quantconnect--lean/Common/Orders/Fees/AlphaStreamsFeeModel.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 System.Collections.Generic;
using QuantConnect.Securities;

namespace QuantConnect.Orders.Fees
{
    /// <summary>
    /// Provides an implementation of <see cref="FeeModel"/> that models order fees that alpha stream clients pay/receive
    /// </summary>
    public class AlphaStreamsFeeModel : FeeModel
    {
        private readonly Dictionary<string, EquityFee> _equityFee =
            new Dictionary<string, EquityFee> {
                { Market.USA, new EquityFee("USD", feePerShare: 0.005m, minimumFee: 1, maximumFeeRate: 0.005m) }
            };

        private readonly IDictionary<SecurityType, decimal> _feeRates = new Dictionary<SecurityType, decimal>
        {
            // Commission
            {SecurityType.Forex, 0.000002m},
            // Commission plus clearing fee
            {SecurityType.Future, 0.4m + 0.1m},
            {SecurityType.FutureOption, 0.4m + 0.1m},
            {SecurityType.Option, 0.4m + 0.1m},
            {SecurityType.IndexOption, 0.4m + 0.1m},
            {SecurityType.Cfd, 0m}
        };
        private const decimal _makerFee = 0.001m;
        private const decimal _takerFee = 0.002m;

        /// <summary>
        /// Gets the order fee associated with the specified order. This returns the cost
        /// of the transaction in the account currency
        /// </summary>
        /// <param name="parameters">A <see cref="OrderFeeParameters"/> object
        /// containing the security and order</param>
        /// <returns>The cost of the order in units of the account currency</returns>
        public override OrderFee GetOrderFee(OrderFeeParameters parameters)
        {
            var order = parameters.Order;
            var security = parameters.Security;

            // Option exercise is free of charge
            if (order.Type == OrderType.OptionExercise)
            {
                return OrderFee.Zero;
            }

            var market = security.Symbol.ID.Market;
            decimal feeRate;

            switch (security.Type)
            {
                case SecurityType.Option:
                case SecurityType.Future:
                case SecurityType.FutureOption:
                case SecurityType.Cfd:
                    _feeRates.TryGetValue(security.Type, out feeRate);
                    return new OrderFee(new CashAmount(feeRate * order.AbsoluteQuantity, Currencies.USD));

                case SecurityType.Forex:
                    _feeRates.TryGetValue(security.Type, out feeRate);
                    return new OrderFee(new CashAmount(feeRate * Math.Abs(order.GetValue(security)), Currencies.USD));

                case SecurityType.Crypto:
                    decimal fee = _takerFee;
                    var props = order.Properties as BitfinexOrderProperties;

                    if (order.Type == OrderType.Limit &&
                        props?.Hidden != true &&
                        (props?.PostOnly == true || !order.IsMarketable))
                    {
                        // limit order posted to the order book
                        fee = _makerFee;
                    }

                    // get order value in quote currency
                    var unitPrice = order.Direction == OrderDirection.Buy ? security.AskPrice : security.BidPrice;
                    if (order.Type == OrderType.Limit)
                    {
                        // limit order posted to the order book
                        unitPrice = ((LimitOrder)order).LimitPrice;
                    }

                    unitPrice *= security.SymbolProperties.ContractMultiplier;

                    // apply fee factor, currently we do not model 30-day volume, so we use the first tier
                    return new OrderFee(new CashAmount(
                        unitPrice * order.AbsoluteQuantity * fee,
                        security.QuoteCurrency.Symbol));

                // Use the IB fee model
                case SecurityType.Equity:
                    EquityFee equityFee;
                    if (!_equityFee.TryGetValue(market, out equityFee))
                    {
                        throw new KeyNotFoundException(Messages.AlphaStreamsFeeModel.UnexpectedEquityMarket(market));
                    }
                    var tradeValue = Math.Abs(order.GetValue(security));

                    //Per share fees
                    var tradeFee = equityFee.FeePerShare * order.AbsoluteQuantity;

                    //Maximum Per Order: equityFee.MaximumFeeRate
                    //Minimum per order. $equityFee.MinimumFee
                    var maximumPerOrder = equityFee.MaximumFeeRate * tradeValue;
                    if (tradeFee < equityFee.MinimumFee)
                    {
                        tradeFee = equityFee.MinimumFee;
                    }
                    else if (tradeFee > maximumPerOrder)
                    {
                        tradeFee = maximumPerOrder;
                    }

                    return new OrderFee(new CashAmount(Math.Abs(tradeFee), equityFee.Currency));

                default:
                    // unsupported security type
                    throw new ArgumentException(Messages.FeeModel.UnsupportedSecurityType(security));
            }
        }

        /// <summary>
        /// Helper class to handle Equity fees
        /// </summary>
        private class EquityFee
        {
            public string Currency { get; }
            public decimal FeePerShare { get; }
            public decimal MinimumFee { get; }
            public decimal MaximumFeeRate { get; }

            public EquityFee(string currency,
                decimal feePerShare,
                decimal minimumFee,
                decimal maximumFeeRate)
            {
                Currency = currency;
                FeePerShare = feePerShare;
                MinimumFee = minimumFee;
                MaximumFeeRate = maximumFeeRate;
            }
        }
    }
}