wehub-resource-sync
420 lines
17 KiB
C#
420 lines
17 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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*/
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using System;
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using System.Collections.Generic;
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using QuantConnect.Benchmarks;
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using QuantConnect.Data.Market;
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using QuantConnect.Interfaces;
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using QuantConnect.Orders;
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using QuantConnect.Orders.Fees;
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using QuantConnect.Orders.Fills;
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using QuantConnect.Orders.Slippage;
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using QuantConnect.Securities;
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using QuantConnect.Python;
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namespace QuantConnect.Brokerages
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{
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/// <summary>
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/// Models brokerage transactions, fees, and order
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/// </summary>
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public interface IBrokerageModel
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{
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/// <summary>
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/// Gets the account type used by this model
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/// </summary>
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AccountType AccountType
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{
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get;
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}
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/// <summary>
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/// Gets the brokerages model percentage factor used to determine the required unused buying power for the account.
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/// 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.
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/// </summary>
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decimal RequiredFreeBuyingPowerPercent
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{
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get;
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}
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/// <summary>
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/// Gets a map of the default markets to be used for each security type
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/// </summary>
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IReadOnlyDictionary<SecurityType, string> DefaultMarkets { get; }
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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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bool CanSubmitOrder(Security security, Order order, out BrokerageMessageEvent message);
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/// <summary>
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/// Returns true if the brokerage would allow updating the order as specified by the request
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/// </summary>
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/// <param name="security">The security of the order</param>
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/// <param name="order">The order to be updated</param>
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/// <param name="request">The requested updated to be made to the order</param>
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/// <param name="message">If this function returns false, a brokerage message detailing why the order may not be updated</param>
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/// <returns>True if the brokerage would allow updating the order, false otherwise</returns>
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bool CanUpdateOrder(Security security, Order order, UpdateOrderRequest request, out BrokerageMessageEvent message);
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/// <summary>
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/// Returns true if the brokerage would be able to execute this order at this time assuming
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/// market prices are sufficient for the fill to take place. This is used to emulate the
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/// brokerage fills in backtesting and paper trading. For example some brokerages may not perform
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/// executions during extended market hours. This is not intended to be checking whether or not
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/// the exchange is open, that is handled in the Security.Exchange property.
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/// </summary>
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/// <param name="security">The security being ordered</param>
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/// <param name="order">The order to test for execution</param>
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/// <returns>True if the brokerage would be able to perform the execution, false otherwise</returns>
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bool CanExecuteOrder(Security security, Order order);
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/// <summary>
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/// Applies the split to the specified order ticket
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/// </summary>
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/// <param name="tickets">The open tickets matching the split event</param>
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/// <param name="split">The split event data</param>
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void ApplySplit(List<OrderTicket> tickets, Split split);
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/// <summary>
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/// Gets the brokerage's leverage for the specified security
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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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decimal GetLeverage(Security security);
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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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IBenchmark GetBenchmark(SecurityManager securities);
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/// <summary>
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/// Gets a new fill model that represents this brokerage's fill behavior
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/// </summary>
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/// <param name="security">The security to get fill model for</param>
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/// <returns>The new fill model for this brokerage</returns>
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IFillModel GetFillModel(Security security);
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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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IFeeModel GetFeeModel(Security security);
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/// <summary>
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/// Gets a new slippage model that represents this brokerage's fill slippage behavior
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/// </summary>
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/// <param name="security">The security to get a slippage model for</param>
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/// <returns>The new slippage model for this brokerage</returns>
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ISlippageModel GetSlippageModel(Security security);
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/// <summary>
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/// Gets a new settlement model for the security
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/// </summary>
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/// <param name="security">The security to get a settlement model for</param>
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/// <returns>The settlement model for this brokerage</returns>
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ISettlementModel GetSettlementModel(Security security);
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/// <summary>
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/// Gets a new margin interest rate model for the security
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/// </summary>
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/// <param name="security">The security to get a margin interest rate model for</param>
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/// <returns>The margin interest rate model for this brokerage</returns>
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IMarginInterestRateModel GetMarginInterestRateModel(Security security);
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/// <summary>
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/// Gets a new settlement model for the security
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/// </summary>
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/// <param name="security">The security to get a settlement model for</param>
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/// <param name="accountType">The account type</param>
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/// <returns>The settlement model for this brokerage</returns>
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[Obsolete("Flagged deprecated and will remove December 1st 2018")]
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ISettlementModel GetSettlementModel(Security security, AccountType accountType);
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/// <summary>
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/// Gets a new buying power model for the security
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/// </summary>
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/// <param name="security">The security to get a buying power model for</param>
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/// <returns>The buying power model for this brokerage/security</returns>
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IBuyingPowerModel GetBuyingPowerModel(Security security);
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/// <summary>
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/// Gets a new buying power model for the security
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/// </summary>
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/// <param name="security">The security to get a buying power model for</param>
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/// <param name="accountType">The account type</param>
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/// <returns>The buying power model for this brokerage/security</returns>
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[Obsolete("Flagged deprecated and will remove December 1st 2018")]
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IBuyingPowerModel GetBuyingPowerModel(Security security, AccountType accountType);
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/// <summary>
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/// Gets the shortable provider
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/// </summary>
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/// <returns>Shortable provider</returns>
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IShortableProvider GetShortableProvider(Security security);
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}
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/// <summary>
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/// Provides factory method for creating an <see cref="IBrokerageModel"/> from the <see cref="BrokerageName"/> enum
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/// </summary>
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public static class BrokerageModel
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{
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/// <summary>
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/// Creates a new <see cref="IBrokerageModel"/> for the specified <see cref="BrokerageName"/>
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/// </summary>
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/// <param name="orderProvider">The order provider</param>
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/// <param name="brokerage">The name of the brokerage</param>
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/// <param name="accountType">The account type</param>
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/// <returns>The model for the specified brokerage</returns>
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public static IBrokerageModel Create(IOrderProvider orderProvider, BrokerageName brokerage, AccountType accountType)
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{
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switch (brokerage)
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{
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case BrokerageName.Default:
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return new DefaultBrokerageModel(accountType);
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case BrokerageName.TerminalLink:
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return new TerminalLinkBrokerageModel(accountType);
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case BrokerageName.Alpaca:
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return new AlpacaBrokerageModel();
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case BrokerageName.InteractiveBrokersBrokerage:
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return new InteractiveBrokersBrokerageModel(accountType);
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case BrokerageName.InteractiveBrokersFix:
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return new InteractiveBrokersFixModel(accountType);
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case BrokerageName.TradierBrokerage:
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return new TradierBrokerageModel(accountType);
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case BrokerageName.OandaBrokerage:
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return new OandaBrokerageModel(accountType);
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case BrokerageName.FxcmBrokerage:
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return new FxcmBrokerageModel(accountType);
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case BrokerageName.Bitfinex:
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return new BitfinexBrokerageModel(accountType);
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case BrokerageName.BinanceFutures:
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return new BinanceFuturesBrokerageModel(accountType);
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case BrokerageName.BinanceCoinFutures:
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return new BinanceCoinFuturesBrokerageModel(accountType);
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case BrokerageName.Binance:
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return new BinanceBrokerageModel(accountType);
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case BrokerageName.BinanceUS:
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return new BinanceUSBrokerageModel(accountType);
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case BrokerageName.GDAX:
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return new GDAXBrokerageModel(accountType);
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case BrokerageName.Coinbase:
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return new CoinbaseBrokerageModel(accountType);
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case BrokerageName.AlphaStreams:
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return new AlphaStreamsBrokerageModel(accountType);
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case BrokerageName.Zerodha:
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return new ZerodhaBrokerageModel(accountType);
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case BrokerageName.Axos:
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return new AxosClearingBrokerageModel(accountType);
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case BrokerageName.TradingTechnologies:
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return new TradingTechnologiesBrokerageModel(accountType);
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case BrokerageName.Samco:
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return new SamcoBrokerageModel(accountType);
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case BrokerageName.Kraken:
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return new KrakenBrokerageModel(accountType);
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case BrokerageName.Exante:
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return new ExanteBrokerageModel(accountType);
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case BrokerageName.FTX:
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return new FTXBrokerageModel(accountType);
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case BrokerageName.FTXUS:
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return new FTXUSBrokerageModel(accountType);
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case BrokerageName.Wolverine:
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return new WolverineBrokerageModel(accountType);
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case BrokerageName.TDAmeritrade:
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return new TDAmeritradeBrokerageModel(accountType);
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case BrokerageName.RBI:
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return new RBIBrokerageModel(accountType);
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case BrokerageName.Bybit:
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return new BybitBrokerageModel(accountType);
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case BrokerageName.Eze:
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return new EzeBrokerageModel(accountType);
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case BrokerageName.TradeStation:
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return new TradeStationBrokerageModel(accountType);
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case BrokerageName.CharlesSchwab:
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return new CharlesSchwabBrokerageModel(accountType);
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case BrokerageName.Tastytrade:
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return new TastytradeBrokerageModel(accountType);
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case BrokerageName.DYDX:
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return new dYdXBrokerageModel(accountType);
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case BrokerageName.Webull:
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return new WebullBrokerageModel(accountType);
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case BrokerageName.Public:
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return new PublicBrokerageModel(accountType);
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default:
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throw new ArgumentOutOfRangeException(nameof(brokerage), brokerage, null);
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}
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}
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/// <summary>
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/// Gets the corresponding <see cref="BrokerageName"/> for the specified <see cref="IBrokerageModel"/>
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/// </summary>
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/// <param name="brokerageModel">The brokerage model</param>
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/// <returns>The <see cref="BrokerageName"/> for the specified brokerage model</returns>
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public static BrokerageName GetBrokerageName(IBrokerageModel brokerageModel)
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{
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var model = brokerageModel;
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if (brokerageModel is BrokerageModelPythonWrapper)
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{
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model = (brokerageModel as BrokerageModelPythonWrapper).GetModel();
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}
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// Case order matters to ensure we get the correct brokerage name from the inheritance chain
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switch (model)
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{
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case AlpacaBrokerageModel:
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return BrokerageName.Alpaca;
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case InteractiveBrokersBrokerageModel _:
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return BrokerageName.InteractiveBrokersBrokerage;
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case TradierBrokerageModel _:
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return BrokerageName.TradierBrokerage;
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case OandaBrokerageModel _:
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return BrokerageName.OandaBrokerage;
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case FxcmBrokerageModel _:
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return BrokerageName.FxcmBrokerage;
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case BitfinexBrokerageModel _:
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return BrokerageName.Bitfinex;
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case BinanceUSBrokerageModel _:
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return BrokerageName.BinanceUS;
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case BinanceBrokerageModel _:
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return BrokerageName.Binance;
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case GDAXBrokerageModel _:
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return BrokerageName.GDAX;
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case CoinbaseBrokerageModel _:
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return BrokerageName.Coinbase;
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case AlphaStreamsBrokerageModel _:
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return BrokerageName.AlphaStreams;
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case ZerodhaBrokerageModel _:
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return BrokerageName.Zerodha;
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case AxosClearingBrokerageModel _:
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return BrokerageName.Axos;
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case TradingTechnologiesBrokerageModel _:
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return BrokerageName.TradingTechnologies;
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case SamcoBrokerageModel _:
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return BrokerageName.Samco;
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case KrakenBrokerageModel _:
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return BrokerageName.Kraken;
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case ExanteBrokerageModel _:
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return BrokerageName.Exante;
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case FTXUSBrokerageModel _:
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return BrokerageName.FTXUS;
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case FTXBrokerageModel _:
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return BrokerageName.FTX;
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case WolverineBrokerageModel _:
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return BrokerageName.Wolverine;
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case TDAmeritradeBrokerageModel _:
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return BrokerageName.TDAmeritrade;
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case RBIBrokerageModel _:
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return BrokerageName.RBI;
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case BybitBrokerageModel _:
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return BrokerageName.Bybit;
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case EzeBrokerageModel _:
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return BrokerageName.Eze;
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case TradeStationBrokerageModel _:
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return BrokerageName.TradeStation;
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case CharlesSchwabBrokerageModel:
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return BrokerageName.CharlesSchwab;
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case TastytradeBrokerageModel:
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return BrokerageName.Tastytrade;
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case WebullBrokerageModel:
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return BrokerageName.Webull;
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case PublicBrokerageModel:
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return BrokerageName.Public;
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case DefaultBrokerageModel _:
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return BrokerageName.Default;
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default:
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throw new ArgumentOutOfRangeException(nameof(brokerageModel), brokerageModel, null);
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}
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}
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}
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}
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