Incorrect commission calculation

[esaesa]

Expected behavior

It appears the commission is being added directly to the per-unit adjusted price in:

backtesting.py/backtesting/backtesting.py

Line 944 in d271812

adjusted_price_plus_commission = adjusted_price + self._commission(order.size, price)

Python
adjusted_price_plus_commission = adjusted_price + self._commission(order.size, price)
If self._commission returns a total commission for the entire order (not per unit), this addition is not correct, since it adds the entire commission fee to each unit price. The commission should either be distributed per unit before adding, or added as a lump sum after computing the total order cost.

Expected behavior: Commission should be correctly applied to the order total, not to each unit, unless self._commission returns a per-unit commission.

Suggested fix: Change the calculation so that the commission is only added once per order, or ensure that self._commission returns a per-unit fee if this logic is intended.

Code sample

bt = Backtest(
        data,
        DCAStrategy,
        cash=1000,
        commission=0.0005,
        trade_on_close=True,
        finalize_trades=True,
        margin=1/1,
    )

Actual behavior

Additional info, steps to reproduce, full crash traceback, screenshots

No response

Software versions

• backtesting.__version__: 0.6.4
• pandas.__version__: 2.2.3
• numpy.__version__: 2.1.3
• bokeh.__version__: 3.7.0
• OS: Win 10

[kernc]

It's true that the adjusted_price is per-unit and not per-order ...

backtesting.py/backtesting/backtesting.py

Lines 941 to 944 in d271812

	# Adjust price to include commission (or bid-ask spread).
	# In long positions, the adjusted price is a fraction higher, and vice versa.
	adjusted_price = self._adjusted_price(order.size, price)
	adjusted_price_plus_commission = adjusted_price + self._commission(order.size, price)

backtesting.py/backtesting/backtesting.py

Lines 829 to 834 in d271812

	def _adjusted_price(self, size=None, price=None) -> float:
	"""
	Long/short `price`, adjusted for spread.
	In long positions, the adjusted price is a fraction higher, and vice versa.
	"""
	return (price or self.last_price) * (1 + copysign(self._spread, size))

But applying percent-based commission is irrespective of the amount—the percentages are fixed. It's just another multiplier?

But it does, however, have an erroneous effect when using a fixed or partly-fixed commission amount:

backtesting.py/backtesting/backtesting.py

Lines 743 to 754 in d271812

	if callable(commission):
	self._commission = commission
	else:
	try:
	self._commission_fixed, self._commission_relative = commission
	except TypeError:
	self._commission_fixed, self._commission_relative = 0, commission
	assert self._commission_fixed >= 0, 'Need fixed cash commission in $ >= 0'
	assert -.1 <= self._commission_relative < .1, \
	("commission should be between -10% "
	f"(e.g. market-maker's rebates) and 10% (fees), is {self._commission_relative}")
	self._commission = self._commission_func

backtesting.py/backtesting/backtesting.py

Lines 768 to 769 in d271812

	def _commission_func(self, order_size, price):
	return self._commission_fixed + abs(order_size) * price * self._commission_relative

Can you confirm my reasoning is correct?

[esaesa]

abs(order_size) * price * self._commission_relative Alwayse return total amount of commission because we multiply by order_size so it can't be added to unit price in adjusted_price + self._commission(order.size, price)
Assume 1000$ as follows
price = 1$
size=1000
commission = 1%
self._commission(order.size, price) will return 100010.01 = 10$
adjusted_price_plus_commission = 1 + 10 = 11$ and total size after commission = 11*1000 = 11000 which is wrong . I assume the correct answer should be 1 + 1 * 0.01 = 1.01$ so the total size after commission is 1.01 * 1000 = 1010