chore: import upstream snapshot with attribution

Common/Orders/Fees/dYdXFeeModel.cs

@@ -0,0 +1,92 @@
+/*
+ * 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>
+/// dYdX fee model implementation
+/// </summary>
+public class dYdXFeeModel : FeeModel
+{
+    /// <summary>
+    /// Tier 1 maker fees
+    /// https://dydx.trade/portfolio/fees
+    /// </summary>
+    private const decimal MakerTier1Fee = 0.0001m;
+
+    /// <summary>
+    /// Tier 1 taker fees
+    /// https://dydx.trade/portfolio/fees
+    /// </summary>
+    private const decimal TakerTier1Fee = 0.0005m;
+
+    private readonly decimal _makerFee;
+    private readonly decimal _takerFee;
+
+    /// <summary>
+    /// Creates Binance fee model setting fees values
+    /// </summary>
+    /// <param name="mFee">Maker fee value</param>
+    /// <param name="tFee">Taker fee value</param>
+    public dYdXFeeModel(decimal mFee = MakerTier1Fee, decimal tFee = TakerTier1Fee)
+    {
+        _makerFee = mFee;
+        _takerFee = tFee;
+    }
+
+    /// <summary>
+    /// Gets the order fee associated with the specified order.
+    /// </summary>
+    /// <param name="parameters">A <see cref="OrderFeeParameters"/> object
+    /// containing the security and order</param>
+    /// <returns>The cost of the order in a <see cref="CashAmount"/> instance</returns>
+    public override OrderFee GetOrderFee(OrderFeeParameters parameters)
+    {
+        var security = parameters.Security;
+        var order = parameters.Order;
+
+        var fee = GetFee(order);
+        var positionValue = security.Holdings.GetQuantityValue(order.AbsoluteQuantity, security.Price);
+
+        return new OrderFee(new CashAmount(positionValue.Amount * fee, positionValue.Cash.Symbol));
+    }
+
+    /// <summary>
+    /// Gets the fee factor for the given order
+    /// </summary>
+    /// <param name="order">The order to get the fee factor for</param>
+    /// <returns>The fee factor for the given order</returns>
+    protected virtual decimal GetFee(Order order)
+    {
+        return GetFee(order, _makerFee, _takerFee);
+    }
+
+    private static decimal GetFee(Order order, decimal makerFee, decimal takerFee)
+    {
+        // 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 dYdXOrderProperties;
+
+        if (order.Type == OrderType.Limit && (props is { PostOnly: true } || !order.IsMarketable))
+        {
+            // limit order posted to the order book
+            fee = makerFee;
+        }
+
+        return fee;
+    }
+}