Rename CommissionModel to FeeModel

nautilus_trader/adapters/sandbox/execution.py

@@ -22,8 +22,8 @@
 from nautilus_trader.backtest.exchange import SimulatedExchange
 from nautilus_trader.backtest.execution_client import BacktestExecClient
 from nautilus_trader.backtest.models import FillModel
-from nautilus_trader.backtest.models import InstrumentSpecificPercentCommissionModel
 from nautilus_trader.backtest.models import LatencyModel
+from nautilus_trader.backtest.models import MakerTakerFeeModel
 from nautilus_trader.cache.cache import Cache
 from nautilus_trader.common.component import LiveClock
 from nautilus_trader.common.component import MessageBus
@@ -120,7 +120,7 @@ def __init__(
             msgbus=self._msgbus,
             cache=cache,
             fill_model=FillModel(),
-            commission_model=InstrumentSpecificPercentCommissionModel(),
+            fee_model=MakerTakerFeeModel(),
             latency_model=LatencyModel(0),
             clock=self.test_clock,
             frozen_account=True,  # <-- Freezing account

nautilus_trader/backtest/engine.pyx

@@ -41,10 +41,10 @@ from nautilus_trader.backtest.data_client cimport BacktestDataClient
 from nautilus_trader.backtest.data_client cimport BacktestMarketDataClient
 from nautilus_trader.backtest.exchange cimport SimulatedExchange
 from nautilus_trader.backtest.execution_client cimport BacktestExecClient
-from nautilus_trader.backtest.models cimport CommissionModel
+from nautilus_trader.backtest.models cimport FeeModel
 from nautilus_trader.backtest.models cimport FillModel
-from nautilus_trader.backtest.models cimport InstrumentSpecificPercentCommissionModel
 from nautilus_trader.backtest.models cimport LatencyModel
+from nautilus_trader.backtest.models cimport MakerTakerFeeModel
 from nautilus_trader.backtest.modules cimport SimulationModule
 from nautilus_trader.cache.base cimport CacheFacade
 from nautilus_trader.common.actor cimport Actor
@@ -368,7 +368,7 @@ cdef class BacktestEngine:
         leverages: dict[InstrumentId, Decimal] | None = None,
         modules: list[SimulationModule] | None = None,
         fill_model: FillModel | None = None,
-        commission_model: CommissionModel = InstrumentSpecificPercentCommissionModel(),
+        fee_model: FeeModel | None = None,
         latency_model: LatencyModel | None = None,
         book_type: BookType = BookType.L1_MBP,
         routing: bool = False,
@@ -405,8 +405,8 @@ cdef class BacktestEngine:
             The simulation modules to load into the exchange.
         fill_model : FillModel, optional
             The fill model for the exchange.
-        commission_model : CommissionModel, optional
-            The commission model for the exchange.
+        fee_model : FeeModel, optional
+            The fee model for the venue.
         latency_model : LatencyModel, optional
             The latency model for the exchange.
         book_type : BookType, default ``BookType.L1_MBP``
@@ -441,11 +441,14 @@ cdef class BacktestEngine:
             modules = []
         if fill_model is None:
             fill_model = FillModel()
+        if fee_model is None:
+            fee_model = MakerTakerFeeModel()
         Condition.not_none(venue, "venue")
         Condition.not_in(venue, self._venues, "venue", "_venues")
         Condition.not_empty(starting_balances, "starting_balances")
         Condition.list_type(modules, SimulationModule, "modules")
-        Condition.type_or_none(fill_model, FillModel, "fill_model")
+        Condition.type(fill_model, FillModel, "fill_model")
+        Condition.type(fee_model, FeeModel, "fee_model")
 
         if default_leverage is None:
             if account_type == AccountType.MARGIN:
@@ -468,7 +471,7 @@ cdef class BacktestEngine:
             msgbus=self.kernel.msgbus,
             cache=self.kernel.cache,
             fill_model=fill_model,
-            commission_model=commission_model,
+            fee_model=fee_model,
             latency_model=latency_model,
             book_type=book_type,
             clock=self.kernel.clock,

nautilus_trader/backtest/exchange.pxd

@@ -18,7 +18,7 @@ from libc.stdint cimport uint64_t
 from nautilus_trader.accounting.accounts.base cimport Account
 from nautilus_trader.backtest.execution_client cimport BacktestExecClient
 from nautilus_trader.backtest.matching_engine cimport OrderMatchingEngine
-from nautilus_trader.backtest.models cimport CommissionModel
+from nautilus_trader.backtest.models cimport FeeModel
 from nautilus_trader.backtest.models cimport FillModel
 from nautilus_trader.backtest.models cimport LatencyModel
 from nautilus_trader.cache.cache cimport Cache
@@ -79,8 +79,8 @@ cdef class SimulatedExchange:
     """The latency model for the exchange.\n\n:returns: `LatencyModel`"""
     cdef readonly FillModel fill_model
     """The fill model for the exchange.\n\n:returns: `FillModel`"""
-    cdef readonly CommissionModel commission_model
-    """The commission model for the exchange.\n\n:returns: `CommissionModel`"""
+    cdef readonly FeeModel fee_model
+    """The fee model for the exchange.\n\n:returns: `FeeModel`"""
     cdef readonly bint bar_execution
     """If bars should be processed by the matching engine(s) (and move the market).\n\n:returns: `bool`"""
     cdef readonly bint reject_stop_orders

nautilus_trader/backtest/exchange.pyx

@@ -24,9 +24,10 @@ from libc.stdint cimport uint64_t
 from nautilus_trader.accounting.accounts.base cimport Account
 from nautilus_trader.backtest.execution_client cimport BacktestExecClient
 from nautilus_trader.backtest.matching_engine cimport OrderMatchingEngine
-from nautilus_trader.backtest.models cimport CommissionModel
+from nautilus_trader.backtest.models cimport FeeModel
 from nautilus_trader.backtest.models cimport FillModel
 from nautilus_trader.backtest.models cimport LatencyModel
+from nautilus_trader.backtest.models cimport MakerTakerFeeModel
 from nautilus_trader.backtest.modules cimport SimulationModule
 from nautilus_trader.cache.base cimport CacheFacade
 from nautilus_trader.common.component cimport Logger
@@ -89,8 +90,8 @@ cdef class SimulatedExchange:
         The read-only cache for the exchange.
     fill_model : FillModel
         The fill model for the exchange.
-    commission_model : CommissionModel
-        The commission model for the matching engine.
+    fee_model : FeeModel
+        The fee model for the exchange.
     latency_model : LatencyModel, optional
         The latency model for the exchange.
     clock : TestClock
@@ -147,7 +148,7 @@ cdef class SimulatedExchange:
         CacheFacade cache not None,
         TestClock clock not None,
         FillModel fill_model not None,
-        CommissionModel commission_model not None,
+        FeeModel fee_model not None,
         LatencyModel latency_model = None,
         BookType book_type = BookType.L1_MBP,
         bint frozen_account = False,
@@ -197,7 +198,7 @@ cdef class SimulatedExchange:
         self.use_random_ids = use_random_ids
         self.use_reduce_only = use_reduce_only
         self.fill_model = fill_model
-        self.commission_model = commission_model
+        self.fee_model = fee_model
         self.latency_model = latency_model
 
         # Load modules
@@ -333,7 +334,7 @@ cdef class SimulatedExchange:
             instrument=instrument,
             raw_id=len(self.instruments),
             fill_model=self.fill_model,
-            commission_model=self.commission_model,
+            fee_model=self.fee_model,
             book_type=self.book_type,
             oms_type=self.oms_type,
             account_type=self.account_type,

nautilus_trader/backtest/matching_engine.pxd

@@ -17,7 +17,7 @@ from libc.stdint cimport int64_t
 from libc.stdint cimport uint32_t
 from libc.stdint cimport uint64_t
 
-from nautilus_trader.backtest.models cimport CommissionModel
+from nautilus_trader.backtest.models cimport FeeModel
 from nautilus_trader.backtest.models cimport FillModel
 from nautilus_trader.cache.base cimport CacheFacade
 from nautilus_trader.common.component cimport Clock
@@ -77,7 +77,7 @@ cdef class OrderMatchingEngine:
     cdef OrderBook _opening_auction_book
     cdef OrderBook _closing_auction_book
     cdef FillModel _fill_model
-    cdef CommissionModel _commission_model
+    cdef FeeModel _fee_model
     # cdef object _auction_match_algo
     cdef bint _bar_execution
     cdef bint _reject_stop_orders

nautilus_trader/backtest/matching_engine.pyx

@@ -21,7 +21,7 @@ import uuid
 from cpython.datetime cimport timedelta
 from libc.stdint cimport uint64_t
 
-from nautilus_trader.backtest.models cimport CommissionModel
+from nautilus_trader.backtest.models cimport FeeModel
 from nautilus_trader.backtest.models cimport FillModel
 from nautilus_trader.cache.base cimport CacheFacade
 from nautilus_trader.common.component cimport LogColor
@@ -111,8 +111,8 @@ cdef class OrderMatchingEngine:
         The raw integer ID for the instrument.
     fill_model : FillModel
         The fill model for the matching engine.
-    commission_model : CommissionModel
-        The commission model for the matching engine.
+    fee_model : FeeModel
+        The fee model for the matching engine.
     book_type : BookType
         The order book type for the engine.
     oms_type : OmsType
@@ -153,7 +153,7 @@ cdef class OrderMatchingEngine:
         Instrument instrument not None,
         uint32_t raw_id,
         FillModel fill_model not None,
-        CommissionModel commission_model not None,
+        FeeModel fee_model not None,
         BookType book_type,
         OmsType oms_type,
         AccountType account_type,
@@ -191,7 +191,7 @@ cdef class OrderMatchingEngine:
         self._use_reduce_only = use_reduce_only
         # self._auction_match_algo = auction_match_algo
         self._fill_model = fill_model
-        self._commission_model = commission_model
+        self._fee_model = fee_model
         self._book = OrderBook(
             instrument_id=instrument.id,
             book_type=book_type,
@@ -1770,8 +1770,7 @@ cdef class OrderMatchingEngine:
         order.liquidity_side = liquidity_side
 
         # Calculate commission
-        cdef Money commission
-        commission = self._commission_model.get_commission(
+        cdef Money commission = self._fee_model.get_commission(
             order=order,
             fill_qty=last_qty,
             fill_px=last_px,

nautilus_trader/backtest/models.pxd

@@ -48,17 +48,12 @@ cdef class LatencyModel:
     """The latency (nanoseconds) for order cancel messages to reach the exchange.\n\n:returns: `int`"""
 
 
-cdef class CommissionModel:
+cdef class FeeModel:
     cpdef Money get_commission(self, Order order, Quantity fill_qty, Price fill_px, Instrument instrument)
 
 
-cdef class InstrumentSpecificPercentCommissionModel(CommissionModel):
-    """
-    Provide a commission model for trades based on a percentage of the notional value
-    of the trade.
+cdef class MakerTakerFeeModel(FeeModel):
+    pass
 
-    """
-
-cdef class FixedCommissionModel(CommissionModel):
-    cdef Money commission
-    """The constant commission."""
+cdef class FixedCommissionModel(FeeModel):
+    cdef Money _commission

nautilus_trader/backtest/models.pyx

@@ -163,10 +163,11 @@ cdef class LatencyModel:
         self.cancel_latency_nanos = base_latency_nanos + cancel_latency_nanos
 
 
-cdef class CommissionModel:
+cdef class FeeModel:
     """
-    Provide an abstract commission model for trades.
+    Provides an abstract fee model for trades.
     """
+
     cpdef Money get_commission(
         self,
         Order order,
@@ -196,10 +197,10 @@ cdef class CommissionModel:
         raise NotImplementedError("Method 'get_commission' must be implemented in a subclass.")
 
 
-cdef class InstrumentSpecificPercentCommissionModel(CommissionModel):
+cdef class MakerTakerFeeModel(FeeModel):
     """
-    Provide a commission model for trades based on a percentage of the notional value
-    of the trade.
+    Provide a fee model for trades based on a maker/taker fee schedule
+    and notional value of the trade.
 
     """
 
@@ -235,7 +236,7 @@ cdef class InstrumentSpecificPercentCommissionModel(CommissionModel):
         return commission
 
 
-cdef class FixedCommissionModel(CommissionModel):
+cdef class FixedCommissionModel(FeeModel):
     """
     Provides a fixed commission model for trades.
 
@@ -253,7 +254,9 @@ cdef class FixedCommissionModel(CommissionModel):
 
     def __init__(self, Money commission):
         Condition.type(commission, Money, "commission")
-        self.commission = commission
+        Condition.positive(commission, "commission")
+
+        self._commission = commission
 
     cpdef Money get_commission(
         self,
@@ -262,4 +265,4 @@ cdef class FixedCommissionModel(CommissionModel):
         Price fill_px,
         Instrument instrument,
     ):
-        return self.commission
+        return self._commission

tests/unit_tests/backtest/test_commission_model.py

@@ -17,7 +17,7 @@
 
 # fmt: off
 from nautilus_trader.backtest.models import FixedCommissionModel
-from nautilus_trader.backtest.models import InstrumentSpecificPercentCommissionModel
+from nautilus_trader.backtest.models import MakerTakerFeeModel
 from nautilus_trader.model.currencies import USD
 from nautilus_trader.model.enums import OrderSide
 from nautilus_trader.model.instruments.base import Instrument
@@ -55,10 +55,10 @@ def sell_order(instrument: Instrument) -> Order:
 def test_fixed_commission(buy_order, instrument):
     # Arrange
     expected = Money(1, USD)
-    commission_model = FixedCommissionModel(expected)
+    fee_model = FixedCommissionModel(expected)
 
     # Act
-    commission = commission_model.get_commission(
+    commission = fee_model.get_commission(
         buy_order,
         buy_order.quantity,
         Price.from_str("1.1234"),
@@ -71,11 +71,11 @@ def test_fixed_commission(buy_order, instrument):
 
 def test_instrument_percent_commission_maker(instrument, buy_order):
     # Arrange
-    commission_model = InstrumentSpecificPercentCommissionModel()
+    fee_model = MakerTakerFeeModel()
     expected = buy_order.quantity * buy_order.price * instrument.maker_fee
 
     # Act
-    commission = commission_model.get_commission(
+    commission = fee_model.get_commission(
         buy_order,
         buy_order.quantity,
         buy_order.price,
@@ -89,11 +89,11 @@ def test_instrument_percent_commission_maker(instrument, buy_order):
 
 def test_instrument_percent_commission_taker(instrument, sell_order):
     # Arrange
-    commission_model = InstrumentSpecificPercentCommissionModel()
+    fee_model = MakerTakerFeeModel()
     expected = sell_order.quantity * sell_order.price * instrument.taker_fee
 
     # Act
-    commission = commission_model.get_commission(
+    commission = fee_model.get_commission(
         sell_order,
         sell_order.quantity,
         sell_order.price,

tests/unit_tests/backtest/test_exchange_bitmex.py

@@ -18,8 +18,8 @@
 from nautilus_trader.backtest.exchange import SimulatedExchange
 from nautilus_trader.backtest.execution_client import BacktestExecClient
 from nautilus_trader.backtest.models import FillModel
-from nautilus_trader.backtest.models import InstrumentSpecificPercentCommissionModel
 from nautilus_trader.backtest.models import LatencyModel
+from nautilus_trader.backtest.models import MakerTakerFeeModel
 from nautilus_trader.common.component import MessageBus
 from nautilus_trader.common.component import TestClock
 from nautilus_trader.data.engine import DataEngine
@@ -104,7 +104,7 @@ def setup(self):
             instruments=[XBTUSD_BITMEX],
             modules=[],
             fill_model=FillModel(),
-            commission_model=InstrumentSpecificPercentCommissionModel(),
+            fee_model=MakerTakerFeeModel(),
             clock=self.clock,
             latency_model=LatencyModel(0),
         )

tests/unit_tests/backtest/test_exchange_bracket_if_touched_entries.py

@@ -20,8 +20,8 @@
 from nautilus_trader.backtest.exchange import SimulatedExchange
 from nautilus_trader.backtest.execution_client import BacktestExecClient
 from nautilus_trader.backtest.models import FillModel
-from nautilus_trader.backtest.models import InstrumentSpecificPercentCommissionModel
 from nautilus_trader.backtest.models import LatencyModel
+from nautilus_trader.backtest.models import MakerTakerFeeModel
 from nautilus_trader.common.component import MessageBus
 from nautilus_trader.common.component import TestClock
 from nautilus_trader.data.engine import DataEngine
@@ -108,7 +108,7 @@ def setup(self):
             instruments=[ETHUSDT_PERP_BINANCE],
             modules=[],
             fill_model=FillModel(),
-            commission_model=InstrumentSpecificPercentCommissionModel(),
+            fee_model=MakerTakerFeeModel(),
             portfolio=self.portfolio,
             msgbus=self.msgbus,
             cache=self.cache,

tests/unit_tests/backtest/test_exchange_cash.py

@@ -20,8 +20,8 @@
 from nautilus_trader.backtest.exchange import SimulatedExchange
 from nautilus_trader.backtest.execution_client import BacktestExecClient
 from nautilus_trader.backtest.models import FillModel
-from nautilus_trader.backtest.models import InstrumentSpecificPercentCommissionModel
 from nautilus_trader.backtest.models import LatencyModel
+from nautilus_trader.backtest.models import MakerTakerFeeModel
 from nautilus_trader.common.component import MessageBus
 from nautilus_trader.common.component import TestClock
 from nautilus_trader.config import ExecEngineConfig
@@ -100,7 +100,7 @@ def setup(self) -> None:
             instruments=[_AAPL_XNAS],
             modules=[],
             fill_model=FillModel(),
-            commission_model=InstrumentSpecificPercentCommissionModel(),
+            fee_model=MakerTakerFeeModel(),
             portfolio=self.portfolio,
             msgbus=self.msgbus,
             cache=self.cache,