wehub-resource-sync
57 lines
2.4 KiB
C#
57 lines
2.4 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*/
|
|
|
|
using QuantConnect.Securities;
|
|
|
|
namespace QuantConnect.Orders.Fees
|
|
{
|
|
/// <summary>
|
|
/// An order fee where the fee quantity has already been subtracted from the filled quantity so instead we subtracted
|
|
/// from the quote currency when applied to the portfolio
|
|
/// </summary>
|
|
/// <remarks>
|
|
/// This type of order fee is returned by some crypto brokerages (e.g. Bitfinex and Binance)
|
|
/// with buy orders with cash accounts.
|
|
/// </remarks>
|
|
public class ModifiedFillQuantityOrderFee : OrderFee
|
|
{
|
|
private readonly string _quoteCurrency;
|
|
private readonly decimal _contractMultiplier;
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the <see cref="ModifiedFillQuantityOrderFee"/> class
|
|
/// </summary>
|
|
/// <param name="orderFee">The order fee</param>
|
|
/// <param name="quoteCurrency">The associated security quote currency</param>
|
|
/// <param name="contractMultiplier">The associated security contract multiplier</param>
|
|
public ModifiedFillQuantityOrderFee(CashAmount orderFee, string quoteCurrency, decimal contractMultiplier)
|
|
: base(orderFee)
|
|
{
|
|
_quoteCurrency = quoteCurrency;
|
|
_contractMultiplier = contractMultiplier;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Applies the order fee to the given portfolio
|
|
/// </summary>
|
|
/// <param name="portfolio">The portfolio instance</param>
|
|
/// <param name="fill">The order fill event</param>
|
|
public override void ApplyToPortfolio(SecurityPortfolioManager portfolio, OrderEvent fill)
|
|
{
|
|
portfolio.CashBook[_quoteCurrency].AddAmount(-Value.Amount * fill.FillPrice * _contractMultiplier);
|
|
}
|
|
}
|
|
}
|