Add brokerage fees about autotrader

[kieran-mackle]

Very good suggestions! The commissions scheme is something I've been wanting to improve for a little while now, and what you have suggested is a great start. Commissions are currently calculated on both the open and closing trades of a position, but they do not take into account the trade type. The fees are also not applied until the trade is closed.

I will aim to implement your suggestions in a future release. For the meantime, I have added the total fees to the printout (you will need to update to v0.5.22):

The fee on each trade can also be viewed via the trade summary:

bot = at.bots_deployed[0]
bot.backtest_summary['trade_summary'].head()

                           Order_ID  Order_price  ... Trade_duration      Fees
2010-01-21 16:00:00+00:00         8      56062.5  ...      3369600.0  0.033692
2010-04-12 00:00:00+00:00        77      59887.5  ...      1944000.0  0.059327
2010-05-04 16:00:00+00:00        96      58637.5  ...      5702400.0  0.034278
2010-07-09 20:00:00+00:00       172      53712.5  ...      2822400.0  0.039106
2010-08-11 20:00:00+00:00       208      54375.0  ...      1958400.0  0.032663

Thank you so much, glad you like the project!

[kieran-mackle]

@Salyut9

Version 0.7 now allows specifying maker_commission and taker_commission arguments in the AutoTrader.virtual_account_config method. Additionally, trading costs will be calculated differently for market vs. limit orders.

Make sure to read the docs and changelog if upgrading, there have been a lot of changes!