Added base currency support to backtesting's Percentage fee strategy.

Author: gbeced

basana/backtesting/fees.py

@@ -17,10 +17,20 @@
 from decimal import Decimal
 from typing import Dict
 import abc
+import enum
 
 from . import orders
 
 
+class FeeCurrency(enum.Enum):
+    """The currency in which fees are charged."""
+
+    #: Fees are charged in quote currency.
+    QUOTE = "quote"
+    #: Fees are charged in base currency.
+    BASE = "base"
+
+
 class FeeStrategy(metaclass=abc.ABCMeta):
     """Base class for strategies that model fee schemes.
 
@@ -44,30 +54,37 @@ def calculate_fees(self, order: orders.Order, balance_updates: Dict[str, Decimal
 
 
 class Percentage(FeeStrategy):
-    """This strategy applies a fixed percentage per trade, in quote currency.
+    """This strategy applies a fixed percentage per trade.
 
     :param percentage: The percentage to apply.
-    :param min_fee: Minimum fee amount, in quote currency.
+    :param min_fee: Minimum fee amount, in the fee currency.
+    :param fee_currency: The currency in which fees are charged. Defaults to :attr:`FeeCurrency.QUOTE`.
     """
 
-    def __init__(self, percentage: Decimal, min_fee: Decimal = Decimal(0)):
+    def __init__(
+            self, percentage: Decimal, min_fee: Decimal = Decimal(0),
+            fee_currency: FeeCurrency = FeeCurrency.QUOTE
+    ):
         assert percentage >= 0 and percentage < 100, f"Invalid percentage {percentage}"
         assert min_fee >= 0, f"Minimum fee cannot be negative {min_fee}"
         self._percentage = percentage
         self._min_fee = min_fee
+        self._fee_currency = fee_currency
 
     def calculate_fees(self, order: orders.Order, balance_updates: Dict[str, Decimal]) -> Dict[str, Decimal]:
         ret = {}
 
-        # Fees are always charged in quote amount.
-        symbol = order.pair.quote_symbol
+        if self._fee_currency == FeeCurrency.BASE:
+            symbol = order.pair.base_symbol
+        else:
+            symbol = order.pair.quote_symbol
 
         # Rounding may have taken place in previous fills, so fees may have been overcharged. For that reason we
         # calculate the total fees to charge, and subtract what we have charged so far.
         charged_fee_amount = order.fees.get(symbol, Decimal(0))
         assert charged_fee_amount <= Decimal(0), "Fees should always be negative"
-        total_quote_amount = order.balance_updates.get(symbol, Decimal(0)) + balance_updates.get(symbol, Decimal(0))
-        total_fee_amount = -max(abs(total_quote_amount) * self._percentage / Decimal(100), self._min_fee)
+        total_amount = order.balance_updates.get(symbol, Decimal(0)) + balance_updates.get(symbol, Decimal(0))
+        total_fee_amount = -max(abs(total_amount) * self._percentage / Decimal(100), self._min_fee)
         pending_fee = total_fee_amount - charged_fee_amount
         if pending_fee < Decimal(0):
             ret[symbol] = pending_fee

tests/test_backtesting_fees.py

@@ -67,3 +67,50 @@ def test_percentage_fee_with_minium():
         "USD": Decimal("-50.15"),
     }
     assert fee_strategy.calculate_fees(order, balance_updates) == {"USD": Decimal("-5")}
+
+
+def test_percentage_fee_base_currency_with_partial_fills():
+    fee_strategy = fees.Percentage(Decimal("1"), fee_currency=fees.FeeCurrency.BASE)
+    order = orders.MarketOrder("1", OrderOperation.BUY, btc_pair, btc_pair_info, Decimal("0.01"))
+
+    # Fill #1 - fee = 0.001 * 1% = 0.00001
+    balance_updates = {
+        "BTC": Decimal("0.001"),
+        "USD": Decimal("-0.9"),
+    }
+    assert fee_strategy.calculate_fees(order, balance_updates) == {"BTC": Decimal("-0.00001")}
+    order.add_fill(
+        Fill(dt.utc_now(), balance_updates, {"BTC": Decimal("-0.00001")}, Decimal(900))
+    )
+
+    # Fill #2 - cumulative base = 0.002, total fee = 0.00002, already charged 0.00001, pending = 0.00001
+    balance_updates = {
+        "BTC": Decimal("0.001"),
+        "USD": Decimal("-0.9"),
+    }
+    assert fee_strategy.calculate_fees(order, balance_updates) == {"BTC": Decimal("-0.00001")}
+    order.add_fill(
+        Fill(dt.utc_now(), balance_updates, {"BTC": Decimal("-0.00001")}, Decimal(900))
+    )
+
+    # Fill #3 - cumulative base = 0.01, total fee = 0.0001, already charged 0.00002, pending = 0.00008
+    balance_updates = {
+        "BTC": Decimal("0.008"),
+        "USD": Decimal("-7.2"),
+    }
+    assert fee_strategy.calculate_fees(order, balance_updates) == {"BTC": Decimal("-0.00008")}
+    order.add_fill(
+        Fill(dt.utc_now(), balance_updates, {"BTC": Decimal("-0.00008")}, Decimal(900))
+    )
+
+
+def test_percentage_fee_base_currency_with_minimum():
+    fee_strategy = fees.Percentage(Decimal("1"), min_fee=Decimal("0.001"), fee_currency=fees.FeeCurrency.BASE)
+    order = orders.MarketOrder("1", OrderOperation.BUY, btc_pair, btc_pair_info, Decimal("0.05"))
+
+    # 0.05 BTC * 1% = 0.0005 BTC fee, but min_fee=0.001, so fee = 0.001 BTC
+    balance_updates = {
+        "BTC": Decimal("0.05"),
+        "USD": Decimal("-2500"),
+    }
+    assert fee_strategy.calculate_fees(order, balance_updates) == {"BTC": Decimal("-0.001")}