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fix: reconcile trade pnl with commissions

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Khizar
2026-07-17 14:20:28 +00:00
parent 6aee7006a5
commit 2c07815aba
1 changed files with 14 additions and 9 deletions
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src/broker.rs
+14 -9
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@@ -64,14 +64,14 @@ impl Broker {
* self.contract_size * self.contract_size
* self.quote_to_account * self.quote_to_account
}; };
let net_pnl = pnl - self.commission * position.lot_size; let commission = self.commission * position.lot_size;
self.cash += net_pnl; self.cash += pnl - commission;
self.trade_history.push(Trade { self.trade_history.push(Trade {
entry_price: position.entry_price, entry_price: position.entry_price,
exit_price: close_price, exit_price: close_price,
lot_size: position.lot_size, lot_size: position.lot_size,
is_long: position.is_long, is_long: position.is_long,
pnl: net_pnl, pnl: pnl - commission * 2.0,
entry_timestamp: position.entry_timestamp, entry_timestamp: position.entry_timestamp,
exit_timestamp: bar.timestamp, exit_timestamp: bar.timestamp,
}); });
@@ -177,13 +177,13 @@ impl Broker {
* self.quote_to_account * self.quote_to_account
}; };
let net_pnl = pnl - self.commission * position.lot_size; let commission = self.commission * position.lot_size;
self.cash += net_pnl; self.cash += pnl - commission;
self.trade_history.push(Trade { self.trade_history.push(Trade {
entry_price: position.entry_price, entry_price: position.entry_price,
lot_size: position.lot_size, lot_size: position.lot_size,
is_long: position.is_long, is_long: position.is_long,
pnl: net_pnl, pnl: pnl - commission * 2.0,
entry_timestamp: position.entry_timestamp, entry_timestamp: position.entry_timestamp,
exit_timestamp: timestamp, exit_timestamp: timestamp,
exit_price: close_price, exit_price: close_price,
@@ -210,13 +210,13 @@ impl Broker {
* self.contract_size * self.contract_size
* self.quote_to_account * self.quote_to_account
}; };
let net_pnl = pnl - self.commission * position.lot_size; let commission = self.commission * position.lot_size;
self.cash += net_pnl; self.cash += pnl - commission;
self.trade_history.push(Trade { self.trade_history.push(Trade {
entry_price: position.entry_price, entry_price: position.entry_price,
lot_size: position.lot_size, lot_size: position.lot_size,
is_long: position.is_long, is_long: position.is_long,
pnl: net_pnl, pnl: pnl - commission * 2.0,
entry_timestamp: position.entry_timestamp, entry_timestamp: position.entry_timestamp,
exit_timestamp: timestamp, exit_timestamp: timestamp,
exit_price: close_price, exit_price: close_price,
@@ -290,6 +290,11 @@ mod tests {
broker.close_all(1.1000, 1); // same price as entry, so zero price PnL broker.close_all(1.1000, 1); // same price as entry, so zero price PnL
assert_eq!(broker.cash, 10_000.0 - 7.0 - 7.0); // commission charged again on close assert_eq!(broker.cash, 10_000.0 - 7.0 - 7.0); // commission charged again on close
assert_eq!(broker.trade_history[0].pnl, -14.0);
assert_close(
broker.cash - broker.initial_cash,
broker.trade_history.iter().map(|trade| trade.pnl).sum(),
);
} }
#[test] #[test]