Are the Transaction Costs modeled in Quantra Blueshift?
If yes, what is the model.
Right now we are using the <a href="https://www.zipline.io/appendix.html#commission-models">commission</a> model from zipline. This model supports specifying trading costs either as 1) per-trade 2) per share or 3) percent of traded value basis. This can be achieved by importing the required model from zipling.finance.commission and passing on this to the set_commission function in the initialize entry point:
from zipline.finance.commission import PerTrade
def initialize(context):
# some code to set up trading
set_commission(PerTrade(cost=20.0)) # Rs 20 per trade
# rest of the initialization
For FX, we have an extended implementation of pip cost which can be used similarly:
set_commission(fx=PipsCost(cost=0.00005)) # half-pip per trade