/*
* 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();
}
}
}