/* * 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(); } }