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https://github.com/wassname/catalyst.git
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Eddie Hebert
23ff65ad32
The cost value should always be a float. The per share calculation shouldn't be changed dramatically by being a float, (except for potential rounding errors), but change to so that PerShare and PerTrade are aligned. # Please enter the commit message for your changes. Lines starting
64 lines
1.9 KiB
Python
64 lines
1.9 KiB
Python
#
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# Copyright 2012 Quantopian, Inc.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at
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#
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# http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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class PerShare(object):
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"""
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Calculates a commission for a transaction based on a per
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share cost.
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"""
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def __init__(self, cost=0.03):
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"""
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Cost parameter is the cost of a trade per-share. $0.03
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means three cents per share, which is a very conservative
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(quite high) for per share costs.
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"""
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self.cost = float(cost)
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def calculate(self, transaction):
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"""
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returns a tuple of:
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(per share commission, total transaction commission)
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"""
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return self.cost, abs(transaction.amount * self.cost)
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class PerTrade(object):
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"""
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Calculates a commission for a transaction based on a per
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trade cost.
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"""
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def __init__(self, cost=5.0):
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"""
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Cost parameter is the cost of a trade, regardless of
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share count. $5.00 per trade is fairly typical of
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discount brokers.
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"""
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# Cost needs to be floating point so that calculation using division
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# logic does not floor to an integer.
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self.cost = float(cost)
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def calculate(self, transaction):
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"""
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returns a tuple of:
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(per share commission, total transaction commission)
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"""
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if transaction.amount == 0:
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return 0.0, 0.0
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return abs(self.cost / transaction.amount), self.cost
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