Add back commission allowance to address missed buys due to pricing d…

…iscrepancy
gnovelli · Jun 27, 2021 · a0b5c83 · a0b5c83
1 parent 9e28316
commit a0b5c83
Showing 1 changed file with 1 addition and 1 deletion.
diff --git a/python/fastquant/strategies/base.py b/python/fastquant/strategies/base.py
@@ -337,7 +337,7 @@ def next(self):
                 # Afforded size is based on closing price for the current trading day
                 # Margin is required for buy commission
                 # Add allowance to commission per transaction (avoid margin)
-                afforded_size = self.cash / (self.dataclose[0] * (1 + self.commission))
+                afforded_size = self.cash / (self.dataclose[0] * (1 + self.commission + 0.001))
                 buy_prop_size = afforded_size * self.buy_prop
 
                 # Used for take profit method