algotradelib::backtest::CommissionPolicy Class Reference

How a backtest charges commission: one stated model, or a schedule resolved per execution. More...

#include <algotradelib/src/backtest/cost.hpp>

Public Member Functions
	CommissionPolicy ()=default
	Constructs a policy that charges nothing (the report says so).
bool	is_scheduled () const noexcept
	Tests whether the policy resolves a schedule.
const VenueKey &	asserted_venue () const noexcept
	Returns the asserted venue.
std::string_view	tariff () const noexcept
	Returns the schedule's tariff name.
Result< CommissionCharge >	charge (const Decimal64 &quantity, const Decimal64 &price, const Date &date, Country country) const
	Computes the commission on one execution.

Static Public Member Functions
static CommissionPolicy	stated (CommissionModel model)
	Makes a policy that charges one model on every execution.
static Result< CommissionPolicy >	scheduled (CommissionSchedule schedule, VenueKey asserted, Country dating_market)
	Makes a policy that picks a rate from a schedule for each execution.

Detailed Description

How a backtest charges commission: one stated model, or a schedule resolved per execution.

stated charges one CommissionModel throughout. scheduled picks the rate for each execution by its market, its local trading date and the venue the caller asserts (a replay cannot know where an order executed, so the report lists the venue as an assumption). A rate that cannot be resolved is an error, and the replay halts rather than skipping or zero-costing the fill.

Definition at line 184 of file cost.hpp.

Constructor & Destructor Documentation

CommissionPolicy()

algotradelib::backtest::CommissionPolicy::CommissionPolicy ( )

default

Constructs a policy that charges nothing (the report says so).

Referenced by scheduled(), and stated().

Member Function Documentation

asserted_venue()

const VenueKey & algotradelib::backtest::CommissionPolicy::asserted_venue ( ) const

inlinenoexcept

Returns the asserted venue.

Returns

The venue a scheduled policy charges at; VenueKey::any() for a stated one.

Definition at line 247 of file cost.hpp.

charge()

Result< CommissionCharge > algotradelib::backtest::CommissionPolicy::charge ( const Decimal64 & quantity, const Decimal64 & price, const Date & date, Country country ) const

inline

Computes the commission on one execution.

A scheduled policy charges no minimum (a schedule states none).

Parameters

quantity	The quantity.
price	The price.
date	The market-local trading date of the execution (see SessionWindow::local_date).
country	The instrument's market.

Returns

The charge, or an INVALID_ARGUMENT error: commission_not_representable, commission_date_not_market_local (a dated rate for a market other than dating_market), rate_bounds_unreadable or no_rate_for_date.

Definition at line 270 of file cost.hpp.

is_scheduled()

bool algotradelib::backtest::CommissionPolicy::is_scheduled ( ) const

inlinenoexcept

Tests whether the policy resolves a schedule.

Returns

true for a scheduled policy.

Definition at line 241 of file cost.hpp.

scheduled()

Result< CommissionPolicy > algotradelib::backtest::CommissionPolicy::scheduled ( CommissionSchedule schedule, VenueKey asserted, Country dating_market )

inlinestatic

Makes a policy that picks a rate from a schedule for each execution.

Parameters

schedule	The rates. A caller-stated schedule must name its tariff_.
asserted	The venue fills are assumed to happen at; not Venue::COMBINED, which is routing rather than a venue.
dating_market	The market whose local trading day the replay's dates are; a dated rate for another market is refused when charged.

Returns

The policy, or an INVALID_ARGUMENT error: commission_tariff_unnamed or commission_venue_not_an_execution.

Definition at line 211 of file cost.hpp.

stated()

CommissionPolicy algotradelib::backtest::CommissionPolicy::stated ( CommissionModel model )

inlinestatic

Makes a policy that charges one model on every execution.

Parameters

model

The model; its from_broker_ is kept.

Returns

The policy.

Definition at line 194 of file cost.hpp.

tariff()

std::string_view algotradelib::backtest::CommissionPolicy::tariff ( ) const

inlinenoexcept

Returns the schedule's tariff name.

Returns

The name; empty for a stated policy.

Definition at line 253 of file cost.hpp.

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The documentation for this class was generated from the following file:

• algotradelib/src/backtest/cost.hpp