fix: normalize raw exchange fee signs

Author: yunjinqi

backtrader/stores/btapistore.py

@@ -816,7 +816,12 @@ def _unwrap_contract_metadata_payload(raw: Any, symbol: Any) -> Dict[str, Any]:
     return _flatten_contract_metadata_payload(data)
 
 
-def _normalise_exchange_commission_rate(key: str, value: Any) -> Optional[float]:
+def _normalise_exchange_commission_rate(
+    key: str,
+    value: Any,
+    *,
+    okx_fee_sign: bool = False,
+) -> Optional[float]:
     number = _coerce_float(value, None)
     if number is None:
         return None
@@ -825,13 +830,26 @@ def _normalise_exchange_commission_rate(key: str, value: Any) -> Optional[float]
         return number / 10000.0
     if key_lower in {"makercommissionrate", "takercommissionrate"} and abs(number) > 1:
         return number / 10000.0
-    if key_lower in {"makeru", "takeru"}:
+    if key_lower in {"makeru", "takeru"} or (
+        okx_fee_sign and key_lower in {"maker", "taker"}
+    ):
         return -number
     if abs(number) > 1:
         return number / 100.0
     return number
 
 
+def _first_metadata_item(metadata: Dict[str, Any], *keys: str) -> Tuple[str, Any]:
+    for key in keys:
+        if key not in metadata:
+            continue
+        value = metadata.get(key)
+        if value in (None, ""):
+            continue
+        return key, value
+    return "", None
+
+
 def _normalise_contract_metadata(raw: Any, symbol: Any, *, source: str = "") -> Dict[str, Any]:
     data = _unwrap_contract_metadata_payload(raw, symbol)
     if not data:
@@ -883,23 +901,46 @@ def _normalise_contract_metadata(raw: Any, symbol: Any, *, source: str = "") ->
         metadata["multiplier"] = 1.0
         metadata["contract_size"] = 1.0
 
-    maker_rate = _normalise_exchange_commission_rate(
+    okx_fee_sign = "okx" in " ".join(
+        str(metadata.get(key) or "")
+        for key in ("source", "fee_source", "exchange", "exchange_id")
+    ).lower() or any(
+        key in metadata
+        for key in (
+            "makerU",
+            "takerU",
+            "makerUSDC",
+            "takerUSDC",
+            "feeGroup",
+        )
+    )
+    maker_key, maker_value = _first_metadata_item(
+        metadata,
+        "maker_commission_rate",
+        "maker_fee_rate",
         "makerCommissionRate",
-        metadata.get("maker_commission_rate")
-        or metadata.get("maker_fee_rate")
-        or metadata.get("makerCommissionRate")
-        or metadata.get("makerCommission")
-        or metadata.get("makerU")
-        or metadata.get("maker"),
+        "makerCommission",
+        "makerU",
+        "maker",
     )
-    taker_rate = _normalise_exchange_commission_rate(
+    taker_key, taker_value = _first_metadata_item(
+        metadata,
+        "taker_commission_rate",
+        "taker_fee_rate",
         "takerCommissionRate",
-        metadata.get("taker_commission_rate")
-        or metadata.get("taker_fee_rate")
-        or metadata.get("takerCommissionRate")
-        or metadata.get("takerCommission")
-        or metadata.get("takerU")
-        or metadata.get("taker"),
+        "takerCommission",
+        "takerU",
+        "taker",
+    )
+    maker_rate = _normalise_exchange_commission_rate(
+        maker_key,
+        maker_value,
+        okx_fee_sign=okx_fee_sign,
+    )
+    taker_rate = _normalise_exchange_commission_rate(
+        taker_key,
+        taker_value,
+        okx_fee_sign=okx_fee_sign,
     )
     if maker_rate is not None:
         metadata["maker_commission_rate"] = maker_rate

tests/unit/brokers/test_btapibroker.py

@@ -6,7 +6,7 @@
 import backtrader as bt
 
 from backtrader.brokers.btapibroker import BtApiBroker
-from backtrader.stores.btapistore import BtApiStoreError
+from backtrader.stores.btapistore import BtApiStoreError, _normalise_contract_metadata
 from tests.fixtures.fake_btapi import DEFAULT_SYMBOL, FakeBtApiClient, make_bar, make_store
 
 
@@ -2325,6 +2325,35 @@ def get_fee(self, symbol):
     assert comminfo.getcommission(0.5, 60000.0, role="maker") == pytest.approx(6.0)
 
 
+def test_contract_metadata_normalizes_okx_raw_fee_signs_without_touching_plain_rates():
+    """OKX raw fee signs are opposite to internal commission signs."""
+    okx_metadata = _normalise_contract_metadata(
+        {
+            "instType": "SWAP",
+            "maker": "-0.0002",
+            "taker": "-0.0005",
+            "makerU": "0.00018",
+            "takerU": "-0.00045",
+        },
+        "BTC-USDT-SWAP",
+        source="okx_get_fee",
+    )
+
+    assert okx_metadata["maker_commission_rate"] == pytest.approx(-0.00018)
+    assert okx_metadata["taker_commission_rate"] == pytest.approx(0.00045)
+    assert okx_metadata["commission_rate"] == pytest.approx(0.00045)
+    assert okx_metadata["open_commission_rate"] == pytest.approx(0.00045)
+
+    plain_metadata = _normalise_contract_metadata(
+        {"maker": "0.0002", "taker": "0.0006"},
+        "BTCUSDT",
+        source="get_fee",
+    )
+
+    assert plain_metadata["maker_commission_rate"] == pytest.approx(0.0002)
+    assert plain_metadata["taker_commission_rate"] == pytest.approx(0.0006)
+
+
 def test_contract_metadata_auto_materializes_fixed_margin_amount():
     """MT5-style per-lot initial margin must not be treated as a margin rate."""
     broker = BtApiBroker(