Merge pull request #28 from bcicc/main

Removing Unnecessary Argument Types for Fee Model
SaguaroCapital · Oct 13, 2023 · 29b4613 · 29b4613
2 parents c38e88a + d6ad9d0
commit 29b4613
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Showing 7 changed files with 9 additions and 12 deletions.
diff --git a/docs/src/api.md b/docs/src/api.md
@@ -39,7 +39,6 @@ AlwaysOpenExchange
 
 # Fee Model
 ```@docs
-FeeModel
 ZeroFeeModel
 PercentFeeModel
 calculate_fee

diff --git a/src/SaguaroTrader.jl b/src/SaguaroTrader.jl
@@ -55,7 +55,6 @@ export
     AlwaysOpenExchange,
 
     # fee model
-    FeeModel,
     ZeroFeeModel,
     PercentFeeModel,
     calculate_fee,

diff --git a/src/broker/simulated_broker.jl b/src/broker/simulated_broker.jl
@@ -11,7 +11,7 @@ Fields
 - `account_id::String`
 - `base_currency::String`
 - `initial_cash::Float64`
-- `fee_model::FeeModel`
+- `fee_model`
 - `cash_balances::Dict{String,Float64}`
 - `portfolios::Dict{String,Portfolio}`
 - `open_orders::Dict{String,Queue{Order}}`
@@ -24,7 +24,7 @@ mutable struct SimulatedBroker <: Broker
     account_id::String
     base_currency::String
     initial_cash::Float64
-    fee_model::FeeModel
+    fee_model
     slippage_model::SlippageModel
     # market_impact_model::AbstractMarketImpactModel # TODO: Implement
     cash_balances::Dict{String,Float64}
@@ -38,7 +38,7 @@ mutable struct SimulatedBroker <: Broker
         account_id::String="",
         base_currency::String="USD",
         initial_cash::Float64=0.0,
-        fee_model::FeeModel=ZeroFeeModel(),
+        fee_model=ZeroFeeModel(),
         slippage_model::SlippageModel=ZeroSlippageModel(),
     )
         @assert initial_cash >= 0.0 "initial cash must be >= 0"

diff --git a/src/fee_model/fee_model.jl b/src/fee_model/fee_model.jl
@@ -3,29 +3,28 @@
 Abstract type to handle the calculation of 
 brokerage fee, fees and taxes.
 """
-abstract type FeeModel end
 
 include("zero_fee_model.jl")
 include("percent_fee_model.jl")
 
 """
 ```julia
-calculate_fee(fee_model::FeeModel, quantity::Real, price::Float64)
+calculate_fee(fee_model, quantity::Real, price::Float64)
 ```
 
 Calculate the fee for an order
 
 Parameters
 ----------
-- `fee_model::FeeModel`
+- `fee_model`
 - `quantity::Real`
 - `price::Float64`
 
 Returns
 -------
 - `Float64`: The total fee for the order (tax + fee)
 """
-function calculate_fee(fee_model::FeeModel, quantity::Real, price::Float64)
+function calculate_fee(fee_model, quantity::Real, price::Float64)
     tax = _calc_tax(fee_model, quantity, price)
     fee = _calc_fee(fee_model, quantity, price)
     return tax + fee

diff --git a/src/fee_model/percent_fee_model.jl b/src/fee_model/percent_fee_model.jl
@@ -12,7 +12,7 @@ Fields
 - `fee_pct::Float64` = 0.0
 - `tax_pct::Float64` = 0.0
 """
-struct PercentFeeModel <: FeeModel
+struct PercentFeeModel
     fee_pct::Float64
     tax_pct::Float64
     function PercentFeeModel(; fee_pct::Float64=0.0, tax_pct::Float64=0.0)

diff --git a/src/fee_model/zero_fee_model.jl b/src/fee_model/zero_fee_model.jl
@@ -4,7 +4,7 @@ A FeeModel that produces no fee/fees/taxes.
 
 total_fee = 0.0
 """
-struct ZeroFeeModel <: FeeModel end
+struct ZeroFeeModel end
 
 function _calc_tax(fee_model::ZeroFeeModel, quantity::Real, price::Float64)
     return 0.0

diff --git a/src/order_sizer/utils.jl b/src/order_sizer/utils.jl
@@ -21,7 +21,7 @@ calculate the quantity that we should buy to get as close
 as possible without going over.
 
 """
-function _calculate_asset_quantity(fee_model::FeeModel, max_cost::Float64, price::Float64)
+function _calculate_asset_quantity(fee_model, max_cost::Float64, price::Float64)
     quantity = Int(floor(max_cost / price))
     fee = calculate_fee(fee_model, quantity, price)
     while (quantity * price + fee) > max_cost