cost.hpp File Reference

Trading costs for a backtest: commission (CommissionModel, CommissionPolicy), slippage (SlippageModel) and how a limit order's fill price is chosen (LimitFillPrice). More...

#include <algotradelib/core>
#include <cstdint>
#include <optional>
#include <string>
#include <string_view>
#include <utility>

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Classes
struct	algotradelib::backtest::CommissionModel
	A flat commission: a rate on traded value, with an optional per-execution minimum. More...
struct	algotradelib::backtest::AppliedRate
	The commission rate that charged an execution, as the backtest report lists it. More...
struct	algotradelib::backtest::CommissionCharge
	What one execution was charged: the broker's commission and the institution fee. More...
class	algotradelib::backtest::CommissionPolicy
	How a backtest charges commission: one stated model, or a schedule resolved per execution. More...
struct	algotradelib::backtest::SlippageModel
	Slippage: how far a fill price moves against the order (a buy pays more, a sell gets less). More...

Namespaces
namespace	algotradelib
	The library: broker-neutral types (core), and the modules below.
namespace	algotradelib::backtest
	Replays a strategy over stored bars: fill and cost models, the replay ledger, and the report.

Enumerations
enum class	algotradelib::backtest::LimitFillPrice { algotradelib::backtest::AT_LIMIT , algotradelib::backtest::AT_OPEN_IF_BETTER }
	Which price a backtest credits a limit order that fills. More...

Functions
Result< CommissionModel >	algotradelib::backtest::commission_model_from (const CommissionSchedule &schedule, Country country, const Date &date)
	Builds a flat commission model from a schedule's rate for a market on a date.
constexpr std::string_view	algotradelib::backtest::limit_fill_price_name (LimitFillPrice choice) noexcept
	Returns a lowercase name for a choice, such as "at_limit", for reports.

Detailed Description

Trading costs for a backtest: commission (CommissionModel, CommissionPolicy), slippage (SlippageModel) and how a limit order's fill price is chosen (LimitFillPrice).

Every model charges nothing by default, and the backtest report states what was applied, so a zero-cost run is visible. Sale tax is set on the fill model, NextBarFillModel::with_sell_tax.

Definition in file cost.hpp.