quantconnect--lean/Tests/Common/Orders/Fees/FTXFeeTests.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 NUnit.Framework;
using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Orders;
using QuantConnect.Orders.Fees;
using QuantConnect.Securities;
using QuantConnect.Securities.Crypto;
using System;

namespace QuantConnect.Tests.Common.Orders.Fees
{
    [TestFixture]
    public class FTXFeeTests
    {
        private Crypto _xrpusdt;
        private Crypto _ethusd;
        private IFeeModel _feeModel;

        protected decimal TakerFee { get; set; }
        protected decimal MakerFee { get; set; }

        [SetUp]
        public void Initialize()
        {
            _feeModel = GetFeeModel();
            SetBrokerageFees();
            var spdb = SymbolPropertiesDatabase.FromDataFolder();
            var tz = TimeZones.Utc;
            _xrpusdt = new Crypto(
                SecurityExchangeHours.AlwaysOpen(tz),
                new Cash("USDT", 0, 1),
                new Cash("XRP", 0, 0),
                new SubscriptionDataConfig(typeof(TradeBar), Symbol.Create("XRPUSDT", SecurityType.Crypto, Market.FTX), Resolution.Minute, tz, tz, true, false, false),
                spdb.GetSymbolProperties(Market.FTX, Symbol.Create("XRPUSDT", SecurityType.Crypto, Market.FTX), SecurityType.Crypto, "USDT"),
                ErrorCurrencyConverter.Instance,
                RegisteredSecurityDataTypesProvider.Null
            );
            _xrpusdt.SetMarketPrice(new Tick(DateTime.UtcNow, _xrpusdt.Symbol, 100, 100));

            _ethusd = new Crypto(
                SecurityExchangeHours.AlwaysOpen(tz),
                new Cash(Currencies.USD, 0, 10),
                new Cash("ETH", 0, 0),
                new SubscriptionDataConfig(typeof(TradeBar), Symbol.Create("ETHUSD", SecurityType.Crypto, Market.FTX), Resolution.Minute, tz, tz, true, false, false),
                spdb.GetSymbolProperties(Market.FTX, Symbol.Create("ETHUSD", SecurityType.Crypto, Market.FTX), SecurityType.Crypto, Currencies.USD),
                ErrorCurrencyConverter.Instance,
                RegisteredSecurityDataTypesProvider.Null
            );
            _ethusd.SetMarketPrice(new Tick(DateTime.UtcNow, _ethusd.Symbol, 100, 100));
        }

        protected virtual void SetBrokerageFees()
        {
            MakerFee = 0.02m;
            TakerFee = 0.07m;
        }

        [TestCase(-1)]
        [TestCase(1)]
        public void ReturnsTakerFeeInQuoteCurrency(decimal quantity)
        {
            //{
            //    "channel": "fills",
            //    "type": "update",
            //    "data": {
            //        "id": 4199228419,
            //        "market": "XRP/USDT",
            //        "future": null,
            //        "baseCurrency": "XRP",
            //        "quoteCurrency": "USDT",
            //        "type": "order",
            //        "side": "sell",
            //        "price": 1.07225,
            //        "size": 10,
            //        "orderId": 85922585621,
            //        "time": "2021-10-07T19:25:45.411201+00:00",
            //        "tradeId": 2084391649,
            //        "feeRate": 0.0007,
            //        "fee": 0.00750575,
            //        "feeCurrency": "USDT",
            //        "liquidity": "taker"
            //    }
            //}

            //{
            //    "channel": "fills",
            //    "type": "update",
            //    "data": {
            //        "id": 4199574804,
            //        "market": "XRP/USDT",
            //        "future": null,
            //        "baseCurrency": "XRP",
            //        "quoteCurrency": "USDT",
            //        "type": "order",
            //        "side": "buy",
            //        "price": 1.075725,
            //        "size": 1,
            //        "orderId": 85928918834,
            //        "time": "2021-10-07T20:02:07.116972+00:00",
            //        "tradeId": 2084563562,
            //        "feeRate": 0.0007,
            //        "fee": 0.0007530075,
            //        "feeCurrency": "USDT",
            //        "liquidity": "taker"
            //    }
            //}

            var fee = _feeModel.GetOrderFee(
                new OrderFeeParameters(
                    _ethusd,
                    new MarketOrder(_ethusd.Symbol, quantity, DateTime.UtcNow)
                )
            );

            Assert.AreEqual(_ethusd.QuoteCurrency.Symbol, fee.Value.Currency);
            // 100 (price) * 0.0007 (taker fee, in quote currency)
            Assert.AreEqual(TakerFee, fee.Value.Amount);
        }

        [Test]
        public void ReturnsMakerFeeInQuoteCurrency()
        {
            //{
            //    "channel": "fills",
            //    "type": "update",
            //    "data": {
            //        "id": 4199162157,
            //        "market": "XRP/USDT",
            //        "future": null,
            //        "baseCurrency": "XRP",
            //        "quoteCurrency": "USDT",
            //        "type": "order",
            //        "side": "sell",
            //        "price": 1.074,
            //        "size": 1,
            //        "orderId": 85920785762,
            //        "time": "2021-10-07T19:19:27.092534+00:00",
            //        "tradeId": 2084358777,
            //        "feeRate": 0.0002,
            //        "fee": 0.0002148,
            //        "feeCurrency": "USDT",
            //        "liquidity": "maker"
            //    }
            //}

            var fee = _feeModel.GetOrderFee(
                new OrderFeeParameters(
                    _ethusd,
                    new LimitOrder(_ethusd.Symbol, -1, 100, DateTime.UtcNow)
                )
            );

            Assert.AreEqual(_ethusd.QuoteCurrency.Symbol, fee.Value.Currency);
            // 0.0002 (maker fee, in quote currency)
            Assert.AreEqual(MakerFee, fee.Value.Amount);
        }

        [Test]
        public void ReturnsMakerFeeInBaseCurrency()
        {
            //{
            //    "channel": "fills",
            //    "type": "update",
            //    "data": {
            //        "id": 4199609111,
            //        "market": "XRP/USDT",
            //        "future": null,
            //        "baseCurrency": "XRP",
            //        "quoteCurrency": "USDT",
            //        "type": "order",
            //        "side": "buy",
            //        "price": 1.077,
            //        "size": 1,
            //        "orderId": 85929414038,
            //        "time": "2021-10-07T20:05:40.241875+00:00",
            //        "tradeId": 2084580551,
            //        "feeRate": 0.0002,
            //        "fee": 0.0002,
            //        "feeCurrency": "XRP",
            //        "liquidity": "maker"
            //    }
            //}

            var fee = _feeModel.GetOrderFee(
                new OrderFeeParameters(
                    _ethusd,
                    new LimitOrder(_ethusd.Symbol, 1, 100, DateTime.UtcNow)
                )
            );

            Assert.AreEqual(_ethusd.BaseCurrency.Symbol, fee.Value.Currency);
            // 0.0002 (maker fee, in base currency)
            Assert.AreEqual(MakerFee / 100, fee.Value.Amount);
        }

        [Test]
        public void ReturnsFeeInQuoteCurrencyInNonAccountCurrency()
        {
            var fee = _feeModel.GetOrderFee(
                new OrderFeeParameters(
                    _xrpusdt,
                    new MarketOrder(_xrpusdt.Symbol, 1, DateTime.UtcNow)
                )
            );

            Assert.AreEqual("USDT", fee.Value.Currency);
            // 100 (price) * 0.0007 (taker fee)
            Assert.AreEqual(TakerFee, fee.Value.Amount);
        }

        protected virtual FTXFeeModel GetFeeModel() => new();
    }
}