quantconnect--lean/Common/Brokerages/AxosClearingBrokerageModel.cs

/*
 * 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 System.Linq;
using System.Collections.Generic;
using QuantConnect.Benchmarks;
using QuantConnect.Data.Shortable;
using QuantConnect.Interfaces;
using QuantConnect.Orders;
using QuantConnect.Orders.Fees;
using QuantConnect.Orders.TimeInForces;
using QuantConnect.Securities;
using QuantConnect.Util;

namespace QuantConnect.Brokerages
{
    /// <summary>
    /// Provides the Axos clearing brokerage model specific properties
    /// </summary>
    public class AxosClearingBrokerageModel : DefaultBrokerageModel
    {
        private readonly HashSet<OrderType> _supportedOrderTypes = new()
        {
            OrderType.Limit,
            OrderType.Market,
            OrderType.MarketOnClose
        };

        /// <summary>
        /// The default markets for Trading Technologies
        /// </summary>
        public new static readonly IReadOnlyDictionary<SecurityType, string> DefaultMarketMap = new Dictionary<SecurityType, string>
        {
            {SecurityType.Equity, Market.USA}
        }.ToReadOnlyDictionary();

        /// <summary>
        /// Creates a new instance
        /// </summary>
        public AxosClearingBrokerageModel(AccountType accountType = AccountType.Margin) : base(accountType)
        {
        }

        /// <summary>
        /// Gets a map of the default markets to be used for each security type
        /// </summary>
        public override IReadOnlyDictionary<SecurityType, string> DefaultMarkets => DefaultMarketMap;

        /// <summary>
        /// Provides Axos fee model
        /// </summary>
        /// <param name="security">The security to get a fee model for</param>
        /// <returns>The new fee model for this brokerage</returns>
        public override IFeeModel GetFeeModel(Security security)
        {
            return new AxosFeeModel();
        }

        /// <summary>
        /// Gets the shortable provider
        /// </summary>
        /// <returns>Shortable provider</returns>
        public override IShortableProvider GetShortableProvider(Security security)
        {
            if(security.Type == SecurityType.Equity)
            {
                return new LocalDiskShortableProvider("axos");
            }
            return base.GetShortableProvider(security);
        }

        /// <summary>
        /// Get the benchmark for this model
        /// </summary>
        /// <param name="securities">SecurityService to create the security with if needed</param>
        /// <returns>The benchmark for this brokerage</returns>
        public override IBenchmark GetBenchmark(SecurityManager securities)
        {
            // Equivalent to no benchmark
            return new FuncBenchmark(x => 0);
        }

        /// <summary>
        /// Returns true if the brokerage could accept this order.
        /// </summary>
        /// <param name="security">The security being ordered</param>
        /// <param name="order">The order to be processed</param>
        /// <param name="message">If this function returns false, a brokerage message detailing why the order may not be submitted</param>
        /// <returns>True if the brokerage could process the order, false otherwise</returns>
        public override bool CanSubmitOrder(Security security, Order order, out BrokerageMessageEvent message)
        {
            message = null;

            // validate security type
            if (!DefaultMarketMap.ContainsKey(security.Type))
            {
                message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
                    Messages.DefaultBrokerageModel.UnsupportedSecurityType(this, security));

                return false;
            }

            // validate order type
            if (!_supportedOrderTypes.Contains(order.Type))
            {
                message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
                    Messages.DefaultBrokerageModel.UnsupportedOrderType(this, order, _supportedOrderTypes));

                return false;
            }

            // validate orders quantity
            if (order.AbsoluteQuantity % 1 != 0)
            {
                message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
                    Messages.AxosBrokerageModel.NonIntegerOrderQuantity(order));

                return false;
            }

            return true;
        }

        /// <summary>
        /// Returns true if the brokerage would allow updating the order as specified by the request
        /// </summary>
        /// <param name="security">The security of the order</param>
        /// <param name="order">The order to be updated</param>
        /// <param name="request">The requested update to be made to the order</param>
        /// <param name="message">If this function returns false, a brokerage message detailing why the order may not be updated</param>
        /// <returns>True if the brokerage would allow updating the order, false otherwise</returns>
        public override bool CanUpdateOrder(Security security, Order order, UpdateOrderRequest request, out BrokerageMessageEvent message)
        {
            message = null;

            return true;
        }
    }
}