chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+using System.Collections.Generic;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Orders.Fees
+{
+    /// <summary>
+    /// Provides an implementation of <see cref="FeeModel"/> that models FXCM order fees
+    /// </summary>
+    public class FxcmFeeModel : FeeModel
+    {
+        private readonly string _currency;
+
+        private readonly HashSet<Symbol> _groupCommissionSchedule1 = new HashSet<Symbol>
+        {
+            Symbol.Create("EURUSD", SecurityType.Forex, Market.FXCM),
+            Symbol.Create("GBPUSD", SecurityType.Forex, Market.FXCM),
+            Symbol.Create("USDJPY", SecurityType.Forex, Market.FXCM),
+            Symbol.Create("USDCHF", SecurityType.Forex, Market.FXCM),
+            Symbol.Create("AUDUSD", SecurityType.Forex, Market.FXCM),
+            Symbol.Create("EURJPY", SecurityType.Forex, Market.FXCM),
+            Symbol.Create("GBPJPY", SecurityType.Forex, Market.FXCM),
+        };
+
+        /// <summary>
+        /// Creates a new instance
+        /// </summary>
+        /// <param name="currency">The currency of the order fee, for FXCM this is the account currency</param>
+        public FxcmFeeModel(string currency = "USD")
+        {
+            _currency = currency;
+        }
+
+        /// <summary>
+        /// Get the fee for this order in units of the account currency
+        /// </summary>
+        /// <param name="parameters">A <see cref="OrderFeeParameters"/> object
+        /// containing the security and order</param>
+        /// <returns>The cost of the order in units of the account currency</returns>
+        public override OrderFee GetOrderFee(OrderFeeParameters parameters)
+        {
+            // From http://www.fxcm.com/forex/forex-pricing/ (on Oct 6th, 2015)
+            // Forex: $0.04 per side per 1k lot for EURUSD, GBPUSD, USDJPY, USDCHF, AUDUSD, EURJPY, GBPJPY
+            //        $0.06 per side per 1k lot for other instruments
+
+            // From https://www.fxcm.com/uk/markets/cfds/frequently-asked-questions/
+            // CFD: no commissions
+
+            decimal fee = 0;
+            if (parameters.Security.Type == SecurityType.Forex)
+            {
+                var commissionRate = _groupCommissionSchedule1.Contains(parameters.Security.Symbol)
+                    ? 0.04m : 0.06m;
+
+                fee = Math.Abs(commissionRate * parameters.Order.AbsoluteQuantity / 1000);
+            }
+            return new OrderFee(new CashAmount(fee,
+                _currency));
+        }
+    }
+}