wehub-resource-sync
76 lines
3.1 KiB
C#
76 lines
3.1 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 System;
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using System.Collections.Generic;
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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 FXCM order fees
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/// </summary>
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public class FxcmFeeModel : FeeModel
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{
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private readonly string _currency;
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private readonly HashSet<Symbol> _groupCommissionSchedule1 = new HashSet<Symbol>
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{
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Symbol.Create("EURUSD", SecurityType.Forex, Market.FXCM),
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Symbol.Create("GBPUSD", SecurityType.Forex, Market.FXCM),
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Symbol.Create("USDJPY", SecurityType.Forex, Market.FXCM),
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Symbol.Create("USDCHF", SecurityType.Forex, Market.FXCM),
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Symbol.Create("AUDUSD", SecurityType.Forex, Market.FXCM),
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Symbol.Create("EURJPY", SecurityType.Forex, Market.FXCM),
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Symbol.Create("GBPJPY", SecurityType.Forex, Market.FXCM),
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};
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/// <summary>
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/// Creates a new instance
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/// </summary>
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/// <param name="currency">The currency of the order fee, for FXCM this is the account currency</param>
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public FxcmFeeModel(string currency = "USD")
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{
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_currency = currency;
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}
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/// <summary>
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/// Get the fee for this order in units of the account 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 units of the account currency</returns>
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public override OrderFee GetOrderFee(OrderFeeParameters parameters)
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{
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// From http://www.fxcm.com/forex/forex-pricing/ (on Oct 6th, 2015)
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// Forex: $0.04 per side per 1k lot for EURUSD, GBPUSD, USDJPY, USDCHF, AUDUSD, EURJPY, GBPJPY
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// $0.06 per side per 1k lot for other instruments
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// From https://www.fxcm.com/uk/markets/cfds/frequently-asked-questions/
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// CFD: no commissions
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decimal fee = 0;
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if (parameters.Security.Type == SecurityType.Forex)
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{
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var commissionRate = _groupCommissionSchedule1.Contains(parameters.Security.Symbol)
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? 0.04m : 0.06m;
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fee = Math.Abs(commissionRate * parameters.Order.AbsoluteQuantity / 1000);
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}
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return new OrderFee(new CashAmount(fee,
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_currency));
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}
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}
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} |