/* * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. * Lean Algorithmic Trading Engine v2.0. Copyright 2023 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.Orders.Fees; using QuantConnect.Securities; using System; using System.Collections.Generic; namespace QuantConnect.Brokerages { /// /// Provides Eze specific properties /// public class EzeBrokerageModel : DefaultBrokerageModel { /// /// Array's Eze supports security types /// private readonly HashSet _supportSecurityTypes = new( new[] { SecurityType.Equity, SecurityType.Option, SecurityType.Future, SecurityType.FutureOption, SecurityType.Index, SecurityType.IndexOption }); /// /// Array's Eze supports order types /// private readonly HashSet _supportOrderTypes = new( new[] { OrderType.Market, OrderType.Limit, OrderType.StopMarket, OrderType.StopLimit, OrderType.MarketOnOpen, OrderType.MarketOnClose, }); /// /// Constructor for Eze brokerage model /// /// Cash or Margin public EzeBrokerageModel(AccountType accountType = AccountType.Margin) : base(accountType) { if (accountType == AccountType.Cash) { throw new NotSupportedException($"Eze brokerage can only be used with a {AccountType.Margin} account type"); } } /// /// Provides Eze fee model /// /// Security /// Eze Fee model public override IFeeModel GetFeeModel(Security security) { return new EzeFeeModel(); } /// /// 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 (!_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; } if (order.AbsoluteQuantity % 1 != 0) { message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported", $"Order Quantity must be Integer, but provided {order.AbsoluteQuantity}."); return false; } return base.CanSubmitOrder(security, order, out message); } /// /// Returns true if the brokerage could accept this order update. This takes into account /// order type, security type, and order size limits. /// /// 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 /// /// The Eze supports update: /// - quantity /// - LimitPrice /// - StopPrice /// - OrderType /// - Time In Force /// public override bool CanUpdateOrder(Security security, Order order, UpdateOrderRequest request, out BrokerageMessageEvent message) { message = null; return true; } } }