Commissions: Credit

In some situations, the cash amount in real brokers may be decreased because the operation on assets includes an interest rate. Examples:

• Short selling of stocks

• ETFs both long and short

The charge goes directly against the cash balance in the broker account. But it can still be seen as part of a commission scheme. And as such it has been modeled in backtrader.

The CommInfoBase class (and with it also the CommissionInfo main interface object) has been extended with:

• Two (2) new parameters that allow setting the interest rate and determining if should be applied only to the short side or to both long and short

Parameters

• interest (def: 0.0)

If this is non-zero, this is the yearly interest charged for holding a short selling position. This is mostly meant for stock short-selling

The default formula applied: days * price * size * (interest / 365)

It must be specified in absolute terms: 0.05 -> 5%

Note

the behavior can be changed by overriding the method: get_credit_interest

• interest_long (def: False)

Some products like ETFs get charged on interest for short and long positions. If ths is True and interest is non-zero the interest will be charged on both directions

The formula

The default implementation will use the following formula:

days * abs(size) * price * (interest / 365)

Where:

• days: number of days elapsed since position was opened or the last credit interest calculation took place

Overriding the formula

In order to change the formula subclassing of CommissionInfo is needed. The method to be overridden is:

def _get_credit_interest(self, size, price, days, dt0, dt1):
'''
This method returns  the cost in terms of credit interest charged by
the broker.

In the case of ``size > 0`` this method will only be called if the
parameter to the class ``interest_long`` is ``True``

The formulat for the calculation of the credit interest rate is:

The formula: ``days * price * abs(size) * (interest / 365)``

Params:
- ``data``: data feed for which interest is charged

- ``size``: current position size. > 0 for long positions and < 0 for
short positions (this parameter will not be ``0``)

- ``price``: current position price

- ``days``: number of days elapsed since last credit calculation
(this is (dt0 - dt1).days)

- ``dt0``: (datetime.datetime) current datetime

- ``dt1``: (datetime.datetime) datetime of previous calculation

``dt0`` and ``dt1`` are not used in the default implementation and are
provided as extra input for overridden methods
'''

It might be that the broker doesn’t consider weekends or bank holidays when calculating the interest rate. In this case this subclass would do the trick

import backtrader as bt

class MyCommissionInfo(bt.CommInfo):

def _get_credit_interest(self, size, price, days, dt0, dt1):
return 1.0 * abs(size) * price * (self.p.interest / 365.0)

In this case, in the formula:

• days has been replaced by 1.0

Because if weekends/bank holidays do not count, the next calculation will always happen 1 trading da after the previous calculation