wehub-resource-sync
98 lines
4.1 KiB
C#
98 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 QuantConnect.Brokerages;
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using QuantConnect.Securities;
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using System;
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namespace QuantConnect.Orders.Fees
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{
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/// <summary>
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/// Represents a fee model specific to Tastytrade.
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/// </summary>
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/// <see href="https://tastytrade.com/pricing/"/>
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public class TastytradeFeeModel : FeeModel
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{
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/// <summary>
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/// Represents the fee associated with equity options transactions (per contract).
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/// </summary>
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private const decimal _optionFeeOpen = 1m;
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/// <summary>
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/// The fee associated with futures transactions (per contract).
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/// </summary>
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private const decimal _futureFee = 1.25m;
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/// <summary>
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/// The fee associated with futures options transactions (per contract).
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/// </summary>
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private const decimal _futureOptionFeeOpen = 2.5m;
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/// <summary>
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/// Gets the order fee for a given security and order.
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/// </summary>
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/// <param name="parameters">The parameters including the security and order details.</param>
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/// <returns>
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/// A <see cref="OrderFee"/> instance representing the total fee for the order,
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/// or <see cref="OrderFee.Zero"/> if no fee is applicable.
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/// </returns>
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public override OrderFee GetOrderFee(OrderFeeParameters parameters)
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{
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var feeRate = default(decimal);
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switch (parameters.Security.Type)
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{
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case SecurityType.Option:
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case SecurityType.IndexOption:
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feeRate = IsOpenPosition(parameters.Order.Direction, parameters.Security.Holdings.Quantity) ? _optionFeeOpen : 0m;
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break;
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case SecurityType.Future:
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feeRate = _futureFee;
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break;
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case SecurityType.FutureOption:
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feeRate = IsOpenPosition(parameters.Order.Direction, parameters.Security.Holdings.Quantity) ? _futureOptionFeeOpen : 0m;
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break;
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default:
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break;
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}
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return new OrderFee(new CashAmount(parameters.Order.AbsoluteQuantity * feeRate, Currencies.USD));
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}
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/// <summary>
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/// Determines whether the specified order represents the opening of a new position.
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/// </summary>
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/// <param name="orderDirection">The direction of the order (buy/sell).</param>
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/// <param name="holdingsQuantity">The current holdings quantity for the security.</param>
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/// <returns>
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/// <c>true</c> if the order is intended to open a new position; otherwise, <c>false</c>.
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/// </returns>
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/// <exception cref="NotSupportedException">
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/// Thrown when the resolved <see cref="OrderPosition"/> is not recognized.
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/// </exception>
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private static bool IsOpenPosition(OrderDirection orderDirection, decimal holdingsQuantity)
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{
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var orderPosition = BrokerageExtensions.GetOrderPosition(orderDirection, holdingsQuantity);
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return orderPosition switch
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{
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OrderPosition.BuyToClose or OrderPosition.SellToClose => false,
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OrderPosition.BuyToOpen or OrderPosition.SellToOpen => true,
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_ => throw new NotSupportedException($"{nameof(TastytradeFeeModel)}.{nameof(IsOpenPosition)}: Unsupported order position: {orderPosition}")
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};
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}
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}
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}
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