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 QuantConnect.Securities;
+using QuantConnect.Securities.Crypto;
+
+namespace QuantConnect.Orders.Fees
+{
+    /// <summary>
+    /// Represents the fee model specific to Alpaca trading platform.
+    /// </summary>
+    /// <remarks>This class inherits from <see cref="FeeModel"/> and provides the fee structure for Alpaca trades.
+    /// It implements the <see cref="IFeeModel"/> interface and should be used for calculating fees on the Alpaca platform.</remarks>
+    public class AlpacaFeeModel : FeeModel
+    {
+        /// <summary>
+        /// The fee percentage for a maker transaction in cryptocurrency.
+        /// </summary>
+        /// <see href="https://docs.alpaca.markets/docs/crypto-fees"/>
+        public const decimal MakerCryptoFee = 0.0015m;
+
+        /// <summary>
+        /// The fee percentage for a taker transaction in cryptocurrency.
+        /// </summary>
+        public const decimal TakerCryptoFee = 0.0025m;
+
+        /// <summary>
+        /// Gets the order fee associated with the specified order.
+        /// </summary>
+        /// <param name="parameters">A <see cref="OrderFeeParameters"/> object
+        /// containing the security and order</param>
+        /// <returns>The cost of the order in a <see cref="CashAmount"/> instance</returns>
+        public override OrderFee GetOrderFee(OrderFeeParameters parameters)
+        {
+            var security = parameters.Security;
+            if (security.Symbol.ID.SecurityType == SecurityType.Crypto)
+            {
+                var order = parameters.Order;
+                var fee = GetFee(order, MakerCryptoFee, TakerCryptoFee);
+                CashAmount cashAmount;
+                Crypto.DecomposeCurrencyPair(security.Symbol, security.SymbolProperties, out var baseCurrency, out var quoteCurrency);
+                if (order.Direction == OrderDirection.Buy)
+                {
+                    // base currency, deducted from what we bought
+                    cashAmount = new CashAmount(order.AbsoluteQuantity * fee, baseCurrency);
+                }
+                else
+                {
+                    // quote currency
+                    var positionValue = order.AbsoluteQuantity * security.Price;
+                    cashAmount = new CashAmount(positionValue * fee, quoteCurrency);
+                }
+                return new OrderFee(cashAmount);
+            }
+            return new OrderFee(new CashAmount(0, Currencies.USD));
+        }
+
+        /// <summary>
+        /// Calculates the fee for a given order based on whether it is a maker or taker order.
+        /// </summary>
+        /// <param name="order">The order for which the fee is being calculated.</param>
+        /// <param name="makerFee">The fee percentage for maker orders.</param>
+        /// <param name="takerFee">The fee percentage for taker orders.</param>
+        /// <returns>The calculated fee for the given order.</returns>
+        private static decimal GetFee(Order order, decimal makerFee, decimal takerFee)
+        {
+            if (order.Type == OrderType.Limit && !order.IsMarketable)
+            {
+                return makerFee;
+            }
+            return takerFee;
+        }
+    }
+}