/*
* 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 QuantConnect.Orders;
using QuantConnect.Securities;
using QuantConnect.Orders.Fees;
using System.Collections.Generic;
namespace QuantConnect.Brokerages
{
///
/// Represents a brokerage model specific to Charles Schwab.
///
public class CharlesSchwabBrokerageModel : DefaultBrokerageModel
{
///
/// HashSet containing the security types supported by TradeStation.
///
private readonly HashSet _supportSecurityTypes = new(
new[]
{
SecurityType.Equity,
SecurityType.Option,
SecurityType.IndexOption
});
///
/// HashSet containing the order types supported by the operation in TradeStation.
///
private readonly HashSet _supportOrderTypes = new(
new[]
{
OrderType.Market,
OrderType.Limit,
OrderType.StopMarket,
OrderType.ComboMarket,
OrderType.ComboLimit,
OrderType.MarketOnClose,
OrderType.MarketOnOpen
});
///
/// Constructor for Charles Schwab brokerage model
///
/// Cash or Margin
public CharlesSchwabBrokerageModel(AccountType accountType = AccountType.Margin)
: base(accountType)
{
}
///
/// Provides TradeStation fee model
///
/// Security
/// TradeStation fee model
public override IFeeModel GetFeeModel(Security security)
{
return new CharlesSchwabFeeModel();
}
///
/// 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)
{
message = default;
if (!_supportSecurityTypes.Contains(security.Type))
{
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
Messages.DefaultBrokerageModel.UnsupportedSecurityType(this, security));
return false;
}
if (!_supportOrderTypes.Contains(order.Type))
{
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported", Messages.DefaultBrokerageModel.UnsupportedOrderType(this, order, _supportOrderTypes));
return false;
}
return base.CanSubmitOrder(security, order, out message);
}
}
}