wehub-resource-sync
72 lines
2.7 KiB
C#
72 lines
2.7 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.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 FTX order fees
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/// https://help.ftx.com/hc/en-us/articles/360024479432-Fees
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/// </summary>
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public class FTXFeeModel : FeeModel
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{
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/// <summary>
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/// Tier 1 maker fees
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/// </summary>
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public virtual decimal MakerFee => 0.0002m;
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/// <summary>
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/// Tier 1 taker fees
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/// </summary>
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public virtual decimal TakerFee => 0.0007m;
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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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var props = order.Properties as FTXOrderProperties;
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//taker by default
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var fee = TakerFee;
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var unitPrice = order.Direction == OrderDirection.Buy ? security.AskPrice : security.BidPrice;
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unitPrice *= security.SymbolProperties.ContractMultiplier;
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var currency = security.QuoteCurrency.Symbol;
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//maker if limit
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if (order.Type == OrderType.Limit && (props?.PostOnly == true || !order.IsMarketable))
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{
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fee = MakerFee;
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if (order.Direction == OrderDirection.Buy)
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{
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unitPrice = 1;
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currency = ((IBaseCurrencySymbol)security).BaseCurrency.Symbol;
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}
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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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return new OrderFee(new CashAmount(
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unitPrice * order.AbsoluteQuantity * fee,
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currency));
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}
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}
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}
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