Source code for qf_lib.backtesting.execution_handler.commission_models.bps_trade_value_commission_model

#     Copyright 2016-present CERN – European Organization for Nuclear Research
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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