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Fix #1335: Apply half-spread and commission symmetrically on open and close #1407

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Fix #1335: Apply half-spread and commission symmetrically on open and close #1407

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32 changes: 21 additions & 11 deletions backtesting/backtesting.py
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Original file line number Diff line number Diff line change
Expand Up @@ -657,15 +657,20 @@ def is_short(self):
def pl(self):
"""
Trade profit (positive) or loss (negative) in cash units.
Commissions are reflected only after the Trade is closed.
"""
price = self.__exit_price or self.__broker.last_price
if self.__exit_price is None:
price = self.__broker.last_price * (1 - copysign(self.__broker._spread / 2, self.__size))
else:
price = self.__exit_price
return (self.__size * (price - self.__entry_price)) - self._commissions

@property
def pl_pct(self):
"""Trade profit (positive) or loss (negative) in percent relative to trade entry price."""
price = self.__exit_price or self.__broker.last_price
if self.__exit_price is None:
price = self.__broker.last_price * (1 - copysign(self.__broker._spread / 2, self.__size))
else:
price = self.__exit_price
gross_pl_pct = copysign(1, self.__size) * (price / self.__entry_price - 1)

# Total commission across the entire trade size to individual units
Expand Down Expand Up @@ -840,7 +845,7 @@ def _adjusted_price(self, size=None, price=None) -> float:
Long/short `price`, adjusted for spread.
In long positions, the adjusted price is a fraction higher, and vice versa.
"""
return (price or self.last_price) * (1 + copysign(self._spread, size))
return (price or self.last_price) * (1 + copysign(self._spread / 2, size))

@property
def equity(self) -> float:
Expand Down Expand Up @@ -1064,6 +1069,7 @@ def _reduce_trade(self, trade: Trade, price: float, size: float, time_index: int
else:
# Reduce existing trade ...
trade._replace(size=size_left)
trade._commissions = self._commission(size_left, trade.entry_price)
if trade._sl_order:
trade._sl_order._replace(size=-trade.size)
if trade._tp_order:
Expand All @@ -1083,20 +1089,24 @@ def _close_trade(self, trade: Trade, price: float, time_index: int):
if trade._tp_order:
self.orders.remove(trade._tp_order)

closed_trade = trade._replace(exit_price=price, exit_bar=time_index)
adjusted_price = price * (1 - copysign(self._spread / 2, trade.size))
closed_trade = trade._replace(exit_price=adjusted_price, exit_bar=time_index)
self.closed_trades.append(closed_trade)
# Apply commission one more time at trade exit
commission = self._commission(trade.size, price)
self._cash += trade.pl - commission
# Save commissions on Trade instance for stats

commission = self._commission(trade.size, adjusted_price)
# Note: trade open commission is already in trade._commissions,
# but if _reduce_trade happened, trade._commissions might be inaccurate for the subset.
# Wait, if trade was reduced, the open commission for the subset should be proportional!
# Re-calculate open commission for the subset:
trade_open_commission = self._commission(closed_trade.size, closed_trade.entry_price)
# applied here instead of on Trade open because size could have changed
# by way of _reduce_trade()
closed_trade._commissions = commission + trade_open_commission

self._cash += closed_trade.pl

def _open_trade(self, price: float, size: int,
sl: Optional[float], tp: Optional[float], time_index: int, tag):
trade = Trade(self, size, price, time_index, tag)
trade._commissions = self._commission(size, price)
self.trades.append(trade)
self._trades_cache_clear()
# Apply broker commission at trade open
Expand Down