/* * 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 QuantConnect.Securities; namespace QuantConnect.Orders.Fees { /// /// Provides an implementation of that models Exante order fees. /// According to: /// /// https://support.exante.eu/hc/en-us/articles/115005873143-Fees-overview-exchange-imposed-fees?source=search /// https://exante.eu/markets/ /// /// public class ExanteFeeModel : FeeModel { /// /// Market USA rate /// public const decimal MarketUsaRate = 0.02m; /// /// Default rate /// public const decimal DefaultRate = 0.02m; private readonly decimal _forexCommissionRate; /// /// Creates a new instance /// /// Commission rate for FX operations public ExanteFeeModel(decimal forexCommissionRate = 0.25m) { _forexCommissionRate = forexCommissionRate; } /// /// Gets the order fee associated with the specified order. /// /// A object /// containing the security and order /// The cost of the order in a instance public override OrderFee GetOrderFee(OrderFeeParameters parameters) { var order = parameters.Order; var security = parameters.Security; decimal feeResult; string feeCurrency; switch (security.Type) { case SecurityType.Forex: var totalOrderValue = order.GetValue(security); feeResult = Math.Abs(_forexCommissionRate * totalOrderValue); feeCurrency = Currencies.USD; break; case SecurityType.Equity: var equityFee = ComputeEquityFee(order); feeResult = equityFee.Amount; feeCurrency = equityFee.Currency; break; case SecurityType.Option: case SecurityType.IndexOption: var optionsFee = ComputeOptionFee(order); feeResult = optionsFee.Amount; feeCurrency = optionsFee.Currency; break; case SecurityType.Future: case SecurityType.FutureOption: feeResult = 1.5m; feeCurrency = Currencies.USD; break; default: throw new ArgumentException(Messages.FeeModel.UnsupportedSecurityType(security)); } return new OrderFee(new CashAmount(feeResult, feeCurrency)); } /// /// Computes fee for equity order /// /// LEAN order private static CashAmount ComputeEquityFee(Order order) { switch (order.Symbol.ID.Market) { case Market.USA: return new CashAmount(order.AbsoluteQuantity * MarketUsaRate, Currencies.USD); default: return new CashAmount(order.AbsoluteQuantity * order.Price * DefaultRate, Currencies.USD); } } /// /// Computes fee for option order /// /// LEAN order private static CashAmount ComputeOptionFee(Order order) { return order.Symbol.ID.Market switch { Market.USA => new CashAmount(order.AbsoluteQuantity * 1.5m, Currencies.USD), _ => // ToDo: clarify the value for different exchanges throw new ArgumentException(Messages.ExanteFeeModel.UnsupportedExchange(order)) }; } } }