quantconnect--lean/Tests/Common/Orders/Fees/CoinbaseFeeModelTests.cs

/*
 * 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 System;
using NUnit.Framework;
using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Orders;
using QuantConnect.Orders.Fees;
using QuantConnect.Securities;
using QuantConnect.Securities.Crypto;

namespace QuantConnect.Tests.Common.Orders.Fees
{
    [TestFixture]
    class CoinbaseFeeModelTests
    {
        private Crypto _btcusd;
        private Crypto _btceur;
        private Crypto _daiusdc;
        private readonly IFeeModel _feeModel = new CoinbaseFeeModel();

        [SetUp]
        public void Initialize()
        {
            var tz = TimeZones.NewYork;
            _btcusd = new Crypto(
                SecurityExchangeHours.AlwaysOpen(tz),
                new Cash(Currencies.USD, 0, 1),
                new Cash("BTC", 0, 0),
                new SubscriptionDataConfig(typeof(TradeBar), Symbols.BTCUSD, Resolution.Minute, tz, tz, true, false, false),
                new SymbolProperties("BTCUSD", Currencies.USD, 1, 0.01m, 0.00000001m, string.Empty),
                ErrorCurrencyConverter.Instance,
                RegisteredSecurityDataTypesProvider.Null
            );
            _btcusd.SetMarketPrice(new Tick(DateTime.UtcNow, _btcusd.Symbol, 100, 100));

            _btceur = new Crypto(
                SecurityExchangeHours.AlwaysOpen(tz),
                new Cash("EUR", 0, 10),
                new Cash("BTC", 0, 0),
                new SubscriptionDataConfig(typeof(TradeBar), Symbols.BTCEUR, Resolution.Minute, tz, tz, true, false, false),
                new SymbolProperties("BTCEUR", "EUR", 1, 0.01m, 0.00000001m, string.Empty),
                ErrorCurrencyConverter.Instance,
                RegisteredSecurityDataTypesProvider.Null
            );
            _btceur.SetMarketPrice(new Tick(DateTime.UtcNow, _btceur.Symbol, 100, 100));

            _daiusdc = new Crypto(
                SecurityExchangeHours.AlwaysOpen(tz),
                new Cash("USDC", 0, 10),
                new Cash("DAI", 0, 0),
                new SubscriptionDataConfig(typeof(TradeBar), Symbol.Create("DAIUSDC", SecurityType.Crypto, Market.Coinbase), Resolution.Minute, tz, tz, true, false, false),
                new SymbolProperties("DAIUSDC", "USDC", 1, 0.01m, 0.00000001m, string.Empty),
                ErrorCurrencyConverter.Instance,
                RegisteredSecurityDataTypesProvider.Null
            );
            _daiusdc.SetMarketPrice(new Tick(DateTime.UtcNow, _daiusdc.Symbol, 100, 100));
        }

        [Test]
        public void ReturnsFeeInQuoteCurrencyInAccountCurrency()
        {
            var time = new DateTime(2019, 2, 1);
            var fee = _feeModel.GetOrderFee(
                new OrderFeeParameters(
                    _btcusd,
                    new MarketOrder(_btcusd.Symbol, 1, time)
                )
            );

            Assert.AreEqual(Currencies.USD, fee.Value.Currency);
            // 100 (price) * 0.003 (taker fee)
            Assert.AreEqual(0.3m, fee.Value.Amount);
        }

        [Test]
        public void ReturnsFeeInQuoteCurrencyInOtherCurrency()
        {
            var time = new DateTime(2019, 2, 1);
            var fee = _feeModel.GetOrderFee(
                new OrderFeeParameters(
                    _btceur,
                    new MarketOrder(_btceur.Symbol, 1, time)
                )
            );

            Assert.AreEqual("EUR", fee.Value.Currency);
            // 100 (price) * 0.003 (taker fee)
            Assert.AreEqual(0.3m, fee.Value.Amount);
        }

        [TestCase(2019, 2, 1, 0.1)]
        [TestCase(2023, 1, 3, 0.001)]
        public void ReturnsExpectedFeeWithStableCoins(int year, int month, int day, decimal expectedStableFee)
        {
            var time = new DateTime(year, month, day);
            var stablePairFee = _feeModel.GetOrderFee(
                new OrderFeeParameters(
                    _daiusdc,
                    new MarketOrder(_daiusdc.Symbol, 1, time)
                )
            );

            var normalPairFee = _feeModel.GetOrderFee(
                new OrderFeeParameters(
                    _btcusd,
                    new MarketOrder(_btcusd.Symbol, 1, time)
                )
            );

            // 100 (price) * 0.001m or 0.00001m (taker stable fee)
            Assert.AreEqual(expectedStableFee, stablePairFee.Value.Amount);
            Assert.AreNotEqual(normalPairFee.Value.Amount, stablePairFee.Value.Amount);
        }

        [TestCase(2019, 2, 1, 0, 0, 0, 0.3)]
        [TestCase(2019, 3, 23, 1, 29, 59, 0.3)]
        [TestCase(2019, 3, 23, 1, 30, 0, 0.25)]
        [TestCase(2019, 4, 1, 0, 0, 0, 0.25)]
        [TestCase(2024, 1, 2, 0, 0, 0, 0.8)]
        public void FeeChangesOverTime(int year, int month, int day, int hour, int minute, int second, decimal expectedFee)
        {
            var time = new DateTime(year, month, day, hour, minute, second);
            var fee = _feeModel.GetOrderFee(
                new OrderFeeParameters(
                    _btcusd,
                    new MarketOrder(_btcusd.Symbol, 1, time)
                )
            );

            Assert.AreEqual(Currencies.USD, fee.Value.Currency);
            // 100 (price) * fee (taker fee)
            Assert.AreEqual(expectedFee, fee.Value.Amount);
        }

        [TestCase(0.0035, 0.0055, false, 0.55)]
        [TestCase(0.0035, 0.0055, true, 0.35)]
        [TestCase(0.0025, 0.004, true, 0.25)]
        public void CustomCoinbaseFeeModelPlusCoinbaseOrderProperty(decimal customMakerFee, decimal customTakerFee, bool postOnly, decimal expectedFee)
        {
            decimal orderAmount = -1m;
            IFeeModel customFeeModel = new CoinbaseFeeModel(customMakerFee, customTakerFee);

            var dateTime = new DateTime(2024, 1, 2, 0, 0, 0);
            var orderProperty = new CoinbaseOrderProperties() { PostOnly = postOnly };

            var fee = customFeeModel.GetOrderFee(new OrderFeeParameters(_btcusd, new LimitOrder(_btcusd.Symbol, orderAmount, 99, dateTime, "fee", orderProperty)
            {
                OrderSubmissionData = new OrderSubmissionData(_btcusd.BidPrice, _btcusd.AskPrice, _btcusd.Price)
            }));

            Assert.AreEqual(Currencies.USD, fee.Value.Currency);
            // (order.Direction == Buy ? AskPrice : BidPrice) * orderAmount * (maker)fee || (taker)fee
            Assert.AreEqual(expectedFee, fee.Value.Amount);
        }
    }
}