/* * 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; using System.Collections.Generic; using System.Linq; using QuantConnect.Orders; using QuantConnect.Orders.Fees; using QuantConnect.Orders.TimeInForces; using QuantConnect.Securities; using QuantConnect.Util; namespace QuantConnect.Brokerages { /// /// Brokerage Model implementation for Zerodha /// public class ZerodhaBrokerageModel : DefaultBrokerageModel { private readonly Type[] _supportedTimeInForces = { typeof(GoodTilCanceledTimeInForce), typeof(DayTimeInForce), typeof(GoodTilDateTimeInForce) }; private readonly HashSet _supportedOrderTypes = new HashSet { OrderType.Limit, OrderType.Market, OrderType.StopMarket, OrderType.StopLimit }; private const decimal _maxLeverage = 5m; /// /// Initializes a new instance of the class /// /// The type of account to be modelled, defaults to /// public ZerodhaBrokerageModel(AccountType accountType = AccountType.Margin) : base(accountType) { } /// /// Returns true if the brokerage would be able to execute this order at this time assuming /// market prices are sufficient for the fill to take place. This is used to emulate the /// brokerage fills in backtesting and paper trading. For example some brokerages may not perform /// executions during extended market hours. This is not intended to be checking whether or not /// the exchange is open, that is handled in the Security.Exchange property. /// /// /// The order to test for execution /// True if the brokerage would be able to perform the execution, false otherwise public override bool CanExecuteOrder(Security security, Order order) { // validate security type if (security.Type != SecurityType.Equity) { return false; } // validate time in force if (!_supportedTimeInForces.Contains(order.TimeInForce.GetType())) { return false; } return true; } /// /// 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 being ordered /// 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) { message = null; // validate security type if (security.Type != SecurityType.Equity) { message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported", Messages.DefaultBrokerageModel.UnsupportedSecurityType(this, security)); return false; } // validate order type if (!_supportedOrderTypes.Contains(order.Type)) { message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported", Messages.DefaultBrokerageModel.UnsupportedOrderType(this, order, _supportedOrderTypes)); return false; } // validate time in force if (!_supportedTimeInForces.Contains(order.TimeInForce.GetType())) { message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported", Messages.DefaultBrokerageModel.UnsupportedTimeInForce(this, order)); return false; } return true; } /// /// Returns true if the brokerage would allow updating the order as specified by the request /// /// 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 would allow updating the order, false otherwise public override bool CanUpdateOrder(Security security, Order order, UpdateOrderRequest request, out BrokerageMessageEvent message) { message = null; return true; } /// /// Gets a map of the default markets to be used for each security type /// public override IReadOnlyDictionary DefaultMarkets { get; } = GetDefaultMarkets(); /// /// Zerodha global leverage rule /// /// /// public override decimal GetLeverage(Security security) { if (AccountType == AccountType.Cash || security.IsInternalFeed() || security.Type == SecurityType.Base) { return 1m; } if (security.Type == SecurityType.Equity || security.Type == SecurityType.Future || security.Type == SecurityType.Option || security.Type == SecurityType.Index) { return _maxLeverage; } throw new ArgumentException(Messages.DefaultBrokerageModel.InvalidSecurityTypeForLeverage(security), nameof(security)); } /// /// Provides Zerodha fee model /// /// /// public override IFeeModel GetFeeModel(Security security) { return new ZerodhaFeeModel(); } private static IReadOnlyDictionary GetDefaultMarkets() { var map = DefaultMarketMap.ToDictionary(); map[SecurityType.Equity] = Market.India; return map.ToReadOnlyDictionary(); } } }