wehub-resource-sync
123 lines
4.9 KiB
C#
123 lines
4.9 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using QuantConnect.Benchmarks;
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using QuantConnect.Orders;
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using QuantConnect.Orders.Fees;
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using QuantConnect.Securities;
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using static QuantConnect.Util.SecurityExtensions;
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namespace QuantConnect.Brokerages
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{
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/// <summary>
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/// Exante Brokerage Model Implementation for Back Testing.
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/// </summary>
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public class ExanteBrokerageModel : DefaultBrokerageModel
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{
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private const decimal EquityLeverage = 1.2m;
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/// <summary>
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/// Constructor for Exante brokerage model
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/// </summary>
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/// <param name="accountType">Cash or Margin</param>
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public ExanteBrokerageModel(AccountType accountType = AccountType.Cash)
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: base(accountType)
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{
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}
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/// <summary>
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/// Get the benchmark for this model
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/// </summary>
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/// <param name="securities">SecurityService to create the security with if needed</param>
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/// <returns>The benchmark for this brokerage</returns>
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public override IBenchmark GetBenchmark(SecurityManager securities)
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{
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var symbol = Symbol.Create("SPY", SecurityType.Equity, Market.USA);
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return SecurityBenchmark.CreateInstance(securities, symbol);
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}
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/// <summary>
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/// Returns true if the brokerage could accept this order. This takes into account
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/// order type, security type, and order size limits.
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/// </summary>
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/// <remarks>
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/// For example, a brokerage may have no connectivity at certain times, or an order rate/size limit
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/// </remarks>
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/// <param name="security">The security being ordered</param>
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/// <param name="order">The order to be processed</param>
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/// <param name="message">If this function returns false, a brokerage message detailing why the order may not be submitted</param>
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/// <returns>True if the brokerage could process the order, false otherwise</returns>
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public override bool CanSubmitOrder(Security security, Order order, out BrokerageMessageEvent message)
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{
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message = null;
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if (order == null)
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{
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message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported", Messages.ExanteBrokerageModel.NullOrder);
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return false;
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}
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if (order.Price == 0m)
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{
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message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported", Messages.ExanteBrokerageModel.PriceNotSet);
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return false;
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}
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if (security.Type != SecurityType.Forex &&
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security.Type != SecurityType.Equity &&
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security.Type != SecurityType.Index &&
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security.Type != SecurityType.Option &&
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security.Type != SecurityType.Future &&
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security.Type != SecurityType.Cfd &&
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security.Type != SecurityType.Crypto &&
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security.Type != SecurityType.Index)
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{
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message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
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Messages.DefaultBrokerageModel.UnsupportedSecurityType(this, security));
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return false;
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}
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return true;
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}
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/// <summary>
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/// Gets a new fee model that represents this brokerage's fee structure
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/// </summary>
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/// <param name="security">The security to get a fee model for</param>
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/// <returns>The new fee model for this brokerage</returns>
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public override IFeeModel GetFeeModel(Security security) => new ExanteFeeModel();
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/// <summary>
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/// Exante global leverage rule
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/// </summary>
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/// <param name="security">The security's whose leverage we seek</param>
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/// <returns>The leverage for the specified security</returns>
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public override decimal GetLeverage(Security security)
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{
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if (AccountType == AccountType.Cash || security.IsInternalFeed() || security.Type == SecurityType.Base)
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{
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return 1m;
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}
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return security.Type switch
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{
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SecurityType.Forex => 1.05m,
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SecurityType.Equity => EquityLeverage,
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_ => 1.0m,
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};
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}
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}
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}
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