/*
* 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;
}
}
}