/* * 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.Securities; using QuantConnect.Util; namespace QuantConnect.Orders.Fees { /// /// Provides an implementation of that models Kraken order fees /// public class KrakenFeeModel : FeeModel { /// /// We don't use 30 day model, so using only tier1 fees. /// https://www.kraken.com/features/fee-schedule#kraken-pro /// public const decimal MakerTier1CryptoFee = 0.0016m; /// /// We don't use 30 day model, so using only tier1 fees. /// https://www.kraken.com/features/fee-schedule#kraken-pro /// public const decimal TakerTier1CryptoFee = 0.0026m; /// /// We don't use 30 day model, so using only tier1 fees. /// https://www.kraken.com/features/fee-schedule#stablecoin-fx-pairs /// public const decimal Tier1FxFee = 0.002m; /// /// Fiats and stablecoins list that have own fee. /// public List FxStablecoinList { get; init; } = new() {"CAD", "EUR", "GBP", "JPY", "USD", "USDT", "DAI", "USDC"}; /// /// Get the fee for this order. /// If sell - fees in base currency /// If buy - fees in quote currency /// It can be defined manually in /// /// A object /// containing the security and order /// The fee of the order public override OrderFee GetOrderFee(OrderFeeParameters parameters) { var order = parameters.Order; var security = parameters.Security; var isBuy = order.Direction == OrderDirection.Buy; var unitPrice = isBuy ? security.AskPrice : security.BidPrice; if (order.Type == OrderType.Limit) { // limit order posted to the order book unitPrice = ((LimitOrder)order).LimitPrice; } unitPrice *= security.SymbolProperties.ContractMultiplier; var fee = TakerTier1CryptoFee; var props = order.Properties as KrakenOrderProperties; if (order.Type == OrderType.Limit && (props?.PostOnly == true || !order.IsMarketable)) { // limit order posted to the order book fee = MakerTier1CryptoFee; } if (isBuy && props?.FeeInBase == true) { isBuy = false; } if (!isBuy && props?.FeeInQuote == true) { isBuy = true; } if (FxStablecoinList.Any(i => security.Symbol.Value.StartsWith(i))) { fee = Tier1FxFee; } string actualBaseCurrency; string actualQuoteCurrency; CurrencyPairUtil.DecomposeCurrencyPair(security.Symbol, out actualBaseCurrency, out actualQuoteCurrency); return new OrderFee(new CashAmount( isBuy ? unitPrice * order.AbsoluteQuantity * fee : 1 * order.AbsoluteQuantity * fee, isBuy ? actualQuoteCurrency : actualBaseCurrency)); } } }