/*
* 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 QuantConnect.Orders;
using QuantConnect.Orders.Fees;
using QuantConnect.Securities;
using System.Collections.Generic;
namespace QuantConnect.Brokerages
{
///
/// Represents a brokerage model specific to Public.com.
///
public class PublicBrokerageModel : DefaultBrokerageModel
{
///
/// The security types supported by Public.com.
///
private readonly HashSet _supportSecurityTypes = new(
new[]
{
SecurityType.Equity,
SecurityType.Option,
SecurityType.IndexOption,
SecurityType.Crypto
});
///
/// The order types supported by the operation in Public.com.
/// Multi-leg combos are limit only.
///
private readonly HashSet _supportOrderTypes = new(
new[]
{
OrderType.Market,
OrderType.Limit,
OrderType.StopMarket,
OrderType.StopLimit,
OrderType.ComboLimit
});
///
/// Constructor for Public.com brokerage model
///
/// Cash or Margin
public PublicBrokerageModel(AccountType accountType = AccountType.Margin)
: base(accountType)
{
}
///
/// Provides the Public.com fee model
///
/// Security
/// Public.com fee model
public override IFeeModel GetFeeModel(Security security)
{
return new PublicFeeModel();
}
///
/// Returns true if the brokerage could accept this order. This takes into account order type, security type.
///
/// The security of the order
/// The order to be processed
/// If this function returns false, a brokerage message detailing why the order may not be submitted
/// True if the brokerage could process the order, false otherwise
public override bool CanSubmitOrder(Security security, Order order, out BrokerageMessageEvent message)
{
message = default;
if (!_supportSecurityTypes.Contains(security.Type))
{
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
Messages.DefaultBrokerageModel.UnsupportedSecurityType(this, security));
return false;
}
if (!_supportOrderTypes.Contains(order.Type))
{
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
Messages.DefaultBrokerageModel.UnsupportedOrderType(this, order, _supportOrderTypes));
return false;
}
// Public.com only accepts Limit orders in the extended (outside regular trading hours) session.
if (order.Properties is PublicOrderProperties { OutsideRegularTradingHours: true } && order.Type != OrderType.Limit)
{
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
Messages.PublicBrokerageModel.ExtendedMarketOrderMustBeLimit(order));
return false;
}
if (order.Properties is PublicOrderProperties publicOrderProperties)
{
// A cash account has no margin buying power, so margin is always off there.
// On a margin account, keep an explicit choice and otherwise use margin by default.
publicOrderProperties.UseMargin = AccountType != AccountType.Cash && (publicOrderProperties.UseMargin ?? true);
}
// Public.com handles crossing a zero position natively, so the order is not split or rejected here.
return base.CanSubmitOrder(security, order, out message);
}
///
/// Returns true if the brokerage would allow updating the order as specified by the request.
/// Public.com has no multi-leg replace endpoint, so combo orders cannot be updated.
///
/// The security of the order
/// The order to be updated
/// The requested update to be made to the order
/// If this function returns false, a brokerage message detailing why the order may not be updated
/// True if the brokerage would allow updating the order, false otherwise
public override bool CanUpdateOrder(Security security, Order order, UpdateOrderRequest request, out BrokerageMessageEvent message)
{
if (order.GroupOrderManager != null)
{
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
"Public.com does not support updating combo (multi-leg) orders.");
return false;
}
message = null;
return true;
}
}
}