延长佣金
原文： https://www.backtrader.com/docu/extending-commissions/commission-schemes-extended/
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。
这一概念仅限于有保证金和每份合同固定佣金的期货和基于价格/规模百分比佣金的股票。即使达到了目的，也不是最灵活的计划。
对 GitHub29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
-
使佣金计划灵活，以支持增强请求和进一步的可能性
在拿到样品之前的实际工作
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，该基类为混合添加了新参数：
-
commtype（默认为None）这是兼容性的关键。如果值为
None，则CommissionInfo对象和broker.setcommission的行为将与之前一样工作。即：-
如果设置了
margin，则佣金方案适用于每个合同都有固定佣金的期货 -
如果未设置
margin，则佣金方案针对股票，采用百分比法
如果该值为
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（默认为False）如上所述，旧的
CommissionInfo对象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，则该值表示该资产是否为期货类资产（将使用保证金并执行基于条形图的现金调整 9，否则为股票类资产） -
percabs（默认为False）如果
False，则百分比必须以相对值（xx%）通过如果
True百分比必须作为绝对值传递（0.xx）CommissionInfo是CommInfoBase的子类，将该参数的默认值更改为True以保持兼容行为
所有这些参数也可以在broker.setcommission中使用，现在看起来如下：
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是True保持行为与CommissionInfo对象的上述旧调用兼容
要测试的旧样本commissions-schemes已经过修改，以支持命令行参数和新行为。用法帮助：
$ ./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)
让我们进行一些运行，以重新创建原始佣金方案帖子的原始行为。
期货佣金（固定和有保证金）
执行和图表：
$ ./commission-schemes.py --comm 2.0 --margin 2000.0 --mult 10 --plot
输出显示固定佣金为 2.0 货币单位（默认股份为 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）
执行和图表：
$ ./commission-schemes.py --comm 0.005 --margin 0 --mult 1 --plot
为了提高可读性，可以使用相对%值：
$ ./commission-schemes.py --percrel --comm 0.5 --margin 0 --mult 1 --plot
现在0.5直接表示0.5%
在两种情况下都是输出：
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 方案的期货：
$ ./commission-schemes.py --commtype perc --percrel --comm 0.5 --margin 2000 --mult 10 --plot
毫无疑问，通过改变委员会……最终结果发生了变化
结果表明，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（默认值为 1）
另一篇文章将详细介绍新课程和 homme 熟食佣金计划的实施情况。
示例的代码
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()
