chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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using QuantConnect.Securities;
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namespace QuantConnect.Orders.Fees
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{
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/// <summary>
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/// Provides an implementation of <see cref="FeeModel"/> that models order fees that alpha stream clients pay/receive
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/// </summary>
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public class AlphaStreamsFeeModel : FeeModel
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{
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private readonly Dictionary<string, EquityFee> _equityFee =
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new Dictionary<string, EquityFee> {
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{ Market.USA, new EquityFee("USD", feePerShare: 0.005m, minimumFee: 1, maximumFeeRate: 0.005m) }
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};
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private readonly IDictionary<SecurityType, decimal> _feeRates = new Dictionary<SecurityType, decimal>
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{
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// Commission
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{SecurityType.Forex, 0.000002m},
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// Commission plus clearing fee
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{SecurityType.Future, 0.4m + 0.1m},
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{SecurityType.FutureOption, 0.4m + 0.1m},
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{SecurityType.Option, 0.4m + 0.1m},
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{SecurityType.IndexOption, 0.4m + 0.1m},
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{SecurityType.Cfd, 0m}
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};
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private const decimal _makerFee = 0.001m;
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private const decimal _takerFee = 0.002m;
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/// <summary>
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/// Gets the order fee associated with the specified order. This returns the cost
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/// of the transaction in the account currency
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/// </summary>
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/// <param name="parameters">A <see cref="OrderFeeParameters"/> object
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/// containing the security and order</param>
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/// <returns>The cost of the order in units of the account currency</returns>
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public override OrderFee GetOrderFee(OrderFeeParameters parameters)
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{
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var order = parameters.Order;
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var security = parameters.Security;
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// Option exercise is free of charge
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if (order.Type == OrderType.OptionExercise)
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{
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return OrderFee.Zero;
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}
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var market = security.Symbol.ID.Market;
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decimal feeRate;
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switch (security.Type)
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{
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case SecurityType.Option:
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case SecurityType.Future:
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case SecurityType.FutureOption:
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case SecurityType.Cfd:
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_feeRates.TryGetValue(security.Type, out feeRate);
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return new OrderFee(new CashAmount(feeRate * order.AbsoluteQuantity, Currencies.USD));
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case SecurityType.Forex:
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_feeRates.TryGetValue(security.Type, out feeRate);
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return new OrderFee(new CashAmount(feeRate * Math.Abs(order.GetValue(security)), Currencies.USD));
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case SecurityType.Crypto:
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decimal fee = _takerFee;
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var props = order.Properties as BitfinexOrderProperties;
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if (order.Type == OrderType.Limit &&
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props?.Hidden != true &&
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(props?.PostOnly == true || !order.IsMarketable))
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{
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// limit order posted to the order book
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fee = _makerFee;
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}
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// get order value in quote currency
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var unitPrice = order.Direction == OrderDirection.Buy ? security.AskPrice : security.BidPrice;
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if (order.Type == OrderType.Limit)
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{
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// limit order posted to the order book
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unitPrice = ((LimitOrder)order).LimitPrice;
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}
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unitPrice *= security.SymbolProperties.ContractMultiplier;
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// apply fee factor, currently we do not model 30-day volume, so we use the first tier
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return new OrderFee(new CashAmount(
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unitPrice * order.AbsoluteQuantity * fee,
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security.QuoteCurrency.Symbol));
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// Use the IB fee model
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case SecurityType.Equity:
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EquityFee equityFee;
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if (!_equityFee.TryGetValue(market, out equityFee))
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{
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throw new KeyNotFoundException(Messages.AlphaStreamsFeeModel.UnexpectedEquityMarket(market));
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}
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var tradeValue = Math.Abs(order.GetValue(security));
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//Per share fees
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var tradeFee = equityFee.FeePerShare * order.AbsoluteQuantity;
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//Maximum Per Order: equityFee.MaximumFeeRate
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//Minimum per order. $equityFee.MinimumFee
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var maximumPerOrder = equityFee.MaximumFeeRate * tradeValue;
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if (tradeFee < equityFee.MinimumFee)
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{
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tradeFee = equityFee.MinimumFee;
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}
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else if (tradeFee > maximumPerOrder)
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{
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tradeFee = maximumPerOrder;
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}
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return new OrderFee(new CashAmount(Math.Abs(tradeFee), equityFee.Currency));
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default:
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// unsupported security type
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throw new ArgumentException(Messages.FeeModel.UnsupportedSecurityType(security));
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}
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}
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/// <summary>
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/// Helper class to handle Equity fees
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/// </summary>
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private class EquityFee
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{
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public string Currency { get; }
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public decimal FeePerShare { get; }
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public decimal MinimumFee { get; }
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public decimal MaximumFeeRate { get; }
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public EquityFee(string currency,
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decimal feePerShare,
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decimal minimumFee,
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decimal maximumFeeRate)
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{
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Currency = currency;
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FeePerShare = feePerShare;
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MinimumFee = minimumFee;
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MaximumFeeRate = maximumFeeRate;
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}
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}
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}
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}
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