commission: Commission

In DavisVaughan/flyingfox: An Interface to the Quantopian Zipline Financial Backtester

Description

Control the commission model used for the backtest. Commission can be calculated per trade, per share, or per dollar.

Usage

fly_set_commission(us_equities = NULL, us_futures = NULL)

PerShare(cost = 0.001, min_trade_cost = 0)

PerTrade(cost = 0)

PerDollar(cost = 0.0015)

Arguments

us_equities	The commission model to use for trading US equities
us_futures	The commission model to use for trading US futures
cost	The amount of commissions paid per dollar/share/trade.
min_trade_cost	The minimum amount of commissions paid per trade.

Details

• fly_set_commission() - Set the commission model for the backtest.

• PerShare() - Calculates a commission for a transaction based on a per share cost with an optional minimum cost per trade.

• PerTrade() - Calculates a commission for a transaction based on a per trade cost.

• PerDollar() - Calculates a commission for a transaction based on a per dollar cost.

Zipline Documentation

• fly_set_commission()

• PerShare()

• PerTrade()

• PerDollar()

DavisVaughan/flyingfox documentation built on May 5, 2019, 12:28 a.m.