wehub-resource-sync
85 lines
3.6 KiB
C#
85 lines
3.6 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 Bitfinex order fees
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/// </summary>
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public class BitfinexFeeModel : FeeModel
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{
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/// <summary>
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/// Tier 1 maker fees
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/// Maker fees are paid when you add liquidity to our order book by placing a limit order under the ticker price for buy and above the ticker price for sell.
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/// https://www.bitfinex.com/fees
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/// </summary>
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public const decimal MakerFee = 0.001m;
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/// <summary>
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/// Tier 1 taker fees
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/// Taker fees are paid when you remove liquidity from our order book by placing any order that is executed against an order of the order book.
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/// Note: If you place a hidden order, you will always pay the taker fee. If you place a limit order that hits a hidden order, you will always pay the maker fee.
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/// https://www.bitfinex.com/fees
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/// </summary>
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public const decimal TakerFee = 0.002m;
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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
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/// 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 order = parameters.Order;
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var security = parameters.Security;
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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 BitfinexOrderProperties;
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if (order.Type == OrderType.Limit &&
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props?.Hidden != true &&
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(props?.PostOnly == true || !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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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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}
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}
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