wehub-resource-sync
121 lines
4.5 KiB
C#
121 lines
4.5 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.Util;
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using QuantConnect.Securities;
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namespace QuantConnect.Orders.Fees
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{
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/// <summary>
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/// Provides an implementation of <see cref="FeeModel"/> that models Binance order fees
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/// </summary>
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public class BinanceFeeModel : FeeModel
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{
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/// <summary>
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/// Tier 1 maker fees
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/// https://www.binance.com/en/fee/schedule
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/// </summary>
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public const decimal MakerTier1Fee = 0.001m;
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/// <summary>
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/// Tier 1 taker fees
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/// https://www.binance.com/en/fee/schedule
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/// </summary>
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public const decimal TakerTier1Fee = 0.001m;
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private readonly decimal _makerFee;
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private readonly decimal _takerFee;
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/// <summary>
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/// Creates Binance fee model setting fees values
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/// </summary>
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/// <param name="mFee">Maker fee value</param>
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/// <param name="tFee">Taker fee value</param>
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public BinanceFeeModel(decimal mFee = MakerTier1Fee, decimal tFee = TakerTier1Fee)
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{
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_makerFee = mFee;
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_takerFee = tFee;
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}
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/// <summary>
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/// Get the fee for this order in quote currency
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/// </summary>
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/// <param name="parameters">A <see cref="OrderFeeParameters"/> object containing the security and order</param>
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/// <returns>The cost of the order in quote currency</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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var order = parameters.Order;
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var fee = GetFee(order);
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if(security.Symbol.ID.SecurityType == SecurityType.CryptoFuture)
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{
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var positionValue = security.Holdings.GetQuantityValue(order.AbsoluteQuantity, security.Price);
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return new OrderFee(new CashAmount(positionValue.Amount * fee, positionValue.Cash.Symbol));
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}
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if (order.Direction == OrderDirection.Buy)
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{
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// fees taken in the received currency
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CurrencyPairUtil.DecomposeCurrencyPair(order.Symbol, out var baseCurrency, out _);
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return new OrderFee(new CashAmount(order.AbsoluteQuantity * fee, baseCurrency));
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}
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// get order value in quote currency
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var unitPrice = order.Direction == OrderDirection.Buy ? security.AskPrice : security.BidPrice;
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if (order.Type == OrderType.Limit)
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{
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// limit order posted to the order book
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unitPrice = ((LimitOrder)order).LimitPrice;
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}
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unitPrice *= security.SymbolProperties.ContractMultiplier;
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return new OrderFee(new CashAmount(
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unitPrice * order.AbsoluteQuantity * fee,
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security.QuoteCurrency.Symbol));
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}
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/// <summary>
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/// Gets the fee factor for the given order
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/// </summary>
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/// <param name="order">The order to get the fee factor for</param>
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/// <returns>The fee factor for the given order</returns>
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protected virtual decimal GetFee(Order order)
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{
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return GetFee(order, _makerFee, _takerFee);
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}
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/// <summary>
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/// Gets the fee factor for the given order taking into account the maker and the taker fee
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/// </summary>
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protected static decimal GetFee(Order order, decimal makerFee, decimal takerFee)
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{
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// apply fee factor, currently we do not model 30-day volume, so we use the first tier
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var fee = takerFee;
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var props = order.Properties as BinanceOrderProperties;
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if (order.Type == OrderType.Limit && ((props != null && props.PostOnly) || !order.IsMarketable))
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{
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// limit order posted to the order book
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fee = makerFee;
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}
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return fee;
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}
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}
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}
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