_blotter.py +++ b/catalyst/exchange/exchange_blotter.py @@ -11,10 +11,10 @@ log = Logger('exchange_blotter', level=LOG_LEVEL) # It seems like we need to accept greater slippage risk in cryptos # Orders won't often close at Equity levels. -# TODO: consider adjusting dynamically based on trading pair -DEFAULT_SLIPPAGE_SPREAD = 0.02 -DEFAULT_MAKER_FEE = 0.001 -DEFAULT_TAKER_FEE = 0.002 +# TODO: should work with set_commission and set_slippage +DEFAULT_SLIPPAGE_SPREAD = 0.0001 +DEFAULT_MAKER_FEE = 0.15 +DEFAULT_TAKER_FEE = 0.25 class TradingPairFeeSchedule(CommissionModel): @@ -100,13 +100,6 @@ class TradingPairFixedSlippage(SlippageModel): transaction = create_transaction( order, dt, execution_price, execution_volume ) - # transaction = Transaction( - # asset=order.asset, - # amount=abs(execution_volume), - # dt=dt, - # price=execution_price, - # order_id=order.id - # ) self._volume_for_bar += abs(transaction.amount) yield order, transaction