佣金和相关功能由单个类 CommissionInfo 管理，该类主要通过调用 broker.setcommission 进行实例化。
有一些帖子讨论了这种行为。
佣金：股票与期货
提高佣金：股票与期货
该概念仅限于具有保证金和每份合约固定佣金的期货以及具有基于价格/规模百分比的佣金的股票。不是最灵活的计划，即使它已经达到了目的。
关于我自己的实现，只有一件事我不喜欢，那就是CommissionInfo采用绝对值 (0.xx) 而不是相对值 (xx%) 的百分比值
GitHub #29上的增强请求导致了一些返工，以便：
保持
CommissionInfo和broker.setcommission与原始行为兼容对代码进行一些清理
使委员会计划灵活，以支持增强请求和进一步的可能性
拿到样品前的实际工作：
class CommInfoBase(with_metaclass(MetaParams)):
COMM_PERC, COMM_FIXED = range(2)
params = (
('commission', 0.0), ('mult', 1.0), ('margin', None),
('commtype', None),
('stocklike', False),
('percabs', False),
)
引入了CommissionInfo的基类，它向组合中添加了新参数：
commtype（默认值：无）这是兼容性的关键。如果值为
None，则CommissionInfo对象和broker.setcommission的行为将像以前一样工作。就是这样：如果设置了
margin，那么佣金计划适用于每份合约固定佣金的期货如果未设置
margin，佣金计划适用于基于百分比方法的股票
如果值为
COMM_PERC或COMM_FIXED（或任何其他派生类），这显然决定了佣金是固定的还是基于百分比的stocklike（默认值： False ）如上所述，旧的
CommissionInfo对像中的实际行为由参数margin确定如上所述，如果
commtype设置为None以外的其他值，则此值指示该资产是否为类似期货的资产（将使用保证金并运行基于条形的现金调整 9 或者这是类似股票的资产percabs（默认值： False ）如果为
False，则百分比必须以相对形式传递 (xx%)如果为
True，则百分比必须作为绝对值 (0.xx) 传递CommissionInfo是CommInfoBase的子类，将此参数的默认值更改为True以保持兼容的行为
所有这些参数也可以在broker.setcommission中使用，现在看起来像这样：
def setcommission(self,
commission=0.0, margin=None, mult=1.0,
commtype=None, percabs=True, stocklike=False,
name=None):
请注意以下事项：
-
percabs为True以保持与上面提到的CommissionInfo对象的旧调用兼容的行为
测试commissions-schemes的旧样本已经过重新设计，以支持命令行参数和新行为。使用帮助：
$ ./commission-schemes.py --help
usage: commission-schemes.py [-h] [--data DATA] [--fromdate FROMDATE]
[--todate TODATE] [--stake STAKE]
[--period PERIOD] [--cash CASH] [--comm COMM]
[--mult MULT] [--margin MARGIN]
[--commtype {none,perc,fixed}] [--stocklike]
[--percrel] [--plot] [--numfigs NUMFIGS]
Commission schemes
optional arguments:
-h, --help show this help message and exit
--data DATA, -d DATA data to add to the system (default:
../../datas/2006-day-001.txt)
--fromdate FROMDATE, -f FROMDATE
Starting date in YYYY-MM-DD format (default:
2006-01-01)
--todate TODATE, -t TODATE
Starting date in YYYY-MM-DD format (default:
2006-12-31)
--stake STAKE Stake to apply in each operation (default: 1)
--period PERIOD Period to apply to the Simple Moving Average (default:
30)
--cash CASH Starting Cash (default: 10000.0)
--comm COMM Commission factor for operation, either apercentage or
a per stake unit absolute value (default: 2.0)
--mult MULT Multiplier for operations calculation (default: 10)
--margin MARGIN Margin for futures-like operations (default: 2000.0)
--commtype {none,perc,fixed}
Commission - choose none for the old CommissionInfo
behavior (default: none)
--stocklike If the operation is for stock-like assets orfuture-
like assets (default: False)
--percrel If perc is expressed in relative xx{'const': True,
'help': u'If perc is expressed in relative xx%
ratherthan absolute value 0.xx', 'option_strings': [u'
--percrel'], 'dest': u'percrel', 'required': False,
'nargs': 0, 'choices': None, 'default': False, 'prog':
'commission-schemes.py', 'container':
<argparse._ArgumentGroup object at
0x0000000007EC9828>, 'type': None, 'metavar':
None}atherthan absolute value 0.xx (default: False)
--plot, -p Plot the read data (default: False)
--numfigs NUMFIGS, -n NUMFIGS
Plot using numfigs figures (default: 1)
让我们运行一些进程来重新创建原始佣金计划帖子的原始行为。
期货佣金（固定和有保证金）
运行和图表：
$ ./commission-schemes.py --comm 2.0 --margin 2000.0 --mult 10 --plot
输出显示固定佣金为 2.0 个货币单位（默认赌注为 1）：
2006-03-09, BUY CREATE, 3757.59 2006-03-10, BUY EXECUTED, Price: 3754.13, Cost: 2000.00, Comm 2.00 2006-04-11, SELL CREATE, 3788.81 2006-04-12, SELL EXECUTED, Price: 3786.93, Cost: 2000.00, Comm 2.00 2006-04-12, TRADE PROFIT, GROSS 328.00, NET 324.00 ...
股票佣金（perc 和无保证金）
运行和图表：
$ ./commission-schemes.py --comm 0.005 --margin 0 --mult 1 --plot
为了提高可读性，可以使用相对百分比值：
$ ./commission-schemes.py --percrel --comm 0.5 --margin 0 --mult 1 --plot
现在0.5直接表示0.5%
作为两种情况下的输出：
2006-03-09, BUY CREATE, 3757.59 2006-03-10, BUY EXECUTED, Price: 3754.13, Cost: 3754.13, Comm 18.77 2006-04-11, SELL CREATE, 3788.81 2006-04-12, SELL EXECUTED, Price: 3786.93, Cost: 3754.13, Comm 18.93 2006-04-12, TRADE PROFIT, GROSS 32.80, NET -4.91 ...
期货佣金（perc 和保证金）
使用新参数，基于 perc 的方案的期货：
$ ./commission-schemes.py --commtype perc --percrel --comm 0.5 --margin 2000 --mult 10 --plot
毫不奇怪，通过改变委员会......最终结果已经改变
输出显示佣金现在是可变的：
2006-03-09, BUY CREATE, 3757.59 2006-03-10, BUY EXECUTED, Price: 3754.13, Cost: 2000.00, Comm 18.77 2006-04-11, SELL CREATE, 3788.81 2006-04-12, SELL EXECUTED, Price: 3786.93, Cost: 2000.00, Comm 18.93 2006-04-12, TRADE PROFIT, GROSS 328.00, NET 290.29 ...
在上一次运行中设置 2.0 货币单位（默认赌注为 1）
另一篇文章将详细介绍新课程和男士熟食佣金计划的实施。
示例代码
from __future__ import (absolute_import, division, print_function,
unicode_literals)
import argparse
import datetime
import backtrader as bt
import backtrader.feeds as btfeeds
import backtrader.indicators as btind
class SMACrossOver(bt.Strategy):
params = (
('stake', 1),
('period', 30),
)
def log(self, txt, dt=None):
''' Logging function fot this strategy'''
dt = dt or self.datas[0].datetime.date(0)
print('%s, %s' % (dt.isoformat(), txt))
def notify_order(self, order):
if order.status in [order.Submitted, order.Accepted]:
# Buy/Sell order submitted/accepted to/by broker - Nothing to do
return
# Check if an order has been completed
# Attention: broker could reject order if not enougth cash
if order.status in [order.Completed, order.Canceled, order.Margin]:
if order.isbuy():
self.log(
'BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
(order.executed.price,
order.executed.value,
order.executed.comm))
else: # Sell
self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
(order.executed.price,
order.executed.value,
order.executed.comm))
def notify_trade(self, trade):
if trade.isclosed:
self.log('TRADE PROFIT, GROSS %.2f, NET %.2f' %
(trade.pnl, trade.pnlcomm))
def __init__(self):
sma = btind.SMA(self.data, period=self.p.period)
# > 0 crossing up / < 0 crossing down
self.buysell_sig = btind.CrossOver(self.data, sma)
def next(self):
if self.buysell_sig > 0:
self.log('BUY CREATE, %.2f' % self.data.close[0])
self.buy(size=self.p.stake) # keep order ref to avoid 2nd orders
elif self.position and self.buysell_sig < 0:
self.log('SELL CREATE, %.2f' % self.data.close[0])
self.sell(size=self.p.stake)
def runstrategy():
args = parse_args()
# Create a cerebro
cerebro = bt.Cerebro()
# Get the dates from the args
fromdate = datetime.datetime.strptime(args.fromdate, '%Y-%m-%d')
todate = datetime.datetime.strptime(args.todate, '%Y-%m-%d')
# Create the 1st data
data = btfeeds.BacktraderCSVData(
dataname=args.data,
fromdate=fromdate,
todate=todate)
# Add the 1st data to cerebro
cerebro.adddata(data)
# Add a strategy
cerebro.addstrategy(SMACrossOver, period=args.period, stake=args.stake)
# Add the commission - only stocks like a for each operation
cerebro.broker.setcash(args.cash)
commtypes = dict(
none=None,
perc=bt.CommInfoBase.COMM_PERC,
fixed=bt.CommInfoBase.COMM_FIXED)
# Add the commission - only stocks like a for each operation
cerebro.broker.setcommission(commission=args.comm,
mult=args.mult,
margin=args.margin,
percabs=not args.percrel,
commtype=commtypes[args.commtype],
stocklike=args.stocklike)
# And run it
cerebro.run()
# Plot if requested
if args.plot:
cerebro.plot(numfigs=args.numfigs, volume=False)
def parse_args():
parser = argparse.ArgumentParser(
description='Commission schemes',
formatter_class=argparse.ArgumentDefaultsHelpFormatter,)
parser.add_argument('--data', '-d',
default='../../datas/2006-day-001.txt',
help='data to add to the system')
parser.add_argument('--fromdate', '-f',
default='2006-01-01',
help='Starting date in YYYY-MM-DD format')
parser.add_argument('--todate', '-t',
default='2006-12-31',
help='Starting date in YYYY-MM-DD format')
parser.add_argument('--stake', default=1, type=int,
help='Stake to apply in each operation')
parser.add_argument('--period', default=30, type=int,
help='Period to apply to the Simple Moving Average')
parser.add_argument('--cash', default=10000.0, type=float,
help='Starting Cash')
parser.add_argument('--comm', default=2.0, type=float,
help=('Commission factor for operation, either a'
'percentage or a per stake unit absolute value'))
parser.add_argument('--mult', default=10, type=int,
help='Multiplier for operations calculation')
parser.add_argument('--margin', default=2000.0, type=float,
help='Margin for futures-like operations')
parser.add_argument('--commtype', required=False, default='none',
choices=['none', 'perc', 'fixed'],
help=('Commission - choose none for the old'
' CommissionInfo behavior'))
parser.add_argument('--stocklike', required=False, action='store_true',
help=('If the operation is for stock-like assets or'
'future-like assets'))
parser.add_argument('--percrel', required=False, action='store_true',
help=('If perc is expressed in relative xx% rather'
'than absolute value 0.xx'))
parser.add_argument('--plot', '-p', action='store_true',
help='Plot the read data')
parser.add_argument('--numfigs', '-n', default=1,
help='Plot using numfigs figures')
return parser.parse_args()
if __name__ == '__main__':
runstrategy()