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.Util;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Orders.Fees
+{
+    /// <summary>
+    /// Provides an implementation of <see cref="FeeModel"/> that models Bitfinex order fees
+    /// </summary>
+    public class BitfinexFeeModel : FeeModel
+    {
+        /// <summary>
+        /// Tier 1 maker fees
+        /// Maker fees are paid when you add liquidity to our order book by placing a limit order under the ticker price for buy and above the ticker price for sell.
+        /// https://www.bitfinex.com/fees
+        /// </summary>
+        public const decimal MakerFee = 0.001m;
+        /// <summary>
+        /// Tier 1 taker fees
+        /// Taker fees are paid when you remove liquidity from our order book by placing any order that is executed against an order of the order book.
+        /// Note: If you place a hidden order, you will always pay the taker fee. If you place a limit order that hits a hidden order, you will always pay the maker fee.
+        /// https://www.bitfinex.com/fees
+        /// </summary>
+        public const decimal TakerFee = 0.002m;
+
+        /// <summary>
+        /// Get the fee for this order in quote currency
+        /// </summary>
+        /// <param name="parameters">A <see cref="OrderFeeParameters"/> object
+        /// containing the security and order</param>
+        /// <returns>The cost of the order in quote currency</returns>
+        public override OrderFee GetOrderFee(OrderFeeParameters parameters)
+        {
+            var order = parameters.Order;
+            var security = parameters.Security;
+            // apply fee factor, currently we do not model 30-day volume, so we use the first tier
+            var fee = TakerFee;
+            var props = order.Properties as BitfinexOrderProperties;
+
+            if (order.Type == OrderType.Limit &&
+                props?.Hidden != true &&
+                (props?.PostOnly == true || !order.IsMarketable))
+            {
+                // limit order posted to the order book
+                fee = MakerFee;
+            }
+
+            if (order.Direction == OrderDirection.Buy)
+            {
+                // fees taken in the received currency
+                CurrencyPairUtil.DecomposeCurrencyPair(order.Symbol, out var baseCurrency, out _);
+                return new OrderFee(new CashAmount(order.AbsoluteQuantity * fee, baseCurrency));
+            }
+
+            // get order value in quote currency
+            var unitPrice = order.Direction == OrderDirection.Buy ? security.AskPrice : security.BidPrice;
+            if (order.Type == OrderType.Limit)
+            {
+                // limit order posted to the order book
+                unitPrice = ((LimitOrder)order).LimitPrice;
+            }
+
+            unitPrice *= security.SymbolProperties.ContractMultiplier;
+
+            return new OrderFee(new CashAmount(
+                unitPrice * order.AbsoluteQuantity * fee,
+                security.QuoteCurrency.Symbol));
+        }
+    }
+}