Fix per-contract fees for option spreads (#4363)

Author: faysou

crates/execution/src/models/fee.rs

@@ -309,13 +309,41 @@ impl FeeModel for PerContractFeeModel {
         _order: &OrderAny,
         fill_quantity: Quantity,
         _fill_px: Price,
-        _instrument: &InstrumentAny,
+        instrument: &InstrumentAny,
     ) -> anyhow::Result<Money> {
-        let total = self.commission.as_decimal() * fill_quantity.as_decimal();
+        let total = self.commission.as_decimal()
+            * fill_quantity.as_decimal()
+            * spread_contract_count(instrument);
         Money::from_decimal(total, self.commission.currency).map_err(Into::into)
     }
 }
 
+fn spread_contract_count(instrument: &InstrumentAny) -> Decimal {
+    let symbol = instrument.id().symbol.to_string();
+    if !symbol.contains("___") {
+        return Decimal::ONE;
+    }
+
+    symbol
+        .split("___")
+        .filter_map(spread_leg_ratio)
+        .sum::<i64>()
+        .max(1)
+        .into()
+}
+
+fn spread_leg_ratio(component: &str) -> Option<i64> {
+    let ratio = component
+        .strip_prefix("((")
+        .and_then(|rest| rest.split_once("))").map(|(ratio, _)| ratio))
+        .or_else(|| {
+            component
+                .strip_prefix('(')
+                .and_then(|rest| rest.split_once(')').map(|(ratio, _)| ratio))
+        })?;
+    ratio.parse::<i64>().ok()
+}
+
 #[derive(Debug, Clone)]
 #[cfg_attr(
     feature = "python",
@@ -605,9 +633,13 @@ mod tests {
 
     use nautilus_model::{
         enums::{LiquiditySide, OrderSide, OrderType},
+        identifiers::InstrumentId,
         instruments::{
             BinaryOption, CryptoOption, Instrument, InstrumentAny, OptionContract,
-            stubs::{audusd_sim, binary_option, crypto_option_btc_deribit, option_contract_appl},
+            stubs::{
+                audusd_sim, binary_option, crypto_option_btc_deribit, option_contract_appl,
+                option_spread,
+            },
         },
         orders::{
             Order, OrderAny,
@@ -785,6 +817,33 @@ mod tests {
         assert_eq!(commission, Money::new(50.0, Currency::USD()));
     }
 
+    #[rstest]
+    fn test_per_contract_fee_model_option_spread_charges_each_contract() {
+        let commission_per_contract = Money::from("1.25 USD");
+        let fee_model = PerContractFeeModel::new(commission_per_contract).unwrap();
+        let spread_id = InstrumentId::from("((2))SPY C410___(1)SPY C400.SMART");
+        let mut option_spread = option_spread();
+        option_spread.id = spread_id;
+        let instrument = InstrumentAny::OptionSpread(option_spread);
+        let market_order = OrderTestBuilder::new(OrderType::Market)
+            .instrument_id(instrument.id())
+            .side(OrderSide::Buy)
+            .quantity(Quantity::from(2))
+            .build();
+        let accepted_order = TestOrderStubs::make_accepted_order(&market_order);
+
+        let commission = fee_model
+            .get_commission(
+                &accepted_order,
+                Quantity::from(2),
+                Price::from("1.0"),
+                &instrument,
+            )
+            .unwrap();
+
+        assert_eq!(commission, Money::from("7.50 USD"));
+    }
+
     #[rstest]
     fn test_per_contract_fee_model_partial_fill() {
         let commission_per_contract = Money::new(1.25, Currency::USD());

nautilus_trader/backtest/models/fee.pyx

@@ -22,6 +22,7 @@ from nautilus_trader.core.rust.core cimport NANOSECONDS_IN_MILLISECOND
 from nautilus_trader.core.rust.model cimport LiquiditySide
 from nautilus_trader.model.book cimport OrderBook
 from nautilus_trader.model.functions cimport liquidity_side_to_str
+from nautilus_trader.model.identifiers cimport generic_spread_id_n_legs
 from nautilus_trader.model.instruments.base cimport Instrument
 from nautilus_trader.model.objects cimport Money
 from nautilus_trader.model.objects cimport Price
@@ -205,4 +206,7 @@ cdef class PerContractFeeModel(FeeModel):
         Price fill_px,
         Instrument instrument,
     ):
-        return Money(self._commission * fill_qty, self._commission.currency)
+        return Money(
+            self._commission * fill_qty * generic_spread_id_n_legs(instrument.id),
+            self._commission.currency,
+        )

tests/unit_tests/backtest/test_commission_model.py

@@ -19,15 +19,19 @@
 
 from nautilus_trader.backtest.models import FixedFeeModel
 from nautilus_trader.backtest.models import MakerTakerFeeModel
+from nautilus_trader.backtest.models import PerContractFeeModel
 from nautilus_trader.model.currencies import BTC
 from nautilus_trader.model.currencies import USD
+from nautilus_trader.model.enums import AssetClass
 from nautilus_trader.model.enums import OptionKind
 from nautilus_trader.model.enums import OrderSide
 from nautilus_trader.model.identifiers import InstrumentId
 from nautilus_trader.model.identifiers import Symbol
 from nautilus_trader.model.identifiers import Venue
+from nautilus_trader.model.identifiers import new_generic_spread_id
 from nautilus_trader.model.instruments import CryptoOption
 from nautilus_trader.model.instruments import Instrument
+from nautilus_trader.model.instruments import OptionSpread
 from nautilus_trader.model.objects import Money
 from nautilus_trader.model.objects import Price
 from nautilus_trader.model.objects import Quantity
@@ -110,6 +114,49 @@ def test_fixed_commission_multiple_fills(
     assert commission_next_fill == expected_next_fill
 
 
+def test_per_contract_commission_option_spread_charges_each_contract():
+    # Arrange
+    spread_id = new_generic_spread_id(
+        [
+            (InstrumentId.from_str("SPY C400.SMART"), 1),
+            (InstrumentId.from_str("SPY C410.SMART"), -2),
+        ],
+    )
+    instrument = OptionSpread(
+        instrument_id=spread_id,
+        raw_symbol=spread_id.symbol,
+        asset_class=AssetClass.EQUITY,
+        currency=USD,
+        price_precision=2,
+        price_increment=Price.from_str("0.01"),
+        multiplier=Quantity.from_int(100),
+        lot_size=Quantity.from_int(1),
+        underlying="SPY",
+        strategy_type="SPREAD",
+        activation_ns=0,
+        expiration_ns=0,
+        ts_event=0,
+        ts_init=0,
+    )
+    fee_model = PerContractFeeModel(Money(Decimal("1.25"), USD))
+    order = TestExecStubs.make_accepted_order(
+        instrument=instrument,
+        order_side=OrderSide.BUY,
+        quantity=Quantity.from_int(2),
+    )
+
+    # Act
+    commission = fee_model.get_commission(
+        order,
+        Quantity.from_int(2),
+        Price.from_str("1.00"),
+        instrument,
+    )
+
+    # Assert
+    assert commission == Money(Decimal("7.50"), USD)
+
+
 def test_instrument_percent_commission_maker(instrument):
     # Arrange
     fee_model = MakerTakerFeeModel()