Improving Commissions: Stocks vs Futures

Posting backtrader usage examples has given me an insight into things that were missing. For starters:

The latter showed me:

  • The broker was doing the right things with regards to the calculation of profit and loss and providing the right order notifications to the calling strategy
  • The strategy had no access to operations (aka trades) which is the result of an order having opened and closed a position (with the latter showing a P&L figure)
  • The plotted Operation P&L figures were gathered by an Observer and had no access to the actual commission scheme, hence rendering the same P&L for a futures-like operation and for a stocks-like one

Clearly a small internal rework was needed to achieve:

  • Operation notification to the strategy
  • Operations displaying the right P&L figures

The broker already had all of the needed information and already stuffing most of it into the order which was being notified to the strategy which had create it. The only decision to make was whether the broker would fit an extra information bit into the order or it could calculate the operations itself.

Since the strategy already gets the orders and keeping the operations in a list seems natural, the broker just adds the actual P&L when an order has closed partially/totally a position, leaving the responsibility of the calculation to the strategy.

In turn this simplifies the actual role of the Operations Observer to that of observing newly closed Operation and recording it. The role it should always have had.

The code below has been reworked to no longer calculate the P&L figures, but to just pay attention to those notified in notify_operation.

And the charts now reflect realistic P&L figures (The cash and value were alredy realistic)

The old logging for futures:

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, OPERATION PROFIT, GROSS 328.00, NET 324.00
2006-04-20, BUY CREATE, 3860.00
2006-04-21, BUY EXECUTED, Price: 3863.57, Cost: 2000.00, Comm 2.00
2006-04-28, SELL CREATE, 3839.90
2006-05-02, SELL EXECUTED, Price: 3839.24, Cost: 2000.00, Comm 2.00
2006-05-02, OPERATION PROFIT, GROSS -243.30, NET -247.30

The new logging for futures:

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, OPERATION PROFIT, GROSS 328.00, NET 324.00
2006-04-20, BUY CREATE, 3860.00
2006-04-21, BUY EXECUTED, Price: 3863.57, Cost: 2000.00, Comm 2.00
2006-04-28, SELL CREATE, 3839.90
2006-05-02, SELL EXECUTED, Price: 3839.24, Cost: 2000.00, Comm 2.00
2006-05-02, OPERATION PROFIT, GROSS -243.30, NET -247.30
2006-05-02, BUY CREATE, 3862.24

The old logging For stocks:

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: 3786.93, Comm 18.93
2006-04-12, OPERATION PROFIT, GROSS 32.80, NET -4.91
2006-04-20, BUY CREATE, 3860.00
2006-04-21, BUY EXECUTED, Price: 3863.57, Cost: 3863.57, Comm 19.32
2006-04-28, SELL CREATE, 3839.90
2006-05-02, SELL EXECUTED, Price: 3839.24, Cost: 3839.24, Comm 19.20
2006-05-02, OPERATION PROFIT, GROSS -24.33, NET -62.84

The new logging for stocks:

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: 3786.93, Comm 18.93
2006-04-12, OPERATION PROFIT, GROSS 32.80, NET -4.91
2006-04-20, BUY CREATE, 3860.00
2006-04-21, BUY EXECUTED, Price: 3863.57, Cost: 3863.57, Comm 19.32
2006-04-28, SELL CREATE, 3839.90
2006-05-02, SELL EXECUTED, Price: 3839.24, Cost: 3839.24, Comm 19.20
2006-05-02, OPERATION PROFIT, GROSS -24.33, NET -62.84
2006-05-02, BUY CREATE, 3862.24

And the charts (only the new ones). The difference between futures-like operations and stock-like operations can now be clearly seen and not only in the evolution of cash and value.

Commissions for futures

Commissions for stocks

The code

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

import backtrader as bt
import backtrader.feeds as btfeeds
import backtrader.indicators as btind


futures_like = True

if futures_like:
    commission, margin, mult = 2.0, 2000.0, 10.0
else:
    commission, margin, mult = 0.005, None, 1


class SMACrossOver(bt.Strategy):
    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(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)
        # > 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()  # 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()


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

    # Add a strategy
    cerebro.addstrategy(SMACrossOver)

    # Create a Data Feed
    datapath = ('../../datas/2006-day-001.txt')
    data = bt.feeds.BacktraderCSVData(dataname=datapath)

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

    # set commission scheme -- CHANGE HERE TO PLAY
    cerebro.broker.setcommission(
        commission=commission, margin=margin, mult=mult)

    # Run over everything
    cerebro.run()

    # Plot the result
    cerebro.plot()

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