Extending Commissions

backtrader

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t1user

How can I use it to trade a portfolio of futures? Every contract has a different multiplier and different margin. So multiplier and margin should be linked to data rather than broker. Or is there another way to do it?

ab_trader

Commissions can be added to bt with relation to data feed names:

for index, contract in FUT_SPECS.iterrows():

    data = <add data feed with the name=contract['name']>

    cerebro.adddata(data)

    cerebro.broker.setcommission(commission=float(contract['comm']),
                                    margin=float(contract['margin']),
                                    mult=float(contract['mult']),
                                    name=contract['name'])

FUT_SPECS pandas data frame has comm, margin, mult and name columns.

backtrader

As indicated by @ab_trader in his/her snippet, the key is the name that you assign to the data feed and which helps you link a given set of details for a commission scheme to that data feed.

In the snippet, the commission scheme is added directly with setcommission, but you can also create your own instances of CommissionInfo and use addcommissioninfo. See: Docs - Broker

t1user

That's very helpful. Thank you @ab_trader and @backtrader