How to apply different commissions for buy and sell?

[RobinpCP]

Say, buy is 0.1% and sell is 0.3%. How do I implement these in the script providing backtesting.py capable of doing it?

[kernc]

Have you seen the main docs?

commission can be a callable func(order_size: int, price: float) -> float (note, order size is negative for short orders), which can be used to model more complex commission structures.

Something like Backtest(..., commission=lambda size, price: .001 if size > 0 else .003) should do it ...

[RobinpCP]

I've tried two approaches.

"""
Buy fee: 0.1425%
Sell fee: 0.1425% (commission) + 0.3% (tax)
"""
bt = Backtest(
data,
SmaCross,
cash=1000000,
commission=lambda size, price: 0.001425 if size > 0 else 0.004425,
exclusive_orders=True
)

def calculate_commission(size, price):
"""
Calculate commission based on trade size and price.
Applies tax only on sell orders.
"""
if size > 0: # Buy order
return abs(size) * price * 0.001425
else: # Sell order
return abs(size) * price * (0.001425 + 0.003)

bt = Backtest(
data,
SmaCross,
cash=1000000,
commission=calculate_commission,
exclusive_orders=True
)

Both commissions are incorrect, hand calculated and shown in the far right column.

We can not use +/- of the size to determine if the trade is buy or sell. Since for a long trade, we buy first and then sell when close it.