/*
* 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();
}
}
}