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>
+    /// An order fee where the fee quantity has already been subtracted from the filled quantity so instead we subtracted
+    /// from the quote currency when applied to the portfolio
+    /// </summary>
+    /// <remarks>
+    /// This type of order fee is returned by some crypto brokerages (e.g. Bitfinex and Binance)
+    /// with buy orders with cash accounts.
+    /// </remarks>
+    public class ModifiedFillQuantityOrderFee : OrderFee
+    {
+        private readonly string _quoteCurrency;
+        private readonly decimal _contractMultiplier;
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="ModifiedFillQuantityOrderFee"/> class
+        /// </summary>
+        /// <param name="orderFee">The order fee</param>
+        /// <param name="quoteCurrency">The associated security quote currency</param>
+        /// <param name="contractMultiplier">The associated security contract multiplier</param>
+        public ModifiedFillQuantityOrderFee(CashAmount orderFee, string quoteCurrency, decimal contractMultiplier)
+            : base(orderFee)
+        {
+            _quoteCurrency = quoteCurrency;
+            _contractMultiplier = contractMultiplier;
+        }
+
+        /// <summary>
+        /// Applies the order fee to the given portfolio
+        /// </summary>
+        /// <param name="portfolio">The portfolio instance</param>
+        /// <param name="fill">The order fill event</param>
+        public override void ApplyToPortfolio(SecurityPortfolioManager portfolio, OrderEvent fill)
+        {
+            portfolio.CashBook[_quoteCurrency].AddAmount(-Value.Amount * fill.FillPrice * _contractMultiplier);
+        }
+    }
+}