/* * 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.Collections.Generic; using System.Linq; using QuantConnect.Benchmarks; using QuantConnect.Orders; using QuantConnect.Orders.Fees; using QuantConnect.Securities; using QuantConnect.Util; namespace QuantConnect.Brokerages { /// /// Kraken Brokerage model /// public class KrakenBrokerageModel : DefaultBrokerageModel { private readonly List _fiatsAvailableMargin = new() {"USD", "EUR"}; private readonly List _onlyFiatsAvailableMargin = new() {"BTC", "USDT", "USDC"}; private readonly List _ethAvailableMargin = new() {"REP", "XTZ", "ADA", "EOS", "TRX", "LINK" }; private readonly HashSet _supportedOrderTypes = new() { OrderType.Limit, OrderType.Market, OrderType.StopMarket, OrderType.StopLimit, OrderType.LimitIfTouched }; /// /// Gets a map of the default markets to be used for each security type /// public override IReadOnlyDictionary DefaultMarkets { get; } = GetDefaultMarkets(); /// /// Leverage map of different coins /// public IReadOnlyDictionary CoinLeverage { get; } = new Dictionary { {"BTC", 5}, // only with fiats {"ETH", 5}, {"USDT", 2}, // only with fiats {"XMR", 2}, {"REP", 2}, // eth available {"XRP", 3}, {"BCH", 2}, {"XTZ", 2}, // eth available {"LTC", 3}, {"ADA", 3}, // eth available {"EOS", 3}, // eth available {"DASH", 3}, {"TRX", 3}, // eth available {"LINK", 3}, // eth available {"USDC", 3}, // only with fiats }; /// /// Constructor for Kraken brokerage model /// /// Cash or Margin public KrakenBrokerageModel(AccountType accountType = AccountType.Cash) : base(accountType) { } /// /// 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 (!IsValidOrderSize(security, order.Quantity, out message)) { return false; } message = null; if (security.Type != SecurityType.Crypto) { message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported", Messages.DefaultBrokerageModel.UnsupportedSecurityType(this, security)); return false; } if (!_supportedOrderTypes.Contains(order.Type)) { message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported", Messages.DefaultBrokerageModel.UnsupportedOrderType(this, order, _supportedOrderTypes)); return false; } return base.CanSubmitOrder(security, order, out message); } /// /// Kraken does not support update of orders /// /// Security /// Order that should be updated /// Update request /// Outgoing message /// Always false as Kraken does not support update of orders public override bool CanUpdateOrder(Security security, Order order, UpdateOrderRequest request, out BrokerageMessageEvent message) { message = new BrokerageMessageEvent(BrokerageMessageType.Warning, 0, Messages.DefaultBrokerageModel.OrderUpdateNotSupported); return false; } /// /// Provides Kraken fee model /// /// Security /// Kraken fee model public override IFeeModel GetFeeModel(Security security) { return new KrakenFeeModel(); } /// /// Kraken global leverage rule /// /// /// public override decimal GetLeverage(Security security) { if (AccountType == AccountType.Cash) { return 1m; } // first check whether this security support margin only with fiats. foreach (var coin in _onlyFiatsAvailableMargin.Where(coin => security.Symbol.ID.Symbol.StartsWith(coin)).Where(coin => _fiatsAvailableMargin.Any(rightFiat => security.Symbol.Value.EndsWith(rightFiat)))) { return CoinLeverage[coin]; } List extendedCoinArray = new() {"BTC", "ETH"}; extendedCoinArray.AddRange(_fiatsAvailableMargin); // Then check whether this security support margin with ETH. foreach (var coin in _ethAvailableMargin.Where(coin => security.Symbol.ID.Symbol.StartsWith(coin)).Where(coin => extendedCoinArray.Any(rightFiat => security.Symbol.Value.EndsWith(rightFiat)))) { return CoinLeverage[coin]; } extendedCoinArray.Remove("ETH"); // At the end check all others. foreach (var coin in CoinLeverage.Keys.Where(coin => security.Symbol.ID.Symbol.StartsWith(coin)).Where(coin => extendedCoinArray.Any(rightFiat => security.Symbol.Value.EndsWith(rightFiat)))) { return CoinLeverage[coin]; } return 1m; } /// /// 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("BTCUSD", SecurityType.Crypto, Market.Kraken); return SecurityBenchmark.CreateInstance(securities, symbol); } /// /// Get default markets and specify Kraken as crypto market /// /// default markets private static IReadOnlyDictionary GetDefaultMarkets() { var map = DefaultMarketMap.ToDictionary(); map[SecurityType.Crypto] = Market.Kraken; return map.ToReadOnlyDictionary(); } } }