/*
* 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 System.Linq;
using QuantConnect.Benchmarks;
using QuantConnect.Orders;
using QuantConnect.Orders.Fees;
using QuantConnect.Securities;
using QuantConnect.Util;
namespace QuantConnect.Brokerages
{
///
/// Provides Bitfinex specific properties
///
public class BitfinexBrokerageModel : DefaultBrokerageModel
{
private const decimal _maxLeverage = 3.3m;
///
/// Represents a set of order types supported by the current brokerage model.
///
private readonly HashSet _supportedOrderTypes = new()
{
OrderType.Market,
OrderType.Limit,
OrderType.StopMarket,
OrderType.StopLimit,
};
///
/// Gets a map of the default markets to be used for each security type
///
public override IReadOnlyDictionary DefaultMarkets { get; } = GetDefaultMarkets();
///
/// Initializes a new instance of the class
///
/// The type of account to be modeled, defaults to
public BitfinexBrokerageModel(AccountType accountType = AccountType.Margin)
: base(accountType)
{
}
///
/// Bitfinex global leverage rule
///
///
///
public override decimal GetLeverage(Security security)
{
if (AccountType == AccountType.Cash || security.IsInternalFeed() || security.Type == SecurityType.Base)
{
return 1m;
}
if (security.Type == SecurityType.Crypto)
{
return _maxLeverage;
}
throw new ArgumentException(Messages.DefaultBrokerageModel.InvalidSecurityTypeForLeverage(security), nameof(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)
{
var symbol = Symbol.Create("BTCUSD", SecurityType.Crypto, Market.Bitfinex);
return SecurityBenchmark.CreateInstance(securities, symbol);
}
///
/// Provides Bitfinex fee model
///
///
///
public override IFeeModel GetFeeModel(Security security)
{
return new BitfinexFeeModel();
}
///
/// Checks whether an order can be updated or not in the Bitfinex brokerage model
///
/// The security of the order
/// The order to be updated
/// The update request
/// If this function returns false, a brokerage message detailing why the order may not be updated
/// True if the update requested quantity is valid, false otherwise
public override bool CanUpdateOrder(Security security, Order order, UpdateOrderRequest request, out BrokerageMessageEvent message)
{
// If the requested quantity is null is going to be ignored by the moment ApplyUpdateOrderRequest() method is call
if (request.Quantity == null)
{
message = null;
return true;
}
// Check if the requested quantity is valid
var requestedQuantity = (decimal)request.Quantity;
return IsValidOrderSize(security, requestedQuantity, out message);
}
///
/// Returns true if the brokerage could accept this order. This takes into account
/// order type, security type, and order size limits.
///
///
/// For example, a brokerage may have no connectivity at certain times, or an order rate/size limit
///
/// The security of the order
/// 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)
{
if (!IsValidOrderSize(security, order.Quantity, out message))
{
return false;
}
message = null;
if (security.Type != SecurityType.Crypto)
{
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
Messages.DefaultBrokerageModel.UnsupportedSecurityType(this, security));
return false;
}
if (!_supportedOrderTypes.Contains(order.Type))
{
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
Messages.DefaultBrokerageModel.UnsupportedOrderType(this, order, _supportedOrderTypes));
return false;
}
return base.CanSubmitOrder(security, order, out message);
}
private static IReadOnlyDictionary GetDefaultMarkets()
{
var map = DefaultMarketMap.ToDictionary();
map[SecurityType.Crypto] = Market.Bitfinex;
return map.ToReadOnlyDictionary();
}
}
}