Forex custom commission and multiplier

[tradersnorth]

1. After applying a custom commission class by @ThatBlokeDave to forex trading in backtrader, how do I set commission including the multiplier? I am adding the code below but getting an error.

# Set the commission - 0.1% ... divide by 100 to remove the % #cerebro.broker.setcommission(commission=0.001) comm = forexSpreadCommisionScheme(spread=4, acc_counter_currency=False) cerebro.broker.setcommission(leverage=50, stocklike=False, commission=comm, mult=100)

TypeError: unsupported operand type(s) for *: 'int' and 'forexSpreadCommisionScheme'

2. I am using the multiplier to account for a lot size of 100 i.e. 1 pip move = $0.01 profit of loss. Is it correct to use a multipier of 100 in this case?

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

import datetime  # For datetime objects
import os.path  # To manage paths
import sys  # To find out the script name (in argv[0])

# Import the backtrader platform
import backtrader as bt


# Create a Stratey
class TestStrategy(bt.Strategy):

    params = (
        ('exitbars', 12),
        ('shortemaperiod', 7),
        ('longemaperiod', 25),
        ('printlog', False)
    )

    def log(self, txt, dt=None, doprint=True):
        ''' Logging function for this strategy'''
        if self.params.printlog or doprint:
            dt = dt or self.datas[0].datetime.datetime(0)
            print(f'{dt.isoformat()}, {txt}')

    def __init__(self):
        # Keep a reference to the "close" line in the data[0] dataseries
        self.dataclose = self.datas[0].close

        # To keep track of pending orders
        self.order = None
        self.buyprice = None
        self.buycomm = None

        # Add a MovingAverageSimple indicator
        self.shortema = bt.indicators.ExponentialMovingAverage(
            self.datas[0], period=self.params.shortemaperiod)

        self.longema = bt.indicators.ExponentialMovingAverage(
            self.datas[0], period=self.params.longemaperiod)

    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 enough cash
        if order.status in [order.Completed]:
            if order.isbuy():
                self.log(
                    f'Buy EXECUTED: PRICE:{order.executed.price},COST:{order.executed.value:.2f},COMM:{order.executed.comm:.2f}'
                )
                self.buyprice = order.executed.price
                self.buycomm = order.executed.comm
            else:  # SELL
                self.log(
                    f'SELL EXECUTED: PRICE:{order.executed.price},COST:{order.executed.value:.2f},COMM:{order.executed.comm:.2f}'
                )

            self.bar_executed = len(self)

        elif order.status in [order.Canceled, order.Margin, order.Rejected]:
            self.log('Order Canceled/Margin/Rejected')

        # Write down: no pending order
        self.order = None

    def notify_trade(self, trade):
        if not trade.isclosed:
            return
        self.log(f'OPERATING PROFIT, GROSS:{trade.pnl:.2f}, NET:{trade.pnlcomm:.2f}')

    def next(self):
        # Simply log the closing price of the series from the reference
        self.log(f'Close, {self.dataclose[0]}')

        # Check if an order is pending ... if yes we cannot send a 2nd one
        if self.order:
            return

        # Check if we are in the market
        if not self.position:

            # Not yet we MIGHT BUY if ...

            if self.longema < self.shortema:
                    # BUY, BUY, BUY!!! (with all possible default parameters)
                    self.log(f'BUY CREATE, {self.dataclose[0]}')

                    # Keep track of the created order to avoid a 2nd order
                    self.order = self.buy()


        else:
            # Already in the market ... we might sell
            if len(self) >= (self.bar_executed + self.params.exitbars):
                # SELL, SELL, SELL!!!(with all possible default parameters)
                self.log(f'SELL CREATE: {self.dataclose[0]}')

                # Keep track of the created order to avoid  a 2nd order
                self.order = self.sell()

    def stop(self):
        self.log(
            f'ShortEMAPeriod:{self.params.shortemaperiod}, EndingValue:{self.broker.getvalue()}',
            doprint=True
        )


class forexSpreadCommisionScheme(bt.CommInfoBase):
    '''
    This commission scheme attempts to calcuate the commission hidden in the
    spread by most forex brokers. It assumes a mid point data is being used.

    *New Params*
    spread: Float, the spread in pips of the instrument
    JPY_pair: Bool, states whether the pair being traded is a JPY pair
    acc_counter_currency: Bool, states whether the account currency is the same
    as the counter currency. If false, it is assumed to be the base currency
    '''
    params = (
        ('spread', 2.0),
        ('stocklike', False),
        ('JPY_pair', False),
        ('acc_counter_currency', True),
        ('commtype', bt.CommInfoBase.COMM_FIXED),
        )

    def _getcommission(self, size, price, pseudoexec):
        '''
        This scheme will apply half the commission when buying and half when selling.
        If JPY pair change the multiplier accordingly.
        If account currency is same as the base currency, change pip value calc.
        '''
        if self.p.JPY_pair:
            pipmultiplier = 0.01
        else:
            pipmultiplier = 0.0001

        if self.p.acc_counter_currency:
            comm = abs((self.p.spread * (size * pipmultiplier)/2))

        else:
            comm = abs((self.p.spread * ((size / price) * pipmultiplier)/2))

        return comm


def get_data(file_path):
    # Datas are in a subfolder of the samples. Need to find where the script is
    # because it could have been called from anywhere
    modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
    datapath = os.path.join(modpath, file_path)

    # Create a Data Feed
    data = bt.feeds.GenericCSVData(
        dataname=datapath,
        # Do not pass values before this date Y, M, D
        fromdate=datetime.datetime(2016, 1, 1),
        # Do not pass values after this date
        todate=datetime.datetime(2020, 12, 31),

        nullvalue=0.0,

        timeframe=bt.TimeFrame.Minutes,
        compression=60,

        dtformat=('%Y-%m-%d %H:%M:%S UTC'),

        datetime=0,
        open=1,
        high=2,
        low=3,
        close=4,
        volume=5,
        openinterest=-1,

        reverse=False)

    return data


if __name__ == '__main__':
    # Create a cerebro entity
    cerebro = bt.Cerebro()

    # Add a strategy
    cerebro.addstrategy(TestStrategy, exitbars=21)
    #strats = cerebro.optstrategy(TestStrategy, shortemaperiod=range(3, 28))

    # Get data
    data = get_data('data/forex/EURUSD_H1.csv')

    # Add the Data Feed to Cerebro
    cerebro.adddata(data)

    # Set our desired cash start
    cerebro.broker.setcash(1000000.0)

    # Add a FixedSize sizer according to the stake
    #cerebro.addsizer(bt.sizers.FixedSize, stake=25000)

    # Set the commission - 0.1% ... divide by 100 to remove the %
    #cerebro.broker.setcommission(commission=0.001)
    comm = forexSpreadCommisionScheme(spread=4, acc_counter_currency=False)
    cerebro.broker.setcommission(leverage=50, stocklike=False, commission=comm, mult=100)

    # Print out the starting conditions
    print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())

    # Run over everything
    cerebro.run()

    # Print out the final result
    print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())

    # Plot the result
    #cerebro.plot(maxcpus=1)```

[vladisld]

@tradersnorth said in Forex custom commission and multiplier:

cerebro.broker.setcommission(leverage=50, stocklike=False, commission=comm, mult=100)

AFAIU setcommision method just creates a generic CommInfoBase object using passed parameters to this method.

It means the commission parameter is expected to be (quoting from CommInfoBase docs):

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

In your case, using cerebro.addcommissioninfo method is probably more appropriate. It allows passing a custom CommInfoBase inherited commission object.