wehub-resource-sync
116 lines
4.4 KiB
C#
116 lines
4.4 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 QuantConnect.Orders;
|
|
using QuantConnect.Orders.Fees;
|
|
using QuantConnect.Securities;
|
|
using System.Collections.Generic;
|
|
|
|
namespace QuantConnect.Brokerages
|
|
{
|
|
/// <summary>
|
|
/// Represents a brokerage model specific to Tastytrade.
|
|
/// </summary>
|
|
public class TastytradeBrokerageModel : DefaultBrokerageModel
|
|
{
|
|
/// <summary>
|
|
/// HashSet containing the security types supported by Tastytrade.
|
|
/// </summary>
|
|
private readonly HashSet<SecurityType> _supportSecurityTypes = new(
|
|
new[]
|
|
{
|
|
SecurityType.Equity,
|
|
SecurityType.Option,
|
|
SecurityType.IndexOption,
|
|
SecurityType.Future,
|
|
SecurityType.FutureOption
|
|
});
|
|
|
|
/// <summary>
|
|
/// HashSet containing the order types supported by the <see cref="CanSubmitOrder"/> operation in Tastytrade.
|
|
/// </summary>
|
|
private readonly HashSet<OrderType> _supportOrderTypes = new(
|
|
new[]
|
|
{
|
|
OrderType.Market,
|
|
OrderType.Limit,
|
|
OrderType.StopMarket,
|
|
OrderType.StopLimit,
|
|
OrderType.ComboLimit
|
|
});
|
|
|
|
/// <summary>
|
|
/// The set of <see cref="OrderType"/> values that cannot be used for cross-zero execution.
|
|
/// </summary>
|
|
private static readonly IReadOnlySet<OrderType> NotSupportedCrossZeroOrderTypes = new HashSet<OrderType>()
|
|
{
|
|
OrderType.ComboLimit
|
|
};
|
|
|
|
/// <summary>
|
|
/// Constructor for Tastytrade brokerage model
|
|
/// </summary>
|
|
/// <param name="accountType">Cash or Margin</param>
|
|
public TastytradeBrokerageModel(AccountType accountType = AccountType.Margin)
|
|
: base(accountType)
|
|
{
|
|
}
|
|
|
|
/// <summary>
|
|
/// Provides Tastytrade fee model
|
|
/// </summary>
|
|
/// <param name="security">Security</param>
|
|
/// <returns>TradeStation fee model</returns>
|
|
public override IFeeModel GetFeeModel(Security security)
|
|
{
|
|
return new TastytradeFeeModel();
|
|
}
|
|
|
|
/// <summary>
|
|
/// Returns true if the brokerage could accept this order. This takes into account order type, security type.
|
|
/// </summary>
|
|
/// <param name="security">The security of the order</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 = default;
|
|
|
|
if (!_supportSecurityTypes.Contains(security.Type))
|
|
{
|
|
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
|
|
Messages.DefaultBrokerageModel.UnsupportedSecurityType(this, security));
|
|
|
|
return false;
|
|
}
|
|
|
|
if (!_supportOrderTypes.Contains(order.Type))
|
|
{
|
|
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported", Messages.DefaultBrokerageModel.UnsupportedOrderType(this, order, _supportOrderTypes));
|
|
return false;
|
|
}
|
|
|
|
if (!BrokerageExtensions.ValidateCrossZeroOrder(this, security, order, out message, NotSupportedCrossZeroOrderTypes))
|
|
{
|
|
return false;
|
|
}
|
|
|
|
return base.CanSubmitOrder(security, order, out message);
|
|
}
|
|
}
|
|
}
|