Add subtract_fees config option.

When enabled, fees are subtracted from cash balance after an order is filled.

Author: edtechre

src/pybroker/config.py

@@ -29,6 +29,8 @@ class StrategyConfig:
                 :class:`pybroker.common.FeeInfo`.
             - ``None``: Fees are disabled (default).
         fee_amount: Brokerage fee amount.
+        subtract_fees: Whether to subtract fees from the cash balance after an
+            order is filled. Defaults to ``False``.
         enable_fractional_shares: Whether to enable trading fractional shares.
             Set to ``True`` for crypto trading. Defaults to ``False``.
         round_fill_price: Whether to round fill prices to the nearest cent.
@@ -74,6 +76,7 @@ class StrategyConfig:
         default=None
     )
     fee_amount: float = field(default=0)
+    subtract_fees: bool = field(default=False)
     enable_fractional_shares: bool = field(default=False)
     round_fill_price: bool = field(default=True)
     max_long_positions: Optional[int] = field(default=None)

src/pybroker/portfolio.py

@@ -293,6 +293,8 @@ class Portfolio:
             the amount of equity held in cash and long positions added together
             with the unrealized PnL of all open short positions.
         fees: Current brokerage fees.
+        fee_amount: Brokerage fee amount.
+        subtract_fees: Whether to subtract fees from the cash balance.
         enable_fractional_shares: Whether to enable trading fractional shares.
         orders: ``deque`` of all filled orders, sorted in ascending
             chronological order.
@@ -318,6 +320,7 @@ def __init__(
             Union[FeeMode, Callable[[FeeInfo], Decimal], None]
         ] = None,
         fee_amount: Optional[float] = None,
+        subtract_fees: bool = False,
         enable_fractional_shares: bool = False,
         max_long_positions: Optional[int] = None,
         max_short_positions: Optional[int] = None,
@@ -328,6 +331,7 @@ def __init__(
         self._fee_amount: Optional[Decimal] = (
             None if fee_amount is None else to_decimal(fee_amount)
         )
+        self._subtract_fees = subtract_fees
         self._enable_fractional_shares = enable_fractional_shares
         self.equity: Decimal = self.cash
         self.market_value: Decimal = self.cash
@@ -440,6 +444,8 @@ def _add_order(
         )
         self.orders.append(order)
         self.fees += fees
+        if self._subtract_fees:
+            self.cash -= fees
         return order
 
     def _add_trade(
@@ -519,6 +525,8 @@ def _remove_stop_data(self, entry: Entry):
                 del self._stop_data[stop.id]
 
     def _clamp_shares(self, fill_price: Decimal, shares: Decimal) -> Decimal:
+        if self.cash < 0:
+            return Decimal()
         max_shares = (
             Decimal(self.cash / fill_price)
             if self._enable_fractional_shares

src/pybroker/strategy.py

@@ -1230,6 +1230,7 @@ def walkforward(
                     self._config.initial_cash,
                     self._config.fee_mode,
                     self._config.fee_amount,
+                    self._config.subtract_fees,
                     self._fractional_shares_enabled(),
                     self._config.max_long_positions,
                     self._config.max_short_positions,

tests/test_portfolio.py

@@ -793,6 +793,39 @@ def test_buy_and_sell_when_fees(
     assert portfolio.fees == expected_buy_fees + expected_sell_fees
 
 
+def test_subtract_fees():
+    portfolio = Portfolio(
+        3, FeeMode.PER_ORDER, fee_amount=1, subtract_fees=True
+    )
+    order = portfolio.buy(DATE_1, SYMBOL_1, shares=1, fill_price=1)
+    assert_order(
+        order=order,
+        date=DATE_1,
+        symbol=SYMBOL_1,
+        type="buy",
+        limit_price=None,
+        fill_price=1,
+        shares=1,
+        fees=1,
+    )
+    assert portfolio.cash == 1
+    order = portfolio.buy(DATE_2, SYMBOL_1, shares=1, fill_price=1)
+    assert_order(
+        order=order,
+        date=DATE_2,
+        symbol=SYMBOL_1,
+        type="buy",
+        limit_price=None,
+        fill_price=1,
+        shares=1,
+        fees=1,
+    )
+    assert portfolio.cash == -1
+    order = portfolio.buy(DATE_2, SYMBOL_1, shares=1, fill_price=1)
+    assert order is None
+    assert portfolio.cash == -1
+
+
 def test_sell_when_partial_shares():
     portfolio = Portfolio(CASH)
     buy_order = portfolio.buy(