A flat commission: a rate on traded value, with an optional per-execution minimum. More...

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

Collaboration diagram for algotradelib::backtest::CommissionModel:

Public Member Functions
std::optional< Decimal64 >	on (const Decimal64 &quantity, const Decimal64 &price) const
	Computes the commission on one execution.

Static Public Member Functions
static CommissionModel	none ()
	Returns a model that charges nothing (the report says so).
static CommissionModel	of (Decimal64 rate, Decimal64 minimum=Decimal64::parse("0"))
	Returns a rate-based model.

Public Attributes
Decimal64	rate_ {Decimal64::parse("0")}
	The fraction of traded value charged per execution (0.00015, not 0.015).
Decimal64	minimum_ {Decimal64::parse("0")}
	The smallest commission on any execution.
bool	from_broker_ {false}
	Whether the rate came from a broker's published schedule; commission_model_from sets it from the schedule's origin_.

Detailed Description

A flat commission: a rate on traded value, with an optional per-execution minimum.

Charged on buys and sells alike; it carries no tax (see NextBarFillModel::with_sell_tax).

Definition at line 28 of file cost.hpp.

Member Function Documentation

◆ none()

CommissionModel algotradelib::backtest::CommissionModel::none ( )

inlinestatic

Returns a model that charges nothing (the report says so).

Returns: The model.

Definition at line 67 of file cost.hpp.

Referenced by algotradelib::backtest::NextBarFillModel::NextBarFillModel().

◆ of()

CommissionModel algotradelib::backtest::CommissionModel::of	(	Decimal64	rate,
		Decimal64	minimum = Decimal64::parse("0") )

inlinestatic

Returns a rate-based model.

Parameters

rate	The fraction of traded value charged.
minimum	The smallest commission per execution.

Returns: The model.

Definition at line 75 of file cost.hpp.

Referenced by algotradelib::backtest::commission_model_from().

◆ on()

std::optional< Decimal64 > algotradelib::backtest::CommissionModel::on	(	const Decimal64 &	quantity,
		const Decimal64 &	price ) const

inline

Computes the commission on one execution.

Parameters

quantity	The quantity.
price	The price.

Returns: quantity * price * rate_ truncated to whole currency units, or minimum_ if that is larger; std::nullopt if the arithmetic does not fit.

Definition at line 46 of file cost.hpp.

Member Data Documentation

◆ from_broker_

bool algotradelib::backtest::CommissionModel::from_broker_ {false}

Whether the rate came from a broker's published schedule; commission_model_from sets it from the schedule's origin_.

Definition at line 37 of file cost.hpp.

◆ minimum_

Decimal64 algotradelib::backtest::CommissionModel::minimum_ {Decimal64::parse("0")}

The smallest commission on any execution.

Definition at line 32 of file cost.hpp.

Referenced by on().

◆ rate_

Decimal64 algotradelib::backtest::CommissionModel::rate_ {Decimal64::parse("0")}

The fraction of traded value charged per execution (0.00015, not 0.015).

Definition at line 30 of file cost.hpp.