wehub-resource-sync
114 lines
4.1 KiB
C#
114 lines
4.1 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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*/
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Securities;
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using QuantConnect.Util;
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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 Kraken order fees
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/// </summary>
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public class KrakenFeeModel : FeeModel
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{
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/// <summary>
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/// We don't use 30 day model, so using only tier1 fees.
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/// https://www.kraken.com/features/fee-schedule#kraken-pro
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/// </summary>
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public const decimal MakerTier1CryptoFee = 0.0016m;
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/// <summary>
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/// We don't use 30 day model, so using only tier1 fees.
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/// https://www.kraken.com/features/fee-schedule#kraken-pro
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/// </summary>
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public const decimal TakerTier1CryptoFee = 0.0026m;
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/// <summary>
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/// We don't use 30 day model, so using only tier1 fees.
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/// https://www.kraken.com/features/fee-schedule#stablecoin-fx-pairs
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/// </summary>
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public const decimal Tier1FxFee = 0.002m;
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/// <summary>
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/// Fiats and stablecoins list that have own fee.
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/// </summary>
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public List<string> FxStablecoinList { get; init; } = new() {"CAD", "EUR", "GBP", "JPY", "USD", "USDT", "DAI", "USDC"};
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/// <summary>
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/// Get the fee for this order.
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/// If sell - fees in base currency
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/// If buy - fees in quote currency
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/// It can be defined manually in <see cref="KrakenOrderProperties"/>
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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 fee of the order</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 isBuy = order.Direction == OrderDirection.Buy;
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var unitPrice = isBuy ? 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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var fee = TakerTier1CryptoFee;
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var props = order.Properties as KrakenOrderProperties;
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if (order.Type == OrderType.Limit &&
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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 = MakerTier1CryptoFee;
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}
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if (isBuy && props?.FeeInBase == true)
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{
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isBuy = false;
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}
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if (!isBuy && props?.FeeInQuote == true)
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{
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isBuy = true;
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}
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if (FxStablecoinList.Any(i => security.Symbol.Value.StartsWith(i)))
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{
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fee = Tier1FxFee;
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}
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string actualBaseCurrency;
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string actualQuoteCurrency;
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CurrencyPairUtil.DecomposeCurrencyPair(security.Symbol, out actualBaseCurrency, out actualQuoteCurrency);
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return new OrderFee(new CashAmount(
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isBuy ? unitPrice * order.AbsoluteQuantity * fee : 1 * order.AbsoluteQuantity * fee,
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isBuy ? actualQuoteCurrency : actualBaseCurrency));
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}
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}
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}
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