Commissions: Stocks vs Futures

Agnosticity

Before going forward let’s remember that backtrader tries to remain agnostic as to what the data represents. Different commission schemes can be applied to the same data set.

Let’s see how it can be done.

Using the broker shortcuts

This keeps the end user away from CommissionInfo objects because a commission scheme can be created/set with a single function call. Within the regular cerebro creation/set-up process, just add a call to setcommission over the broker member attribute. The following call sets a usual commission scheme for Eurostoxx50 futures when working with Interactive Brokers:

cerebro.broker.setcommission(commission=2.0, margin=2000.0, mult=10.0)

Since most users will usually just test a single instrument, that’s all that’s down to it. If you have given a name to your data feed, because several instruments are being considered simultaneously on a chart, this call can be slightly extended to look as follows:

cerebro.broker.setcommission(commission=2.0, margin=2000.0, mult=10.0, name='Eurostoxxx50')

In this case this on-the-fly commission scheme will only applied to instruments whose name matches Eurostoxx50.

The meaning of the setcommission parameters

  • commission (default: 0.0)

    Monetary units in absolute or percentage terms each action costs.

    In the above example it is 2.0 euros per contract for a buy and again 2.0 euros per contract for a sell.

    The important issue here is when to use absolute or percentage values.

    • If margin evaluates to False (it is False, 0 or None for example) then it will be considered that commission expresses a percentage of the price times size operatin value
    • If margin is something else, it is considered the operations are happenning on a futures like intstrument and commission is a fixed price per size contracts
  • margin (default: None)

    Margin money needed when operating with futures like instruments. As expressed above

    • If a no margin is set, the commission will be understood to be indicated in percentage and applied to price * size components of a buy or sell operation
    • If a margin is set, the commission will be understood to be a fixed value which is multiplied by the size component of buy or sell operation
  • mult (default: 1.0)

    For future like instruments this determines the multiplicator to apply to profit and loss calculations.

    This is what makes futures attractive and risky at the same time.

  • name (default: None)

    Limit the application of the commission scheme to instruments matching name

    This can be set during the creation of a data feed.

    If left unset, the scheme will apply to any data present in the system.

Two examples now: stocks vs futures

The futures example from above:

cerebro.broker.setcommission(commission=2.0, margin=2000.0, mult=10.0)

A example for stocks:

cerebro.broker.setcommission(commission=0.005)  # 0.5% of the operation value

Note

The 2nd syntax doesn’t set margin and mult and backtrader attempts a smart approach by considering the commission to be % based.

To fully specify commission schemes, a subclass of CommissionInfo needs to be created

Creating permanent Commission schemes

A more permanent commission scheme can be created by working directly with CommissionInfo classes. The user could choose to have this definition somewhere:

import backtrader as bt

commEurostoxx50 = bt.CommissionInfo(commission=2.0, margin=2000.0, mult=10.0)

To later apply it in another Python module with addcommissioninfo:

from mycomm import commEurostoxx50

...

cerebro.broker.addcommissioninfo(commEuroStoxx50, name='Eurostoxxx50')

CommissionInfo is an object which uses a params declaration just like other objects in the backtrader environment. As such the above can be also expressed as:

import backtrader as bt

class CommEurostoxx50(bt.CommissionInfo):
    params = dict(commission=2.0, margin=2000.0, mult=10.0)

And later:

from mycomm import CommEurostoxx50

...

cerebro.broker.addcommissioninfoCommEuroStoxx50(), name='Eurostoxxx50')

Now a “real” comparison with a SMA Crossover

Using a SimpleMovingAverage crossover as the entry/exit signal the same data set is going to be tested with a futures like commission scheme and then with a stocks like one.

Note

Futures positions could also not only be given the enter/exit behavior but a reversal behavior on each occassion. But this example is about comparing the commission schemes.

The code (see at the bottom for the full strategy) is the same and the scheme can be chosen before the strategy is defined.

futures_like = True

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

Just set futures_like to false to run with the stocks like scheme.

Some logging code has been added to evaluate the impact of the differrent commission schemes. Let’s concentrate on just the 2 first operations.

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

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 1st operation has the following prices:

  • BUY (Execution) -> 3754.13 / SELL (Execution) -> 3786.93
    • Futures Profit & Loss (with commission): 324.0
    • Stocks Profit & Loss (with commission): -4.91

Hey!! Commission has fully eaten up any profit on the stocks operation but has only meant a small dent to the futures one.

The 2nd operation:

  • BUY (Execution) -> 3863.57 / SELL (Execution) -> 3389.24
    • Futures Profit & Loss (with commission): -247.30
    • Stocks Profit & Loss (with commission): -62.84

The bite has been sensibly larger for this negative operation with futures

But:

  • Futures accumulated net profit & loss: 324.00 + (-247.30) = 76.70
  • Stocks accumulated net profit & loss: (-4.91) + (-62.84) = -67.75

The accumulated effect can be seen on the charts below, where it can also be seen that at the end of the full year, futures have produced a larger profit, but have also suffered a larger drawdown (were deeper underwater)

But the important thing: whether futures or stocks ... it can be backtested.

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))

                self.buyprice = order.executed.price
                self.buycomm = order.executed.comm
                self.opsize = order.executed.size
            else:  # Sell
                self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
                         (order.executed.price,
                          order.executed.value,
                          order.executed.comm))

                gross_pnl = (order.executed.price - self.buyprice) * \
                    self.opsize

                if margin:
                    gross_pnl *= mult

                net_pnl = gross_pnl - self.buycomm - order.executed.comm
                self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f' %
                         (gross_pnl, net_pnl))

    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()

Reference

class backtrader.CommInfoBase

Base Class for the Commission Schemes.

Params:

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

  • mult (def 1.0): multiplier applied to the asset for value/profit

  • margin (def: None): amount of monetary units needed to open/hold an operation. It only applies if the final _stocklike attribute in the class is set to False

  • automargin (def: False): Used by the method get_margin to automatically calculate the margin/guarantees needed with the following policy

    • Use param margin if param automargin evaluates to False
    • Use param mult * price if automargin < 0
    • Use param automargin * price if automargin > 0
  • commtype (def: None): Supported values are CommInfoBase.COMM_PERC (commission to be understood as %) and CommInfoBase.COMM_FIXED (commission to be understood as monetary units)

    The default value of None is a supported value to retain compatibility with the legacy CommissionInfo object. If commtype is set to None, then the following applies:

    • margin is None: Internal _commtype is set to COMM_PERC and _stocklike is set to True (Operating %-wise with Stocks)
    • margin is not None: _commtype set to COMM_FIXED and _stocklike set to False (Operating with fixed rount-trip commission with Futures)

    If this param is set to something else than None, then it will be passed to the internal _commtype attribute and the same will be done with the param stocklike and the internal attribute _stocklike

  • stocklike (def: False): Indicates if the instrument is Stock-like or Futures-like (see the commtype discussion above)

  • percabs (def: False): when commtype is set to COMM_PERC, whether the parameter commission has to be understood as XX% or 0.XX

    If this param is True: 0.XX If this param is False: XX%

  • interest (def: 0.0)

    If this is non-zero, this is the yearly interest charged for holding a short selling position. This is mostly meant for stock short-selling

    The formula: days * price * abs(size) * (interest / 365)

    It must be specified in absolute terms: 0.05 -> 5%

    Note

    the behavior can be changed by overriding the method: _get_credit_interest

  • interest_long (def: False)

    Some products like ETFs get charged on interest for short and long positions. If ths is True and interest is non-zero the interest will be charged on both directions

  • leverage (def: 1.0)

    Amount of leverage for the asset with regards to the needed cash

- ``_stocklike``

Final value to use for Stock-like/Futures-like behavior

- ``_commtype``

Final value to use for PERC vs FIXED commissions

This two are used internally instead of the declared params to enable the
compatibility check described above for the legacy ``CommissionInfo``
object
class backtrader.CommissionInfo

Base Class for the actual Commission Schemes.

CommInfoBase was created to keep suppor for the original, incomplete, support provided by backtrader. New commission schemes derive from this class which subclasses CommInfoBase.

The default value of percabs is also changed to True

Params:

  • percabs (def: True): when commtype is set to COMM_PERC, whether the parameter commission has to be understood as XX% or 0.XX

    If this param is True: 0.XX If this param is False: XX%

get_leverage()

Returns the level of leverage allowed for this comission scheme

getsize(price, cash)

Returns the needed size to meet a cash operation at a given price

getoperationcost(size, price)

Returns the needed amount of cash an operation would cost

getvaluesize(size, price)

Returns the value of size for given a price. For future-like objects it is fixed at size * margin

getvalue(position, price)

Returns the value of a position given a price. For future-like objects it is fixed at size * margin

get_margin(price)

Returns the actual margin/guarantees needed for a single item of the asset at the given price. The default implementation has this policy:

  • Use param margin if param automargin evaluates to False
  • Use param mult * price if automargin < 0
  • Use param automargin * price if automargin > 0
getcommission(size, price)

Calculates the commission of an operation at a given price

_getcommission(size, price, pseudoexec)

Calculates the commission of an operation at a given price

pseudoexec: if True the operation has not yet been executed

profitandloss(size, price, newprice)

Return actual profit and loss a position has

cashadjust(size, price, newprice)

Calculates cash adjustment for a given price difference

get_credit_interest(data, pos, dt)

Calculates the credit due for short selling or product specific

_get_credit_interest(data, size, price, days, dt0, dt1)

This method returns the cost in terms of credit interest charged by the broker.

In the case of size > 0 this method will only be called if the parameter to the class interest_long is True

The formulat for the calculation of the credit interest rate is:

The formula: days * price * abs(size) * (interest / 365)
Params:
  • data: data feed for which interest is charged
  • size: current position size. > 0 for long positions and < 0 for short positions (this parameter will not be 0)
  • price: current position price
  • days: number of days elapsed since last credit calculation (this is (dt0 - dt1).days)
  • dt0: (datetime.datetime) current datetime
  • dt1: (datetime.datetime) datetime of previous calculation

dt0 and dt1 are not used in the default implementation and are provided as extra input for overridden methods