Feature/fees

src/lib/backtest.ts

@@ -35,10 +35,13 @@ function updatePosition(position: IPosition, bar: IBar): void {
  * @param exitTime The timestamp for the bar when the position was exited.
  * @param exitPrice The price of the instrument when the position was exited.
  */
-function finalizePosition(position: IPosition, exitTime: Date, exitPrice: number, exitReason: string): ITrade {
+function finalizePosition(position: IPosition, exitTime: Date, exitPrice: number, exitReason: string, fees: number): ITrade {
     const profit = position.direction === TradeDirection.Long 
         ? exitPrice - position.entryPrice
         : position.entryPrice - exitPrice;
+    const growth = position.direction === TradeDirection.Long
+        ? exitPrice / position.entryPrice
+        : position.entryPrice / exitPrice;
     let rmultiple;
     if (position.initialUnitRisk !== undefined) {
         rmultiple = profit / position.initialUnitRisk; 
@@ -51,9 +54,7 @@ function finalizePosition(position: IPosition, exitTime: Date, exitPrice: number
         exitPrice: exitPrice,
         profit: profit,
         profitPct: (profit / position.entryPrice) * 100,
-        growth: position.direction === TradeDirection.Long
-            ? exitPrice / position.entryPrice
-            : position.entryPrice / exitPrice,
+        growth: growth - (growth * fees),
         riskPct: position.initialRiskPct,
         riskSeries: position.riskSeries,
         rmultiple: rmultiple,
@@ -136,6 +137,11 @@ export function backtest<InputBarT extends IBar, IndicatorBarT extends InputBarT
         indicatorsSeries = inputSeries as IDataFrame<IndexT, IndicatorBarT>;
     }
 
+    //
+    // Sum of maker fee and taker fee.
+    //
+    const fees = strategy.fees && strategy.fees() || 0;
+
     //
     // Tracks trades that have been closed.
     //
@@ -190,7 +196,7 @@ export function backtest<InputBarT extends IBar, IndicatorBarT extends InputBarT
     // Close the current open position.
     //
     function closePosition(bar: InputBarT, exitPrice: number, exitReason: string) {
-        const trade = finalizePosition(openPosition!, bar.time, exitPrice, exitReason);
+        const trade = finalizePosition(openPosition!, bar.time, exitPrice, exitReason, fees);
         completedTrades.push(trade!);
         // Reset to no open position;
         openPosition = null;
@@ -427,7 +433,7 @@ export function backtest<InputBarT extends IBar, IndicatorBarT extends InputBarT
     if (openPosition) {
         // Finalize open position.
         const lastBar = indicatorsSeries.last();
-        const lastTrade = finalizePosition(openPosition, lastBar.time, lastBar.close, "finalize");
+        const lastTrade = finalizePosition(openPosition, lastBar.time, lastBar.close, "finalize", fees);
         completedTrades.push(lastTrade);
     }
 

src/lib/strategy.ts

@@ -86,6 +86,12 @@ export interface IOpenPositionRuleArgs<BarT extends IBar, ParametersT> extends I
     position: IPosition;
 }
 
+/**
+ * Computes the fees.
+ * Return the sum of maker fee and taker fee.
+ */
+export type FeesFn = () => number;
+
 /**
  * Arguments to a stop loss rule function.
  */
@@ -208,4 +214,10 @@ export interface IStrategy<InputBarT extends IBar = IBar, IndicatorsBarT extends
      * Return the amount of profit to trigger an exit.
      */
     profitTarget?: ProfitTargetFn<InputBarT, ParametersT>;
+
+    /**
+     * Function that computes the fees
+     * Return the sum of maker fee and taker fee.
+     */
+    fees?: FeesFn;
 }