wehub-resource-sync
408 lines
18 KiB
C#
408 lines
18 KiB
C#
/*
|
|
* 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;
|
|
using System.Collections.Generic;
|
|
using QuantConnect.Benchmarks;
|
|
using QuantConnect.Data.Market;
|
|
using QuantConnect.Data.Shortable;
|
|
using QuantConnect.Interfaces;
|
|
using QuantConnect.Orders;
|
|
using QuantConnect.Orders.Fees;
|
|
using QuantConnect.Orders.Fills;
|
|
using QuantConnect.Orders.Slippage;
|
|
using QuantConnect.Securities;
|
|
using QuantConnect.Securities.CryptoFuture;
|
|
using QuantConnect.Securities.Equity;
|
|
using QuantConnect.Securities.Future;
|
|
using QuantConnect.Securities.Option;
|
|
using QuantConnect.Util;
|
|
|
|
namespace QuantConnect.Brokerages
|
|
{
|
|
/// <summary>
|
|
/// Provides a default implementation of <see cref="IBrokerageModel"/> that allows all orders and uses
|
|
/// the default transaction models
|
|
/// </summary>
|
|
public class DefaultBrokerageModel : IBrokerageModel
|
|
{
|
|
/// <summary>
|
|
/// The default markets for the backtesting brokerage
|
|
/// </summary>
|
|
public static readonly IReadOnlyDictionary<SecurityType, string> DefaultMarketMap = new Dictionary<SecurityType, string>
|
|
{
|
|
{SecurityType.Base, Market.USA},
|
|
{SecurityType.Equity, Market.USA},
|
|
{SecurityType.Option, Market.USA},
|
|
{SecurityType.Future, Market.CME},
|
|
{SecurityType.FutureOption, Market.CME},
|
|
{SecurityType.Forex, Market.Oanda},
|
|
{SecurityType.Cfd, Market.Oanda},
|
|
{SecurityType.Crypto, Market.Coinbase},
|
|
{SecurityType.CryptoFuture, Market.Binance},
|
|
{SecurityType.Index, Market.USA},
|
|
{SecurityType.IndexOption, Market.USA}
|
|
}.ToReadOnlyDictionary();
|
|
|
|
/// <summary>
|
|
/// Gets or sets the account type used by this model
|
|
/// </summary>
|
|
public virtual AccountType AccountType
|
|
{
|
|
get;
|
|
private set;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Gets the brokerages model percentage factor used to determine the required unused buying power for the account.
|
|
/// From 1 to 0. Example: 0 means no unused buying power is required. 0.5 means 50% of the buying power should be left unused.
|
|
/// </summary>
|
|
public virtual decimal RequiredFreeBuyingPowerPercent => 0m;
|
|
|
|
/// <summary>
|
|
/// Gets a map of the default markets to be used for each security type
|
|
/// </summary>
|
|
public virtual IReadOnlyDictionary<SecurityType, string> DefaultMarkets
|
|
{
|
|
get { return DefaultMarketMap; }
|
|
}
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the <see cref="DefaultBrokerageModel"/> class
|
|
/// </summary>
|
|
/// <param name="accountType">The type of account to be modelled, defaults to
|
|
/// <see cref="QuantConnect.AccountType.Margin"/></param>
|
|
public DefaultBrokerageModel(AccountType accountType = AccountType.Margin)
|
|
{
|
|
AccountType = accountType;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Returns true if the brokerage could accept this order. This takes into account
|
|
/// order type, security type, and order size limits.
|
|
/// </summary>
|
|
/// <remarks>
|
|
/// For example, a brokerage may have no connectivity at certain times, or an order rate/size limit
|
|
/// </remarks>
|
|
/// <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 virtual bool CanSubmitOrder(Security security, Order order, out BrokerageMessageEvent message)
|
|
{
|
|
if ((security.Type == SecurityType.Future || security.Type == SecurityType.FutureOption) && order.Type == OrderType.MarketOnOpen)
|
|
{
|
|
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
|
|
Messages.DefaultBrokerageModel.UnsupportedMarketOnOpenOrdersForFuturesAndFutureOptions);
|
|
return false;
|
|
}
|
|
|
|
message = null;
|
|
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 virtual bool CanUpdateOrder(Security security, Order order, UpdateOrderRequest request, out BrokerageMessageEvent message)
|
|
{
|
|
message = null;
|
|
return true;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Returns true if the brokerage would be able to execute this order at this time assuming
|
|
/// market prices are sufficient for the fill to take place. This is used to emulate the
|
|
/// brokerage fills in backtesting and paper trading. For example some brokerages may not perform
|
|
/// executions during extended market hours. This is not intended to be checking whether or not
|
|
/// the exchange is open, that is handled in the Security.Exchange property.
|
|
/// </summary>
|
|
/// <param name="security">The security being traded</param>
|
|
/// <param name="order">The order to test for execution</param>
|
|
/// <returns>True if the brokerage would be able to perform the execution, false otherwise</returns>
|
|
public virtual bool CanExecuteOrder(Security security, Order order)
|
|
{
|
|
return true;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Applies the split to the specified order ticket
|
|
/// </summary>
|
|
/// <remarks>
|
|
/// This default implementation will update the orders to maintain a similar market value
|
|
/// </remarks>
|
|
/// <param name="tickets">The open tickets matching the split event</param>
|
|
/// <param name="split">The split event data</param>
|
|
public virtual void ApplySplit(List<OrderTicket> tickets, Split split)
|
|
{
|
|
// by default we'll just update the orders to have the same notional value
|
|
var splitFactor = split.SplitFactor;
|
|
tickets.ForEach(ticket => ticket.Update(new UpdateOrderFields
|
|
{
|
|
Quantity = (int?) (ticket.Quantity/splitFactor),
|
|
LimitPrice = ticket.OrderType.IsLimitOrder() ? ticket.Get(OrderField.LimitPrice)*splitFactor : (decimal?) null,
|
|
StopPrice = ticket.OrderType.IsStopOrder() ? ticket.Get(OrderField.StopPrice)*splitFactor : (decimal?) null,
|
|
TriggerPrice = ticket.OrderType == OrderType.LimitIfTouched ? ticket.Get(OrderField.TriggerPrice) * splitFactor : (decimal?) null,
|
|
TrailingAmount = ticket.OrderType == OrderType.TrailingStop && !ticket.Get<bool>(OrderField.TrailingAsPercentage) ? ticket.Get(OrderField.TrailingAmount) * splitFactor : (decimal?) null
|
|
}));
|
|
}
|
|
|
|
/// <summary>
|
|
/// Gets the brokerage's leverage for the specified security
|
|
/// </summary>
|
|
/// <param name="security">The security's whose leverage we seek</param>
|
|
/// <returns>The leverage for the specified security</returns>
|
|
public virtual decimal GetLeverage(Security security)
|
|
{
|
|
if (AccountType == AccountType.Cash)
|
|
{
|
|
return 1m;
|
|
}
|
|
|
|
switch (security.Type)
|
|
{
|
|
case SecurityType.CryptoFuture:
|
|
return 25m;
|
|
|
|
case SecurityType.Equity:
|
|
return 2m;
|
|
|
|
case SecurityType.Forex:
|
|
case SecurityType.Cfd:
|
|
return 50m;
|
|
|
|
case SecurityType.Crypto:
|
|
return 1m;
|
|
|
|
case SecurityType.Base:
|
|
case SecurityType.Commodity:
|
|
case SecurityType.Option:
|
|
case SecurityType.FutureOption:
|
|
case SecurityType.Future:
|
|
case SecurityType.Index:
|
|
case SecurityType.IndexOption:
|
|
default:
|
|
return 1m;
|
|
}
|
|
}
|
|
|
|
/// <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 virtual IBenchmark GetBenchmark(SecurityManager securities)
|
|
{
|
|
var symbol = Symbol.Create("SPY", SecurityType.Equity, Market.USA);
|
|
return SecurityBenchmark.CreateInstance(securities, symbol);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Gets a new fill model that represents this brokerage's fill behavior
|
|
/// </summary>
|
|
/// <param name="security">The security to get fill model for</param>
|
|
/// <returns>The new fill model for this brokerage</returns>
|
|
public virtual IFillModel GetFillModel(Security security)
|
|
{
|
|
switch (security.Type)
|
|
{
|
|
case SecurityType.Equity:
|
|
return new EquityFillModel();
|
|
case SecurityType.FutureOption:
|
|
return new FutureOptionFillModel();
|
|
case SecurityType.Future:
|
|
return new FutureFillModel();
|
|
case SecurityType.Base:
|
|
case SecurityType.Option:
|
|
case SecurityType.Commodity:
|
|
case SecurityType.Forex:
|
|
case SecurityType.Cfd:
|
|
case SecurityType.Crypto:
|
|
case SecurityType.CryptoFuture:
|
|
case SecurityType.Index:
|
|
case SecurityType.IndexOption:
|
|
return new ImmediateFillModel();
|
|
default:
|
|
throw new ArgumentOutOfRangeException(Messages.DefaultBrokerageModel.InvalidSecurityTypeToGetFillModel(this, security));
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Gets a new fee model that represents this brokerage's fee structure
|
|
/// </summary>
|
|
/// <param name="security">The security to get a fee model for</param>
|
|
/// <returns>The new fee model for this brokerage</returns>
|
|
public virtual IFeeModel GetFeeModel(Security security)
|
|
{
|
|
switch (security.Type)
|
|
{
|
|
case SecurityType.Base:
|
|
case SecurityType.Forex:
|
|
case SecurityType.Cfd:
|
|
case SecurityType.Crypto:
|
|
case SecurityType.CryptoFuture:
|
|
case SecurityType.Index:
|
|
return new ConstantFeeModel(0m);
|
|
|
|
case SecurityType.Equity:
|
|
case SecurityType.Option:
|
|
case SecurityType.Future:
|
|
case SecurityType.FutureOption:
|
|
return new InteractiveBrokersFeeModel();
|
|
|
|
case SecurityType.Commodity:
|
|
default:
|
|
return new ConstantFeeModel(0m);
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Gets a new slippage model that represents this brokerage's fill slippage behavior
|
|
/// </summary>
|
|
/// <param name="security">The security to get a slippage model for</param>
|
|
/// <returns>The new slippage model for this brokerage</returns>
|
|
public virtual ISlippageModel GetSlippageModel(Security security)
|
|
{
|
|
return NullSlippageModel.Instance;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Gets a new settlement model for the security
|
|
/// </summary>
|
|
/// <param name="security">The security to get a settlement model for</param>
|
|
/// <returns>The settlement model for this brokerage</returns>
|
|
public virtual ISettlementModel GetSettlementModel(Security security)
|
|
{
|
|
if (AccountType == AccountType.Cash)
|
|
{
|
|
switch (security.Type)
|
|
{
|
|
case SecurityType.Equity:
|
|
return new DelayedSettlementModel(Equity.DefaultSettlementDays, Equity.DefaultSettlementTime);
|
|
|
|
case SecurityType.Option:
|
|
return new DelayedSettlementModel(Option.DefaultSettlementDays, Option.DefaultSettlementTime);
|
|
}
|
|
}
|
|
|
|
if(security.Symbol.SecurityType == SecurityType.Future)
|
|
{
|
|
return new FutureSettlementModel();
|
|
}
|
|
|
|
return new ImmediateSettlementModel();
|
|
}
|
|
|
|
/// <summary>
|
|
/// Gets a new settlement model for the security
|
|
/// </summary>
|
|
/// <param name="security">The security to get a settlement model for</param>
|
|
/// <param name="accountType">The account type</param>
|
|
/// <returns>The settlement model for this brokerage</returns>
|
|
[Obsolete("Flagged deprecated and will remove December 1st 2018")]
|
|
public ISettlementModel GetSettlementModel(Security security, AccountType accountType)
|
|
{
|
|
return GetSettlementModel(security);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Gets a new buying power model for the security, returning the default model with the security's configured leverage.
|
|
/// For cash accounts, leverage = 1 is used.
|
|
/// </summary>
|
|
/// <param name="security">The security to get a buying power model for</param>
|
|
/// <returns>The buying power model for this brokerage/security</returns>
|
|
public virtual IBuyingPowerModel GetBuyingPowerModel(Security security)
|
|
{
|
|
IBuyingPowerModel getCurrencyBuyingPowerModel() =>
|
|
AccountType == AccountType.Cash
|
|
? new CashBuyingPowerModel()
|
|
: new SecurityMarginModel(GetLeverage(security), RequiredFreeBuyingPowerPercent);
|
|
|
|
return security?.Type switch
|
|
{
|
|
SecurityType.Crypto => getCurrencyBuyingPowerModel(),
|
|
SecurityType.Forex => getCurrencyBuyingPowerModel(),
|
|
SecurityType.CryptoFuture => new CryptoFutureMarginModel(GetLeverage(security)),
|
|
SecurityType.Future => new FutureMarginModel(RequiredFreeBuyingPowerPercent, security),
|
|
SecurityType.FutureOption => new FuturesOptionsMarginModel(RequiredFreeBuyingPowerPercent, (Option)security),
|
|
SecurityType.IndexOption => new OptionMarginModel(RequiredFreeBuyingPowerPercent),
|
|
SecurityType.Option => new OptionMarginModel(RequiredFreeBuyingPowerPercent),
|
|
_ => new SecurityMarginModel(GetLeverage(security), RequiredFreeBuyingPowerPercent)
|
|
};
|
|
}
|
|
|
|
/// <summary>
|
|
/// Gets the shortable provider
|
|
/// </summary>
|
|
/// <returns>Shortable provider</returns>
|
|
public virtual IShortableProvider GetShortableProvider(Security security)
|
|
{
|
|
// Shortable provider, responsible for loading the data that indicates how much
|
|
// quantity we can short for a given asset. The NullShortableProvider default will
|
|
// allow for infinite quantities of any asset to be shorted.
|
|
return NullShortableProvider.Instance;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Gets a new margin interest rate model for the security
|
|
/// </summary>
|
|
/// <param name="security">The security to get a margin interest rate model for</param>
|
|
/// <returns>The margin interest rate model for this brokerage</returns>
|
|
public virtual IMarginInterestRateModel GetMarginInterestRateModel(Security security)
|
|
{
|
|
return MarginInterestRateModel.Null;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Gets a new buying power model for the security
|
|
/// </summary>
|
|
/// <param name="security">The security to get a buying power model for</param>
|
|
/// <param name="accountType">The account type</param>
|
|
/// <returns>The buying power model for this brokerage/security</returns>
|
|
[Obsolete("Flagged deprecated and will remove December 1st 2018")]
|
|
public IBuyingPowerModel GetBuyingPowerModel(Security security, AccountType accountType)
|
|
{
|
|
return GetBuyingPowerModel(security);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Checks if the order quantity is valid, it means, the order size is bigger than the minimum size allowed
|
|
/// </summary>
|
|
/// <param name="security">The security of the order</param>
|
|
/// <param name="orderQuantity">The quantity of the order to be processed</param>
|
|
/// <param name="message">If this function returns false, a brokerage message detailing why the order may be invalid</param>
|
|
/// <returns>True if the order quantity is bigger than the minimum allowed, false otherwise</returns>
|
|
public static bool IsValidOrderSize(Security security, decimal orderQuantity, out BrokerageMessageEvent message)
|
|
{
|
|
var minimumOrderSize = security.SymbolProperties.MinimumOrderSize;
|
|
if (minimumOrderSize != null && Math.Abs(orderQuantity) < minimumOrderSize)
|
|
{
|
|
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
|
|
Messages.DefaultBrokerageModel.InvalidOrderQuantity(security, orderQuantity));
|
|
|
|
return false;
|
|
}
|
|
|
|
message = null;
|
|
return true;
|
|
}
|
|
}
|
|
}
|