/* * 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(); } } }