wehub-resource-sync
227 lines
8.6 KiB
C#
227 lines
8.6 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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/// Represents a fee model specific to Webull.
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/// </summary>
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/// <see href="https://www.webull.com/pricing"/>
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/// <remarks>
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/// Equity and standard options trades are commission-free on Webull.
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/// Index options carry a flat $0.50 Webull contract fee plus a variable exchange proprietary fee
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/// that depends on the underlying index symbol and the option's market price.
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/// </remarks>
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public class WebullFeeModel : FeeModel
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{
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/// <summary>
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/// Webull contract fee applied to every index option contract, regardless of underlying.
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/// </summary>
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private const decimal _webullIndexOptionContractFee = 0.50m;
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/// <summary>
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/// Exchange proprietary fee for SPX options priced below $1.00.
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/// </summary>
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private const decimal _spxExchangeFeeBelow1 = 0.57m;
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/// <summary>
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/// Exchange proprietary fee for SPX options priced at or above $1.00.
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/// </summary>
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private const decimal _spxExchangeFeeAbove1 = 0.66m;
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/// <summary>
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/// Exchange proprietary fee for SPXW options priced below $1.00.
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/// </summary>
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private const decimal _spxwExchangeFeeBelow1 = 0.50m;
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/// <summary>
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/// Exchange proprietary fee for SPXW options priced at or above $1.00.
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/// </summary>
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private const decimal _spxwExchangeFeeAbove1 = 0.59m;
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/// <summary>
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/// VIX/VIXW exchange fee tier 1: option price at or below $0.10.
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/// </summary>
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private const decimal _vixExchangeFeeTier1 = 0.10m;
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/// <summary>
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/// VIX/VIXW exchange fee tier 2: option price between $0.11 and $0.99.
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/// </summary>
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private const decimal _vixExchangeFeeTier2 = 0.25m;
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/// <summary>
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/// VIX/VIXW exchange fee tier 3: option price between $1.00 and $1.99.
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/// </summary>
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private const decimal _vixExchangeFeeTier3 = 0.40m;
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/// <summary>
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/// VIX/VIXW exchange fee tier 4: option price at or above $2.00.
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/// </summary>
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private const decimal _vixExchangeFeeTier4 = 0.45m;
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/// <summary>
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/// XSP exchange fee for orders with fewer than 10 contracts.
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/// </summary>
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private const decimal _xspExchangeFeeSmall = 0.00m;
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/// <summary>
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/// XSP exchange fee for orders with 10 or more contracts.
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/// </summary>
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private const decimal _xspExchangeFeeLarge = 0.07m;
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/// <summary>
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/// DJX flat exchange proprietary fee per contract.
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/// </summary>
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private const decimal _djxExchangeFee = 0.18m;
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/// <summary>
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/// NDX/NDXP exchange fee for single-leg orders with premium below $25.
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/// </summary>
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private const decimal _ndxSingleLegFeeBelow25 = 0.50m;
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/// <summary>
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/// NDX/NDXP exchange fee for single-leg orders with premium at or above $25.
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/// </summary>
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private const decimal _ndxSingleLegFeeAbove25 = 0.75m;
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/// <summary>
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/// NDX/NDXP exchange fee for multi-leg orders with premium below $25.
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/// </summary>
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private const decimal _ndxMultiLegFeeBelow25 = 0.65m;
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/// <summary>
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/// NDX/NDXP exchange fee for multi-leg orders with premium at or above $25.
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/// </summary>
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private const decimal _ndxMultiLegFeeAbove25 = 0.90m;
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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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/// <see cref="OrderFee.Zero"/> for equity and standard options;
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/// a per-contract fee for index options.
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/// </returns>
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public override OrderFee GetOrderFee(OrderFeeParameters parameters)
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{
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switch (parameters.Security.Type)
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{
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case SecurityType.IndexOption:
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return new OrderFee(new CashAmount(GetIndexOptionFee(parameters), Currencies.USD));
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default:
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// Equity and Option are commission-free on Webull.
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return OrderFee.Zero;
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}
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}
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/// <summary>
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/// Calculates the total per-contract fee for an index option order.
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/// The total fee = (exchange proprietary fee + Webull contract fee) × quantity.
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/// </summary>
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/// <param name="parameters">Order fee parameters containing the security and order.</param>
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/// <returns>Total fee amount in USD.</returns>
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private static decimal GetIndexOptionFee(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 quantity = order.AbsoluteQuantity;
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var price = security.Price;
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var underlying = security.Symbol.Underlying?.Value?.ToUpperInvariant() ?? string.Empty;
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var isMultiLeg = order.Type == OrderType.ComboMarket
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|| order.Type == OrderType.ComboLimit
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|| order.Type == OrderType.ComboLegLimit;
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var exchangeFee = GetIndexOptionExchangeFee(underlying, price, quantity, isMultiLeg);
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return quantity * (exchangeFee + _webullIndexOptionContractFee);
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}
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/// <summary>
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/// Returns the exchange proprietary fee per contract for an index option, based on
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/// the underlying ticker, the option's current price, order quantity, and leg type.
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/// </summary>
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/// <param name="underlying">Uppercase underlying ticker (e.g. "SPX", "VIX").</param>
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/// <param name="price">Current market price of the option.</param>
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/// <param name="quantity">Absolute number of contracts in the order.</param>
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/// <param name="isMultiLeg">True when the order is a combo/multi-leg order.</param>
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/// <returns>Exchange fee per contract in USD.</returns>
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private static decimal GetIndexOptionExchangeFee(string underlying, decimal price, decimal quantity, bool isMultiLeg)
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{
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switch (underlying)
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{
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case "SPX":
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return price < 1m ? _spxExchangeFeeBelow1 : _spxExchangeFeeAbove1;
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case "SPXW":
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return price < 1m ? _spxwExchangeFeeBelow1 : _spxwExchangeFeeAbove1;
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case "VIX":
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case "VIXW":
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return GetVixExchangeFee(price);
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case "XSP":
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return quantity < 10m ? _xspExchangeFeeSmall : _xspExchangeFeeLarge;
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case "DJX":
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return _djxExchangeFee;
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case "NDX":
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case "NDXP":
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return GetNdxExchangeFee(price, isMultiLeg);
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default:
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return 0m;
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}
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}
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/// <summary>
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/// Returns the VIX/VIXW exchange fee for a simple order based on the option price tier.
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/// </summary>
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private static decimal GetVixExchangeFee(decimal price)
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{
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if (price <= 0.10m)
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{
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return _vixExchangeFeeTier1;
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}
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if (price <= 0.99m)
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{
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return _vixExchangeFeeTier2;
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}
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if (price <= 1.99m)
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{
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return _vixExchangeFeeTier3;
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}
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return _vixExchangeFeeTier4;
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}
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/// <summary>
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/// Returns the NDX/NDXP exchange fee per contract based on premium tier and order leg type.
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/// </summary>
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private static decimal GetNdxExchangeFee(decimal price, bool isMultiLeg)
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{
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if (isMultiLeg)
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{
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return price < 25m ? _ndxMultiLegFeeBelow25 : _ndxMultiLegFeeAbove25;
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}
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return price < 25m ? _ndxSingleLegFeeBelow25 : _ndxSingleLegFeeAbove25;
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}
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}
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}
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