wehub-resource-sync
273 lines
11 KiB
C#
273 lines
11 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 NUnit.Framework;
|
|
using QuantConnect.Brokerages;
|
|
using QuantConnect.Data;
|
|
using QuantConnect.Data.Market;
|
|
using QuantConnect.Orders;
|
|
using QuantConnect.Orders.Fees;
|
|
using QuantConnect.Securities;
|
|
using System;
|
|
using QuantConnect.Tests.Brokerages;
|
|
using QuantConnect.Securities.Crypto;
|
|
|
|
namespace QuantConnect.Tests.Common.Orders.Fees
|
|
{
|
|
[TestFixture]
|
|
public class BybitFeeModelTests
|
|
{
|
|
protected IFeeModel FeeModel => new BybitFeeModel();
|
|
|
|
|
|
[Test]
|
|
public static void GetFeeModelTest()
|
|
{
|
|
var model = new BybitBrokerageModel();
|
|
Assert.IsInstanceOf<BybitFeeModel>(model.GetFeeModel(Security));
|
|
}
|
|
|
|
[Test]
|
|
[TestCaseSource(nameof(MakerOrders))]
|
|
public void ReturnShortOrderMakerFees(OrderTestParameters parameters)
|
|
{
|
|
var feeModel = FeeModel;
|
|
|
|
var order = parameters.CreateShortOrder(Quantity);
|
|
var price = order.Type == OrderType.Limit ? ((LimitOrder)order).LimitPrice : LowPrice;
|
|
var fee = feeModel.GetOrderFee(new OrderFeeParameters(Security, order));
|
|
|
|
Assert.AreEqual(
|
|
BybitFeeModel.MakerNonVIPFee * price * Math.Abs(Quantity),
|
|
fee.Value.Amount);
|
|
Assert.AreEqual("USDT", fee.Value.Currency);
|
|
}
|
|
|
|
[Test]
|
|
[TestCaseSource(nameof(TakerOrders))]
|
|
public void ReturnShortOrderTakerFees(OrderTestParameters parameters)
|
|
{
|
|
IFeeModel feeModel = FeeModel;
|
|
|
|
var order = parameters.CreateShortOrder(Quantity);
|
|
var price = order.Type == OrderType.Limit ? ((LimitOrder)order).LimitPrice : LowPrice;
|
|
var fee = feeModel.GetOrderFee(new OrderFeeParameters(Security, order));
|
|
|
|
Assert.AreEqual(
|
|
BybitFeeModel.TakerNonVIPFee * price * Math.Abs(Quantity),
|
|
fee.Value.Amount);
|
|
Assert.AreEqual("USDT", fee.Value.Currency);
|
|
}
|
|
|
|
[Test]
|
|
[TestCaseSource(nameof(MakerOrders))]
|
|
public void ReturnLongOrderMakerFees(OrderTestParameters parameters)
|
|
{
|
|
IFeeModel feeModel = FeeModel;
|
|
|
|
var order = parameters.CreateLongOrder(Quantity);
|
|
var fee = feeModel.GetOrderFee(new OrderFeeParameters(Security, order));
|
|
|
|
Assert.AreEqual(
|
|
BybitFeeModel.MakerNonVIPFee * Math.Abs(Quantity),
|
|
fee.Value.Amount);
|
|
Assert.AreEqual("ETH", fee.Value.Currency);
|
|
}
|
|
|
|
[Test]
|
|
[TestCaseSource(nameof(TakerOrders))]
|
|
public void ReturnLongOrderTakerFees(OrderTestParameters parameters)
|
|
{
|
|
IFeeModel feeModel = FeeModel;
|
|
|
|
var order = parameters.CreateLongOrder(Quantity);
|
|
var fee = feeModel.GetOrderFee(new OrderFeeParameters(Security, order));
|
|
|
|
Assert.AreEqual(
|
|
BybitFeeModel.TakerNonVIPFee * Math.Abs(Quantity),
|
|
fee.Value.Amount);
|
|
Assert.AreEqual("ETH", fee.Value.Currency);
|
|
}
|
|
|
|
[Test]
|
|
[TestCaseSource(nameof(CustomMakerOrders))]
|
|
public void ReturnShortOrderCustomMakerFees(decimal mFee, decimal tFee, OrderTestParameters parameters)
|
|
{
|
|
IFeeModel feeModel = new BybitFeeModel(mFee, tFee);
|
|
|
|
var order = parameters.CreateShortOrder(Quantity);
|
|
var price = order.Type == OrderType.Limit ? ((LimitOrder)order).LimitPrice : LowPrice;
|
|
var fee = feeModel.GetOrderFee(new OrderFeeParameters(Security, order));
|
|
|
|
Assert.AreEqual(
|
|
mFee * price * Math.Abs(Quantity),
|
|
fee.Value.Amount);
|
|
Assert.AreEqual("USDT", fee.Value.Currency);
|
|
}
|
|
|
|
[Test]
|
|
[TestCaseSource(nameof(CustomTakerOrders))]
|
|
public void ReturnShortOrderCustomTakerFees(decimal mFee, decimal tFee, OrderTestParameters parameters)
|
|
{
|
|
IFeeModel feeModel = new BybitFeeModel(mFee, tFee);
|
|
|
|
var order = parameters.CreateShortOrder(Quantity);
|
|
var price = order.Type == OrderType.Limit ? ((LimitOrder)order).LimitPrice : LowPrice;
|
|
var fee = feeModel.GetOrderFee(new OrderFeeParameters(Security, order));
|
|
|
|
Assert.AreEqual(
|
|
tFee * price * Math.Abs(Quantity),
|
|
fee.Value.Amount);
|
|
Assert.AreEqual("USDT", fee.Value.Currency);
|
|
}
|
|
|
|
[Test]
|
|
[TestCaseSource(nameof(CustomMakerOrders))]
|
|
public void ReturnLongOrderCustomMakerFees(decimal mFee, decimal tFee, OrderTestParameters parameters)
|
|
{
|
|
IFeeModel feeModel = new BybitFeeModel(mFee, tFee);
|
|
|
|
var order = parameters.CreateLongOrder(Quantity);
|
|
var fee = feeModel.GetOrderFee(new OrderFeeParameters(Security, order));
|
|
|
|
Assert.AreEqual(
|
|
mFee * Math.Abs(Quantity),
|
|
fee.Value.Amount);
|
|
Assert.AreEqual("ETH", fee.Value.Currency);
|
|
}
|
|
|
|
[Test]
|
|
[TestCaseSource(nameof(CustomTakerOrders))]
|
|
public void ReturnLongOrderCustomTakerFees(decimal mFee, decimal tFee, OrderTestParameters parameters)
|
|
{
|
|
IFeeModel feeModel = new BybitFeeModel(mFee, tFee);
|
|
|
|
var order = parameters.CreateLongOrder(Quantity);
|
|
var fee = feeModel.GetOrderFee(new OrderFeeParameters(Security, order));
|
|
|
|
Assert.AreEqual(
|
|
tFee * Math.Abs(Quantity),
|
|
fee.Value.Amount);
|
|
Assert.AreEqual("ETH", fee.Value.Currency);
|
|
}
|
|
|
|
[Test]
|
|
public void ReturnsSameFeesForStableCoinsWithoutPairs()
|
|
{
|
|
IFeeModel feeModel = FeeModel;
|
|
|
|
var tz = TimeZones.NewYork;
|
|
|
|
// Use a StableCoin without pair in Binance
|
|
Security usdcusd = new Crypto(
|
|
SecurityExchangeHours.AlwaysOpen(tz),
|
|
new Cash("USD", 0, 10),
|
|
new Cash("USDC", 0, 0),
|
|
new SubscriptionDataConfig(typeof(TradeBar), Symbol.Create("USDCUSD", SecurityType.Crypto, Market.Binance), Resolution.Minute, tz, tz, true, false, false),
|
|
new SymbolProperties("USDCUSD", "USD", 1, 0.01m, 0.00000001m, string.Empty),
|
|
ErrorCurrencyConverter.Instance,
|
|
RegisteredSecurityDataTypesProvider.Null
|
|
);
|
|
usdcusd.SetMarketPrice(new Tick(DateTime.UtcNow, usdcusd.Symbol, 100, 100));
|
|
|
|
var time = new DateTime(2019, 2, 1);
|
|
var stableCoinFee = feeModel.GetOrderFee(
|
|
new OrderFeeParameters(
|
|
usdcusd,
|
|
new MarketOrder(usdcusd.Symbol, 1, time)
|
|
)
|
|
);
|
|
|
|
var normalPairFee = feeModel.GetOrderFee(
|
|
new OrderFeeParameters(
|
|
Security,
|
|
new MarketOrder(Security.Symbol, 1, time)
|
|
)
|
|
);
|
|
|
|
Assert.AreEqual(normalPairFee.Value.Amount, stableCoinFee.Value.Amount);
|
|
}
|
|
|
|
private static Symbol Symbol => Symbol.Create("ETHUSDT", SecurityType.Crypto, Market.Bybit);
|
|
|
|
private static Security Security
|
|
{
|
|
get
|
|
{
|
|
var security = new Security(
|
|
SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
|
|
new SubscriptionDataConfig(
|
|
typeof(TradeBar),
|
|
Symbol,
|
|
Resolution.Minute,
|
|
TimeZones.Utc,
|
|
TimeZones.Utc,
|
|
false,
|
|
false,
|
|
false
|
|
),
|
|
new Cash("USDT", 0, 1m),
|
|
SymbolProperties.GetDefault("USDT"),
|
|
ErrorCurrencyConverter.Instance,
|
|
RegisteredSecurityDataTypesProvider.Null,
|
|
new SecurityCache()
|
|
);
|
|
security.SetMarketPrice(new Tick(DateTime.UtcNow, Symbol, LowPrice, HighPrice));
|
|
|
|
return security;
|
|
}
|
|
}
|
|
|
|
private static OrderSubmissionData OrderSubmissionData => new(Security.BidPrice, Security.AskPrice, (Security.BidPrice + Security.AskPrice) / 2);
|
|
|
|
private static decimal HighPrice => 1000m;
|
|
private static decimal LowPrice => 100m;
|
|
|
|
private static decimal Quantity => 1m;
|
|
|
|
private static TestCaseData[] MakerOrders => new[]
|
|
{
|
|
new TestCaseData(new LimitOrderTestParameters(Symbol, HighPrice, LowPrice)),
|
|
new TestCaseData(new LimitOrderTestParameters(Symbol, HighPrice, LowPrice, null, OrderSubmissionData)),
|
|
new TestCaseData(new LimitOrderTestParameters(Symbol, HighPrice, LowPrice, new BybitOrderProperties())),
|
|
new TestCaseData(new LimitOrderTestParameters(Symbol, LowPrice, HighPrice, new BybitOrderProperties() { PostOnly = true }, OrderSubmissionData)),
|
|
new TestCaseData(new LimitOrderTestParameters(Symbol, HighPrice, LowPrice, new BybitOrderProperties() { PostOnly = true }))
|
|
};
|
|
|
|
private static TestCaseData[] TakerOrders => new[]
|
|
{
|
|
new TestCaseData(new MarketOrderTestParameters(Symbol)),
|
|
new TestCaseData(new MarketOrderTestParameters(Symbol, new BybitOrderProperties() { PostOnly = true })),
|
|
new TestCaseData(new LimitOrderTestParameters(Symbol, LowPrice, HighPrice, null, OrderSubmissionData))
|
|
};
|
|
|
|
private static TestCaseData[] CustomMakerOrders => new[]
|
|
{
|
|
new TestCaseData(0.001m, 0.001m, new LimitOrderTestParameters(Symbol, HighPrice, LowPrice)),
|
|
new TestCaseData(0.0009m, 0.001m, new LimitOrderTestParameters(Symbol, HighPrice, LowPrice, null, OrderSubmissionData)),
|
|
new TestCaseData(0.0008m, 0.001m, new LimitOrderTestParameters(Symbol, HighPrice, LowPrice, new BybitOrderProperties())),
|
|
new TestCaseData(0.0007m, 0.0009m, new LimitOrderTestParameters(Symbol, LowPrice, HighPrice, new BybitOrderProperties() { PostOnly = true }, OrderSubmissionData)),
|
|
new TestCaseData(0.0006m, 0.0008m, new LimitOrderTestParameters(Symbol, HighPrice, LowPrice, new BybitOrderProperties() { PostOnly = true }))
|
|
};
|
|
|
|
private static TestCaseData[] CustomTakerOrders => new[]
|
|
{
|
|
new TestCaseData(0.0007m, 0.0009m, new MarketOrderTestParameters(Symbol)),
|
|
new TestCaseData(0.0006m, 0.0008m, new MarketOrderTestParameters(Symbol, new BybitOrderProperties { PostOnly = true })),
|
|
new TestCaseData(0.0005m, 0.0006m, new LimitOrderTestParameters(Symbol, LowPrice, HighPrice, null, OrderSubmissionData))
|
|
};
|
|
}
|
|
}
|