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 2014-2023 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 QuantConnect.Securities;
+
+namespace QuantConnect.Orders.Fees
+{
+    /// <summary>
+    /// Represents a fee model specific to Coinbase.
+    /// This class extends the base fee model.
+    /// </summary>
+    public class CoinbaseFeeModel : FeeModel
+    {
+        /// <summary>
+        /// Level Advanced 1 maker fee
+        /// Tab "Fee tiers" on <see href="https://www.coinbase.com/advanced-fees"/>
+        /// </summary>
+        public const decimal MakerAdvanced1 = 0.006m;
+
+        /// <summary>
+        /// Level Advanced 1 taker fee
+        /// Tab "Fee tiers" on <see href="https://www.coinbase.com/advanced-fees"/>
+        /// </summary>
+        public const decimal TakerAdvanced1 = 0.008m;
+
+        /// <summary>
+        /// Stable Pairs maker fee
+        /// Tab "Stable pairs" on <see href="https://www.coinbase.com/advanced-fees"/>
+        /// </summary>
+        public const decimal MakerStablePairs = 0m;
+
+        /// <summary>
+        /// Stable Pairs taker fee
+        /// Tab "Stable pairs" on <see href="https://www.coinbase.com/advanced-fees"/>
+        /// </summary>
+        public const decimal TakerStableParis = 0.00001m;
+
+        private readonly decimal _makerFee;
+
+        private readonly decimal _takerFee;
+
+        /// <summary>
+        /// Create Coinbase Fee model setting fee values
+        /// </summary>
+        /// <param name="makerFee">Maker fee value</param>
+        /// <param name="takerFee">Taker fee value</param>
+        /// <remarks>By default: use Level Advanced 1 fees</remarks>
+        public CoinbaseFeeModel(decimal makerFee = MakerAdvanced1, decimal takerFee = TakerAdvanced1)
+        {
+            _makerFee = makerFee;
+            _takerFee = takerFee;
+        }
+
+        /// <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)
+        {
+            if (parameters == null)
+            {
+                throw new ArgumentNullException(nameof(parameters), "The 'parameters' argument cannot be null.");
+            }
+
+            var order = parameters.Order;
+            var security = parameters.Security;
+            var props = order.Properties as CoinbaseOrderProperties;
+
+            // marketable limit orders are considered takers
+            var isMaker = order.Type == OrderType.Limit && ((props != null && props.PostOnly) || !order.IsMarketable);
+
+            // Check if the current symbol is a StableCoin
+            var isStableCoin = Currencies.StablePairsCoinbase.Contains(security.Symbol.Value);
+
+            var feePercentage = GetFeePercentage(order.Time, isMaker, isStableCoin, _makerFee, _takerFee);
+
+            // get order value in quote currency, then apply maker/taker fee factor
+            var unitPrice = order.Direction == OrderDirection.Buy ? security.AskPrice : security.BidPrice;
+            unitPrice *= security.SymbolProperties.ContractMultiplier;
+
+            // currently we do not model 30-day volume, so we use the first tier
+
+            var fee = unitPrice * order.AbsoluteQuantity * feePercentage;
+
+            return new OrderFee(new CashAmount(fee, security.QuoteCurrency.Symbol));
+        }
+
+        /// <summary>
+        /// Returns the maker/taker fee percentage effective at the requested date.
+        /// </summary>
+        /// <param name="utcTime">The date/time requested (UTC)</param>
+        /// <param name="isMaker">true if the maker percentage fee is requested, false otherwise</param>
+        /// <param name="isStableCoin">true if the order security symbol is a StableCoin, false otherwise</param>
+        /// <param name="makerFee">maker fee amount</param>
+        /// <param name="takerFee">taker fee amount</param>
+        /// <returns>The fee percentage</returns>
+        protected static decimal GetFeePercentage(DateTime utcTime, bool isMaker, bool isStableCoin, decimal makerFee, decimal takerFee)
+        {
+            if (isStableCoin && utcTime < new DateTime(2022, 6, 1))
+            {                
+                return isMaker ? 0m : 0.001m;
+            }
+            else if(isStableCoin)
+            {
+                return isMaker ? MakerStablePairs : TakerStableParis;
+            }
+            else if (utcTime < new DateTime(2019, 3, 23, 1, 30, 0))
+            {
+                return isMaker ? 0m : 0.003m;
+            }
+            else if (utcTime < new DateTime(2019, 10, 8, 0, 30, 0))
+            {
+                return isMaker ? 0.0015m : 0.0025m;
+            }
+
+            // https://www.coinbase.com/advanced-fees
+            // Level      | Trading amount  | Spot fees (Maker | Taker)
+            // Advanced 1 |     >= $0       |       0.60% | 0.80%
+            return isMaker ? makerFee : takerFee;
+        }
+    }
+}