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# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
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# http://www.apache.org/licenses/LICENSE-2.0
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from qf_lib.backtesting.execution_handler.commission_models.commission_model import CommissionModel
[docs]class BpsTradeValueCommissionModel(CommissionModel):
"""
Commission model which uses fixed bps rate for trade value. For example always 2pbs of the $ value ot the trade.
Parameters
----------
commission
commission expressed in a basis points. (e.g. 2.0 denotes 2 pbs of trade value).
"""
def __init__(self, commission: float):
self.commission = commission
def calculate_commission(self, fill_quantity: float, fill_price: float) -> float:
fill_quantity = abs(fill_quantity)
commission = fill_price * fill_quantity * self.commission / 10000
return commission