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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.

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fredfortier
2017-10-31 21:40:12 -04:00
parent 30eea4b8f7
commit e6ff7ee4fc
1 changed files with 4 additions and 11 deletions
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catalyst/exchange/exchange_blotter.py
+4 -11
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@@ -11,10 +11,10 @@ log = Logger('exchange_blotter', level=LOG_LEVEL)
# It seems like we need to accept greater slippage risk in cryptos # It seems like we need to accept greater slippage risk in cryptos
# Orders won't often close at Equity levels. # Orders won't often close at Equity levels.
# TODO: consider adjusting dynamically based on trading pair # TODO: should work with set_commission and set_slippage
DEFAULT_SLIPPAGE_SPREAD = 0.02 DEFAULT_SLIPPAGE_SPREAD = 0.0001
DEFAULT_MAKER_FEE = 0.001 DEFAULT_MAKER_FEE = 0.15
DEFAULT_TAKER_FEE = 0.002 DEFAULT_TAKER_FEE = 0.25
class TradingPairFeeSchedule(CommissionModel): class TradingPairFeeSchedule(CommissionModel):
@@ -100,13 +100,6 @@ class TradingPairFixedSlippage(SlippageModel):
transaction = create_transaction( transaction = create_transaction(
order, dt, execution_price, execution_volume 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) self._volume_for_bar += abs(transaction.amount)
yield order, transaction yield order, transaction