BUG: Fix computing commissions

Fixes #1273

Author: kernc

backtesting/backtesting.py

@@ -952,7 +952,8 @@ def _process_orders(self):
             # Adjust price to include commission (or bid-ask spread).
             # In long positions, the adjusted price is a fraction higher, and vice versa.
             adjusted_price = self._adjusted_price(order.size, price)
-            adjusted_price_plus_commission = adjusted_price + self._commission(order.size, price)
+            adjusted_price_plus_commission = \
+                adjusted_price + self._commission(order.size, price) / abs(order.size)
 
             # If order size was specified proportionally,
             # precompute true size in units, accounting for margin and spread/commissions

backtesting/test/_test.py

@@ -260,6 +260,27 @@ def next(self):
         self.assertEqual(stats['_equity_curve']['Equity'].iloc[2:4].round(2).tolist(),
                          [9781.28, 9846.04])
 
+    def test_commissions(self):
+        class S(_S):
+            def next(self):
+                if len(self.data) == 2:
+                    self.buy(size=SIZE, tp=3)
+
+        FIXED_COMMISSION, COMMISSION = 10, .01
+        CASH, SIZE, PRICE_ENTRY, PRICE_EXIT = 5000, 100, 1, 4
+        arr = np.r_[1, PRICE_ENTRY, 1, 2, PRICE_EXIT, 1, 2]
+        df = pd.DataFrame({'Open': arr, 'High': arr, 'Low': arr, 'Close': arr})
+        with self.assertWarnsRegex(UserWarning, 'index is not datetime'):
+            stats = Backtest(df, S, cash=CASH, commission=(FIXED_COMMISSION, COMMISSION)).run()
+        EXPECTED_PAID_COMMISSION = (
+            FIXED_COMMISSION + COMMISSION * SIZE * PRICE_ENTRY +
+            FIXED_COMMISSION + COMMISSION * SIZE * PRICE_EXIT)
+        self.assertEqual(stats['Commissions [$]'], EXPECTED_PAID_COMMISSION)
+        self.assertEqual(stats._trades['Commission'][0], EXPECTED_PAID_COMMISSION)
+        self.assertEqual(
+            stats['Equity Final [$]'],
+            CASH + (PRICE_EXIT - PRICE_ENTRY) * SIZE - EXPECTED_PAID_COMMISSION)
+
     def test_dont_overwrite_data(self):
         df = EURUSD.copy()
         bt = Backtest(df, SmaCross)