/*
* 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.Securities.CryptoFuture;
using QuantConnect.Util;
namespace QuantConnect.Brokerages;
///
/// Provides Bybit specific properties
///
public class BybitBrokerageModel : DefaultBrokerageModel
{
///
/// Market name
///
protected virtual string MarketName => Market.Bybit;
///
/// Gets a map of the default markets to be used for each security type
///
public override IReadOnlyDictionary DefaultMarkets { get; } = GetDefaultMarkets(Market.Bybit);
///
/// Initializes a new instance of the class
///
/// The type of account to be modeled, defaults to
public BybitBrokerageModel(AccountType accountType = AccountType.Cash) : base(accountType)
{
}
///
/// Bybit global leverage rule
///
///
///
public override decimal GetLeverage(Security security)
{
if (AccountType == AccountType.Cash || security.IsInternalFeed() || security.Type == SecurityType.Base)
{
return 1m;
}
return 10;
}
///
/// Provides Bybit fee model
///
///
///
public override IFeeModel GetFeeModel(Security security)
{
return security.Type switch
{
SecurityType.Crypto => new BybitFeeModel(),
SecurityType.CryptoFuture => new BybitFuturesFeeModel(),
SecurityType.Base => base.GetFeeModel(security),
_ => throw new ArgumentOutOfRangeException(nameof(security), security, $"Not supported security type {security.Type}")
};
}
///
/// Gets a new margin interest rate model for the security
///
/// The security to get a margin interest rate model for
/// The margin interest rate model for this brokerage
public override IMarginInterestRateModel GetMarginInterestRateModel(Security security)
{
// only applies for perpetual futures
if (security.Type == SecurityType.CryptoFuture &&
security.Symbol.ID.Date == SecurityIdentifier.DefaultDate)
{
return new BybitFutureMarginInterestRateModel();
}
return base.GetMarginInterestRateModel(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("BTCUSDC", SecurityType.Crypto, MarketName);
return SecurityBenchmark.CreateInstance(securities, symbol);
//todo default conversion?
}
///
/// Returns true if the brokerage could accept this order update. This takes into account
/// order type, security type, and order size limits. Bybit can only update inverse, linear, and option orders
///
/// 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 could update the order, false otherwise
public override bool CanUpdateOrder(Security security, Order order, UpdateOrderRequest request,
out BrokerageMessageEvent message)
{
//can only update linear, inverse, and options
if (security.Type != SecurityType.CryptoFuture)
{
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
Messages.DefaultBrokerageModel.OrderUpdateNotSupported);
return false;
}
if (order.Status is not (OrderStatus.New or OrderStatus.PartiallyFilled or OrderStatus.Submitted or OrderStatus.UpdateSubmitted))
{
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
$"Order with status {order.Status} can't be modified");
return false;
}
if (request.Quantity.HasValue && !IsOrderSizeLargeEnough(security, Math.Abs(request.Quantity.Value)))
{
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
Messages.DefaultBrokerageModel.InvalidOrderQuantity(security, request.Quantity.Value));
return false;
}
message = null;
return true;
}
///
/// 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 (security.Type != SecurityType.Crypto && security.Type != SecurityType.CryptoFuture && security.Type != SecurityType.Base)
{
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
Messages.DefaultBrokerageModel.UnsupportedSecurityType(this, security));
return false;
}
message = null;
bool quantityIsValid;
switch (order)
{
case StopLimitOrder:
case StopMarketOrder:
case LimitOrder:
case MarketOrder:
quantityIsValid = IsOrderSizeLargeEnough(security, Math.Abs(order.Quantity));
break;
default:
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
Messages.DefaultBrokerageModel.UnsupportedOrderType(this, order,
new[] { OrderType.StopMarket, OrderType.StopLimit, OrderType.Market, OrderType.Limit }));
return false;
}
if (!quantityIsValid)
{
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
Messages.DefaultBrokerageModel.InvalidOrderQuantity(security, order.Quantity));
return false;
}
return base.CanSubmitOrder(security, order, out message);
}
///
/// Returns true if the order size is large enough for the given security.
///
/// The security of the order
/// The order quantity
/// True if the order size is large enough, false otherwise
protected virtual bool IsOrderSizeLargeEnough(Security security, decimal orderQuantity)
{
return !security.SymbolProperties.MinimumOrderSize.HasValue ||
orderQuantity > security.SymbolProperties.MinimumOrderSize;
}
private static IReadOnlyDictionary GetDefaultMarkets(string marketName)
{
var map = DefaultMarketMap.ToDictionary();
map[SecurityType.Crypto] = marketName;
map[SecurityType.CryptoFuture] = marketName;
return map.ToReadOnlyDictionary();
}
}