Backtrader细分佣金计划

不久前，委员会计划的实施进行了重新设计。最重要的是：涉及的部分返工：

保留原始的佣金信息类和行为
打开大门，轻松创建用户定义的佣金
将格式 xx% 作为新佣金方案的默认值，而不是 0.xx（只是一个品味问题），保持行为可配置

扩展委员会概述了基本要素。

注意

请参阅下面的文档字符串CommInfoBase ，以获取参数参考

定义佣金计划

它涉及1或2个步骤

子类CommInfoBase

只需更改缺省参数可能就足够了。backtrader 已经使用模块 backtrader.commissions中存在的一些定义来运行此操作。期货的常规行业标准是每份合约和每轮的固定金额。该定义可以按如下方式完成：
```
class CommInfo_Futures_Fixed(CommInfoBase):
    params = (
        ('stocklike', False),
        ('commtype', CommInfoBase.COMM_FIXED),
    )
```
对于股票和perc明智的佣金：
```
class CommInfo_Stocks_Perc(CommInfoBase):
    params = (
        ('stocklike', True),
        ('commtype', CommInfoBase.COMM_PERC),
    )
```
如上所述，此处百分比（作为参数commission传递）的解释的默认值为： xx%。如果旧的/其他的行为被期望 0.xx，它可以很容易地完成：
```
class CommInfo_Stocks_PercAbs(CommInfoBase):
    params = (
        ('stocklike', True),
        ('commtype', CommInfoBase.COMM_PERC),
        ('percabs', True),
    )
```

重写（如果需要）_getcommission 方法

定义为：

def _getcommission(self, size, price, pseudoexec):
   '''Calculates the commission of an operation at a given price

   pseudoexec: if True the operation has not yet been executed
   '''

更多细节，请参阅下面的实际范例

如何将其应用于平台

一旦子CommInfoBase 类就位，诀窍就是使用 broker.addcommissioninfo 而不是通常 broker.setcommission的。后者将在内部使用遗留 CommissionInfoObject。

比说的更容易做到：

...

comminfo = CommInfo_Stocks_PercAbs(commission=0.005)  # 0.5%
cerebro.broker.addcommissioninfo(comminfo)

该addcommissioninfo 方法定义如下：

def addcommissioninfo(self, comminfo, name=None):
    self.comminfo[name] = comminfo

设置name 意味着该 comminfo 对象将仅应用于具有该名称的资源。默认值表示 None 它适用于系统中的所有资产。

一个实际的例子

票证#45 询问适用于期货的佣金计划，是百分比明智的，并使用整个合约“虚拟”价值的佣金百分比。即：在佣金计算中包括未来乘数。

这应该很容易：

import backtrader as bt

class CommInfo_Fut_Perc_Mult(bt.CommInfoBase):
    params = (
      ('stocklike', False),  # Futures
      ('commtype', bt.CommInfoBase.COMM_PERC),  # Apply % Commission
    # ('percabs', False),  # pass perc as xx% which is the default
    )

    def _getcommission(self, size, price, pseudoexec):
        return size * price * self.p.commission * self.p.mult

将放入系统：

comminfo = CommInfo_Fut_Perc_Mult(
    commission=0.1,  # 0.1%
    mult=10,
    margin=2000  # Margin is needed for futures-like instruments
)

cerebro.broker.addcommission(comminfo)

如果首选格式0.xx 作为默认值，只需将 param percabs 设置为 True：

class CommInfo_Fut_Perc_Mult(bt.CommInfoBase):
    params = (
      ('stocklike', False),  # Futures
      ('commtype', bt.CommInfoBase.COMM_PERC),  # Apply % Commission
      ('percabs', True),  # pass perc as 0.xx
    )

comminfo = CommInfo_Fut_Perc_Mult(
    commission=0.001,  # 0.1%
    mult=10,
    margin=2000  # Margin is needed for futures-like instruments
)

cerebro.broker.addcommissioninfo(comminfo)

这一切都应该可以解决问题。

解释`pseudoexec`

让我们回想一下以下定义_getcommission：

def _getcommission(self, size, price, pseudoexec):
    '''Calculates the commission of an operation at a given price

    pseudoexec: if True the operation has not yet been executed
    '''

arg的目的pseudoexec 可能看起来很晦涩难懂，但它有一个目的。

平台可能会调用此方法对可用现金和其他一些任务进行预计算
这意味着该方法可以（实际上也会）使用相同的参数多次调用。

pseudoexec 指示调用是否对应于订单的实际运行。虽然乍一看这似乎并不「相关」，但如果考虑以下情况：

一旦协商的合约金额超过5000单位，经纪人提供50%的期货往返佣金折扣

在这种情况下，如果pseudoexec 不存在，则对方法的多个非运行调用将很快触发折扣已到位的假设。

将方案付诸实践：

import backtrader as bt

class CommInfo_Fut_Discount(bt.CommInfoBase):
    params = (
      ('stocklike', False),  # Futures
      ('commtype', bt.CommInfoBase.COMM_FIXED),  # Apply Commission

      # Custom params for the discount
      ('discount_volume', 5000),  # minimum contracts to achieve discount
      ('discount_perc', 50.0),  # 50.0% discount
    )

    negotiated_volume = 0  # attribute to keep track of the actual volume

    def _getcommission(self, size, price, pseudoexec):
        if self.negotiated_volume > self.p.discount_volume:
           actual_discount = self.p.discount_perc / 100.0
        else:
           actual_discount = 0.0

        commission = self.p.commission * (1.0 - actual_discount)
        commvalue = size * price * commission

        if not pseudoexec:
           # keep track of actual real executed size for future discounts
           self.negotiated_volume += size

        return commvalue

希望现在的目的和存在pseudoexec 是明确的。

CommInfoBase docstring and params

在这里：

class CommInfoBase(with_metaclass(MetaParams)):
    '''Base Class for the Commission Schemes.

    Params:

      - commission (def: 0.0): base commission value in percentage or monetary
        units

      - mult (def 1.0): multiplier applied to the asset for value/profit

      - margin (def: None): amount of monetary units needed to open/hold an
        operation. It only applies if the final ``_stocklike`` attribute in the
        class is set to False

      - commtype (def: None): Supported values are CommInfoBase.COMM_PERC
        (commission to be understood as %) and CommInfoBase.COMM_FIXED
        (commission to be understood as monetary units)

        The default value of ``None`` is a supported value to retain
        compatibility with the legacy ``CommissionInfo`` object. If
        ``commtype`` is set to None, then the following applies:

          - margin is None: Internal _commtype is set to COMM_PERC and
            _stocklike is set to True (Operating %-wise with Stocks)

          - margin is not None: _commtype set to COMM_FIXED and _stocklike set
            to False (Operating with fixed rount-trip commission with Futures)

        If this param is set to something else than None, then it will be
        passed to the internal ``_commtype`` attribute and the same will be
        done with the param ``stocklike`` and the internal attribute
        ``_stocklike``

      - stocklike (def: False):  Indicates if the instrument is Stock-like or
        Futures-like (see the ``commtype`` discussion above)

      - percabs (def: False): when ``commtype`` is set to COMM_PERC, whether
        the parameter ``commission`` has to be understood as XX% or 0.XX

        If this param is True: 0.XX
        If this param is False: XX%

    Attributes:

      - _stocklike: Final value to use for Stock-like/Futures-like behavior
      - _commtype: Final value to use for PERC vs FIXED commissions

      This two are used internally instead of the declared params to enable the
      compatibility check described above for the legacy ``CommissionInfo``
      object
    '''

    COMM_PERC, COMM_FIXED = range(2)

    params = (
        ('commission', 0.0), ('mult', 1.0), ('margin', None),
        ('commtype', None),
        ('stocklike', False),
        ('percabs', False),
    )

Backtrader细分佣金计划

定义佣金计划

如何将其应用于平台

一个实际的例子

解释`pseudoexec`

CommInfoBase docstring and params

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如何将其应用于平台

一个实际的例子

解释pseudoexec

CommInfoBase docstring and params

推荐阅读

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解释`pseudoexec`