I was testing some strategy and got very bizarre results (too good). I
quickly found, that the problem is in addTxn() method and it is related to
the commission parameter. In the description of the method, you can find
that the fees will be subtracted.
TxnFees: fees associated with the transaction, e.g. commissions. Fees
are indicated as negative values and will be subtracted from
the transaction value. Optionally, ‘TxnFees’ can also provide
a function of two argument quantity and price which permits
user-defined transaction costs, possibly as function of
transaction volume and price.
Here is an example, where the sock is sold and Avg.Cost is actually higher
than Price and opposite when the stock is bought.
Txn.Qty Txn.Price Txn.Fees Txn.Value
Txn.Avg.Cost Pos.Qty
2010-03-17 -148 117.10 17.33080 -17348.13 117.2171 -148
2010-03-18 148 117.04 17.32192 17304.60 116.9230 0
>From my point of view, then the stock is sold, I should get less -17313.47,
not more -17348.13.
Is it the bug?
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