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;
+
+namespace QuantConnect.Orders.Fees
+{
+    /// <summary>
+    /// Provides an implementation of <see cref="FeeModel"/> that models FTX order fees
+    /// https://help.ftx.com/hc/en-us/articles/360024479432-Fees
+    /// </summary>
+    public class FTXFeeModel : FeeModel
+    {
+        /// <summary>
+        /// Tier 1 maker fees
+        /// </summary>
+        public virtual decimal MakerFee => 0.0002m;
+        
+        /// <summary>
+        /// Tier 1 taker fees
+        /// </summary>
+        public virtual decimal TakerFee => 0.0007m;
+
+        /// <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;
+            var props = order.Properties as FTXOrderProperties;
+
+            //taker by default
+            var fee = TakerFee;
+            var unitPrice = order.Direction == OrderDirection.Buy ? security.AskPrice : security.BidPrice;
+            unitPrice *= security.SymbolProperties.ContractMultiplier;
+            var currency = security.QuoteCurrency.Symbol;
+
+            //maker if limit
+            if (order.Type == OrderType.Limit && (props?.PostOnly == true || !order.IsMarketable))
+            {
+                fee =  MakerFee;
+                if (order.Direction == OrderDirection.Buy)
+                {
+                    unitPrice = 1;
+                    currency = ((IBaseCurrencySymbol)security).BaseCurrency.Symbol;
+                }
+            }
+
+            // apply fee factor, currently we do not model 30-day volume, so we use the first tier
+            return new OrderFee(new CashAmount(
+                unitPrice * order.AbsoluteQuantity * fee,
+                currency));
+        }
+    }
+}