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fix(sizing): reserve entry commission when sizing percent_of_equity #78

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Merged
luisleo526 merged 1 commit into from
Jul 8, 2026
Merged

fix(sizing): reserve entry commission when sizing percent_of_equity #78

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15 changes: 14 additions & 1 deletion include/pineforge/engine.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -837,6 +837,19 @@ class BacktestEngine {
return floored < qty ? floored : qty;
}

// TradingView reserves the entry commission when sizing percent_of_equity:
// it sizes the notional so that notional + entry_fee <= equity*pct, i.e.
// divides the sizing cash by (1 + commRate). Proven from TV exports for
// BOTH fractional (pct=10) and all-in (pct=100) sizing — the reservation is
// not gated on headroom (KI-52 probes: ki52-pct-equity-commission-{frac,allin},
// first-entry qty = equity/(price*(1+commRate)) to the lot step, 16/16). Only
// percent commission reserves; cash-per-order/contract and a zero rate are
// exact no-ops, so FIXED/CASH qty types and commission_value_==0 are unchanged.
double reserve_percent_commission(double cash) const {
return (commission_type_ == CommissionType::PERCENT && commission_value_ > 0.0)
? cash / (1.0 + commission_value_ / 100.0) : cash;
}

double calc_qty(double fill_price) const {
switch (default_qty_type_) {
case QtyType::FIXED:
Expand All @@ -849,7 +862,7 @@ class BacktestEngine {
// percent orders from the live equity snapshot so pyramid adds
// and same-bar/re-entry sizing see unrealized PnL.
double equity = current_equity() + open_profit(current_bar_.close);
double cash = equity * (default_qty_value_ / 100.0) / account_currency_fx_;
double cash = reserve_percent_commission(equity * (default_qty_value_ / 100.0)) / account_currency_fx_;
// Reject (qty 0) on a non-finite / non-positive fill price — a
// degenerate $0/NaN print must NOT size as the raw % number.
return (std::isfinite(fill_price) && fill_price > 0)
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2 changes: 1 addition & 1 deletion src/engine_orders.cpp
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Expand Up @@ -31,7 +31,7 @@ double BacktestEngine::calc_qty_for_type(double fill_price, double qty_value, in
}
if (qty_type == static_cast<int>(QtyType::PERCENT_OF_EQUITY)) {
double equity = current_equity() + open_profit(current_bar_.close);
double cash = equity * (qty_value / 100.0);
double cash = reserve_percent_commission(equity * (qty_value / 100.0));
// Reject (qty 0) on a non-finite / non-positive fill price — a degenerate
// $0/NaN print must NOT size as the raw % number (silent wrong-qty bug).
// One contract's currency exposure is fill_price × pointvalue (1.0 for
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