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Trying to track commissions expenses
Dobri Dobrev
posted

Hello,

I'm trying to track exactly how much cash has been spent on commissions, however, for some reason the commission always shows 0:

def initialize(context):  
    context.spy = sid(8554)  
    context.commission_per_share = 0.0115  
    set_commission(commission.PerShare(cost=context.commission_per_share, min_trade_cost=1.0))  
    schedule_function(rebalance, date_rules.every_day(), time_rules.market_open())  
    self.commission_cash = 0

def rebalance(context, data):  
    if data.can_trade(context.spy):  
        order = order_target_percent(context.spy, 0.5)  
        if order is not None:  
            order_info = get_order(order)  
            self.commission_cash += order_info.commission  
            # Debug:  
            log.info(order_info)

On all checked order Ids the commission always shows 0

If someone can point me in the right direction on how to accurately calculate the commission for each individual buy/sell order and sum it together for a total amount of commissions for the backtest...

Regards,
C

2 responses
Dan Whitnable

Orders are filled beginning the minute after they are entered. In the code above, the commission will always be zero since the order has not been filled yet. As soon as any portion of an order is filled the commission changes from 0 to commissions up through that time. If an order fills over several bars, the commission will update accordingly. The commission is the running total commission for an order and is calculated as:

commission =  max(abs(qty_filled) * commission_per_share, min_trade_cost)

So, to sum the total commissions, check the order at the end of the day after the order has filled. Something like this

def update_total_commission(context, data):  
    # Get the order object from the order str  
    my_order = get_order(context.my_order)  
    if my_order:  
        context.commission_cash += my_order.commission

See the attached backtest and check out the logs. Notice that commissions accrue for both buys and sells and there is a minimum commission of $1.00.

Hope that helps.

https://www.quantopian.com/help#api-orderobj

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

Dobri Dobrev

Thank you, Dan. This really cleared things between the two backtests.
The calculated commissions in Backtrader are 40k, comparing to 211 on quantopian, confirming my suspicions about commission issues in Bt.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.