/*
* 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;
}
}
}