wehub-resource-sync
76 lines
3.4 KiB
C#
76 lines
3.4 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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/// Crypto Future holdings implementation of the base securities class
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/// </summary>
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/// <seealso cref="SecurityHolding"/>
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public class CryptoFutureHolding : SecurityHolding
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{
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/// <summary>
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/// Crypto Future Holding Class constructor
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/// </summary>
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/// <param name="security">The crypto future security being held</param>
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/// <param name="currencyConverter">A currency converter instance</param>
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public CryptoFutureHolding(Security security, ICurrencyConverter currencyConverter)
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: base(security, currencyConverter)
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{
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}
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/// <summary>
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/// Gets the total value of the specified <paramref name="quantity"/> of shares of this security
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/// in the account currency
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/// </summary>
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/// <param name="quantity">The quantity of shares</param>
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/// <param name="price">The current price</param>
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/// <returns>The value of the quantity of shares in the account currency</returns>
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public override ConvertibleCashAmount GetQuantityValue(decimal quantity, decimal price)
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{
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if (Symbol.ID.Market == Market.DYDX)
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{
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// common math quantity * quote price
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return base.GetQuantityValue(quantity, price);
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}
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var cryptoFuture = (CryptoFuture)Security;
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Cash cash;
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decimal notionalPositionValue;
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// We could check quote currency or the contract multiplier being 1
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if (!cryptoFuture.IsCryptoCoinFuture())
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{
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// https://www.binance.com/en/support/faq/how-to-calculate-cost-required-to-open-a-position-in-perpetual-futures-contracts-87fa7ee33b574f7084d42bd2ce2e463b
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// example BTCUSDT: (9,253.30 * 1 BTC) = 9,253.3 USDT
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notionalPositionValue = price * quantity * cryptoFuture.SymbolProperties.ContractMultiplier;
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// USDT is the QUOTE currency we will need to convert it into account currency
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cash = cryptoFuture.QuoteCurrency;
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}
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else
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{
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// https://www.binance.com/en/support/faq/leverage-and-margin-in-coin-margined-futures-contracts-be2c7d9d95b04a7e8044ed02dd7dfe5c
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// example BTCUSD: [ (10*100 USD) / 9,800 USD ] = 0.10204 BTC
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notionalPositionValue = quantity * cryptoFuture.SymbolProperties.ContractMultiplier / price;
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// BTC is the BASE currency we will need to convert it into account currency
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cash = cryptoFuture.BaseCurrency;
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}
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return new ConvertibleCashAmount(notionalPositionValue, cash);
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}
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}
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}
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