wehub-resource-sync
88 lines
3.8 KiB
C#
88 lines
3.8 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 QuantConnect.Securities;
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using QuantConnect.Securities.Crypto;
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namespace QuantConnect.Orders.Fees
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{
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/// <summary>
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/// Represents the fee model specific to Alpaca trading platform.
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/// </summary>
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/// <remarks>This class inherits from <see cref="FeeModel"/> and provides the fee structure for Alpaca trades.
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/// It implements the <see cref="IFeeModel"/> interface and should be used for calculating fees on the Alpaca platform.</remarks>
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public class AlpacaFeeModel : FeeModel
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{
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/// <summary>
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/// The fee percentage for a maker transaction in cryptocurrency.
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/// </summary>
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/// <see href="https://docs.alpaca.markets/docs/crypto-fees"/>
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public const decimal MakerCryptoFee = 0.0015m;
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/// <summary>
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/// The fee percentage for a taker transaction in cryptocurrency.
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/// </summary>
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public const decimal TakerCryptoFee = 0.0025m;
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/// <summary>
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/// Gets the order fee associated with the specified order.
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/// </summary>
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/// <param name="parameters">A <see cref="OrderFeeParameters"/> object
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/// containing the security and order</param>
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/// <returns>The cost of the order in a <see cref="CashAmount"/> instance</returns>
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public override OrderFee GetOrderFee(OrderFeeParameters parameters)
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{
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var security = parameters.Security;
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if (security.Symbol.ID.SecurityType == SecurityType.Crypto)
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{
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var order = parameters.Order;
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var fee = GetFee(order, MakerCryptoFee, TakerCryptoFee);
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CashAmount cashAmount;
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Crypto.DecomposeCurrencyPair(security.Symbol, security.SymbolProperties, out var baseCurrency, out var quoteCurrency);
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if (order.Direction == OrderDirection.Buy)
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{
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// base currency, deducted from what we bought
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cashAmount = new CashAmount(order.AbsoluteQuantity * fee, baseCurrency);
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}
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else
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{
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// quote currency
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var positionValue = order.AbsoluteQuantity * security.Price;
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cashAmount = new CashAmount(positionValue * fee, quoteCurrency);
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}
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return new OrderFee(cashAmount);
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}
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return new OrderFee(new CashAmount(0, Currencies.USD));
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}
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/// <summary>
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/// Calculates the fee for a given order based on whether it is a maker or taker order.
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/// </summary>
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/// <param name="order">The order for which the fee is being calculated.</param>
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/// <param name="makerFee">The fee percentage for maker orders.</param>
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/// <param name="takerFee">The fee percentage for taker orders.</param>
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/// <returns>The calculated fee for the given order.</returns>
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private static decimal GetFee(Order order, decimal makerFee, decimal takerFee)
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{
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if (order.Type == OrderType.Limit && !order.IsMarketable)
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{
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return makerFee;
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}
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return takerFee;
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}
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}
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}
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