/* * 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.Linq; using System.Collections.Generic; using QuantConnect.Benchmarks; using QuantConnect.Data.Shortable; using QuantConnect.Interfaces; using QuantConnect.Orders; using QuantConnect.Orders.Fees; using QuantConnect.Orders.TimeInForces; using QuantConnect.Securities; using QuantConnect.Util; namespace QuantConnect.Brokerages { /// /// Provides the Axos clearing brokerage model specific properties /// public class AxosClearingBrokerageModel : DefaultBrokerageModel { private readonly HashSet _supportedOrderTypes = new() { OrderType.Limit, OrderType.Market, OrderType.MarketOnClose }; /// /// The default markets for Trading Technologies /// public new static readonly IReadOnlyDictionary DefaultMarketMap = new Dictionary { {SecurityType.Equity, Market.USA} }.ToReadOnlyDictionary(); /// /// Creates a new instance /// public AxosClearingBrokerageModel(AccountType accountType = AccountType.Margin) : base(accountType) { } /// /// Gets a map of the default markets to be used for each security type /// public override IReadOnlyDictionary DefaultMarkets => DefaultMarketMap; /// /// Provides Axos fee model /// /// The security to get a fee model for /// The new fee model for this brokerage public override IFeeModel GetFeeModel(Security security) { return new AxosFeeModel(); } /// /// Gets the shortable provider /// /// Shortable provider public override IShortableProvider GetShortableProvider(Security security) { if(security.Type == SecurityType.Equity) { return new LocalDiskShortableProvider("axos"); } return base.GetShortableProvider(security); } /// /// Get the benchmark for this model /// /// SecurityService to create the security with if needed /// The benchmark for this brokerage public override IBenchmark GetBenchmark(SecurityManager securities) { // Equivalent to no benchmark return new FuncBenchmark(x => 0); } /// /// Returns true if the brokerage could accept this order. /// /// The security being ordered /// The order to be processed /// If this function returns false, a brokerage message detailing why the order may not be submitted /// True if the brokerage could process the order, false otherwise public override bool CanSubmitOrder(Security security, Order order, out BrokerageMessageEvent message) { message = null; // validate security type if (!DefaultMarketMap.ContainsKey(security.Type)) { message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported", Messages.DefaultBrokerageModel.UnsupportedSecurityType(this, security)); return false; } // validate order type if (!_supportedOrderTypes.Contains(order.Type)) { message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported", Messages.DefaultBrokerageModel.UnsupportedOrderType(this, order, _supportedOrderTypes)); return false; } // validate orders quantity if (order.AbsoluteQuantity % 1 != 0) { message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported", Messages.AxosBrokerageModel.NonIntegerOrderQuantity(order)); return false; } return true; } /// /// Returns true if the brokerage would allow updating the order as specified by the request /// /// The security of the order /// The order to be updated /// The requested update to be made to the order /// If this function returns false, a brokerage message detailing why the order may not be updated /// True if the brokerage would allow updating the order, false otherwise public override bool CanUpdateOrder(Security security, Order order, UpdateOrderRequest request, out BrokerageMessageEvent message) { message = null; return true; } } }