wehub-resource-sync
94 lines
4.3 KiB
C#
94 lines
4.3 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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namespace QuantConnect.Securities.CryptoFuture
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{
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/// <summary>
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/// Binance-specific crypto future margin model that includes supplementary stable coin
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/// currencies as alternative collateral for non-coin (USDⓈ-M) futures.
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/// </summary>
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/// <remarks>
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/// EU/EEA users under MiCA Credits Trading Mode have BNFCR in their account.
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/// When BNFCR is present, this model aggregates all supplementary collateral assets
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/// using their walletBalance values converted to the primary collateral currency.
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/// Non-EU accounts don't have BNFCR — the check is a no-op for them.
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/// See: https://www.binance.com/en/support/faq/detail/0e857c392a2d47cebde0af762d9255ae
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/// </remarks>
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public class BinanceCryptoFutureMarginModel : CryptoFutureMarginModel
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{
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/// <summary>
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/// Binance Futures Credits currency symbol, present in EU/EEA accounts under MiCA Credits Trading Mode.
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/// </summary>
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private const string BNFCRCurrency = "BNFCR";
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/// <summary>
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/// Creates a new instance
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/// </summary>
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/// <param name="leverage">The leverage to use, default 25x</param>
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public BinanceCryptoFutureMarginModel(decimal leverage = 25)
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: base(leverage)
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{
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}
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/// <summary>
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/// Gets the total collateral amount for a Binance crypto future, including supplementary
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/// collateral assets for EU/EEA accounts in MiCA Credits Trading Mode.
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/// For coin futures (e.g. BTCUSD), only the primary collateral (base currency) is used.
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/// </summary>
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/// <param name="portfolio">The algorithm's portfolio</param>
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/// <param name="security">The crypto future security</param>
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/// <param name="primaryCollateral">The primary collateral cash (e.g. USDT)</param>
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/// <returns>Total collateral amount in terms of the primary collateral currency</returns>
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protected override decimal GetTotalCollateralAmount(
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SecurityPortfolioManager portfolio, Security security, Cash primaryCollateral)
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{
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// BNFCR presence means EU/EEA account in MiCA Credits Trading Mode.
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// Non-EU accounts don't have BNFCR in CashBook — skip entirely.
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var cashBook = portfolio.CashBook;
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if (!cashBook.ContainsKey(BNFCRCurrency))
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{
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return base.GetTotalCollateralAmount(portfolio, security, primaryCollateral);
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}
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// Aggregate all collateral assets using walletBalance values.
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// Binance controls which assets are in the account — we sum everything
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// with a non-zero balance, converting to the primary collateral currency.
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// Negative amounts (e.g. BNFCR fees) correctly reduce the total.
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var total = 0m;
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foreach (var kvp in cashBook)
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{
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var cash = kvp.Value;
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if (cash.Amount == 0)
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{
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continue;
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}
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total += cashBook.Convert(cash.Amount, cash.Symbol, primaryCollateral.Symbol);
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}
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return total;
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}
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/// <summary>
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/// When BNFCR is present (EU/MiCA mode), all USDⓈ-M futures share the same collateral
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/// pool regardless of quote currency (USDT, USDC, etc.).
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/// </summary>
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protected override bool SharesCollateral(SecurityPortfolioManager portfolio, Cash collateralCurrency, Security otherCryptoFuture)
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{
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return portfolio.CashBook.ContainsKey(BNFCRCurrency) || base.SharesCollateral(portfolio, collateralCurrency, otherCryptoFuture);
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}
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}
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}
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