/*
* 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
{
///
/// RBI Brokerage model
///
public class RBIBrokerageModel : DefaultBrokerageModel
{
///
/// Array's RBI supports security types
///
private readonly HashSet _supportSecurityTypes = new (new [] { SecurityType.Equity });
///
/// Array's RBI supports order types
///
private readonly HashSet _supportOrderTypes = new(new [] { OrderType.Market, OrderType.Limit, OrderType.StopMarket, OrderType.StopLimit });
///
/// Constructor for RBI brokerage model
///
/// Cash or Margin
public RBIBrokerageModel(AccountType accountType = AccountType.Margin) : 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 (!_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.RBIBrokerageModel.UnsupportedOrderType(order));
return false;
}
return base.CanSubmitOrder(security, order, out message);
}
///
/// RBI supports UpdateOrder
///
/// Security
/// Order that should be updated
/// Update request
/// Outgoing message
/// True if the brokerage would allow updating the order, false otherwise
public override bool CanUpdateOrder(Security security, Order order, UpdateOrderRequest request, out BrokerageMessageEvent message)
{
message = null;
return true;
}
///
/// Provides RBI fee model
///
/// Security
/// RBI fee model
public override IFeeModel GetFeeModel(Security security)
{
return new RBIFeeModel();
}
}
}