/* * 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.Brokerages; using QuantConnect.Securities; using System; namespace QuantConnect.Orders.Fees { /// /// Represents a fee model specific to Tastytrade. /// /// public class TastytradeFeeModel : FeeModel { /// /// Represents the fee associated with equity options transactions (per contract). /// private const decimal _optionFeeOpen = 1m; /// /// The fee associated with futures transactions (per contract). /// private const decimal _futureFee = 1.25m; /// /// The fee associated with futures options transactions (per contract). /// private const decimal _futureOptionFeeOpen = 2.5m; /// /// Gets the order fee for a given security and order. /// /// The parameters including the security and order details. /// /// A instance representing the total fee for the order, /// or if no fee is applicable. /// public override OrderFee GetOrderFee(OrderFeeParameters parameters) { var feeRate = default(decimal); switch (parameters.Security.Type) { case SecurityType.Option: case SecurityType.IndexOption: feeRate = IsOpenPosition(parameters.Order.Direction, parameters.Security.Holdings.Quantity) ? _optionFeeOpen : 0m; break; case SecurityType.Future: feeRate = _futureFee; break; case SecurityType.FutureOption: feeRate = IsOpenPosition(parameters.Order.Direction, parameters.Security.Holdings.Quantity) ? _futureOptionFeeOpen : 0m; break; default: break; } return new OrderFee(new CashAmount(parameters.Order.AbsoluteQuantity * feeRate, Currencies.USD)); } /// /// Determines whether the specified order represents the opening of a new position. /// /// The direction of the order (buy/sell). /// The current holdings quantity for the security. /// /// true if the order is intended to open a new position; otherwise, false. /// /// /// Thrown when the resolved is not recognized. /// private static bool IsOpenPosition(OrderDirection orderDirection, decimal holdingsQuantity) { var orderPosition = BrokerageExtensions.GetOrderPosition(orderDirection, holdingsQuantity); return orderPosition switch { OrderPosition.BuyToClose or OrderPosition.SellToClose => false, OrderPosition.BuyToOpen or OrderPosition.SellToOpen => true, _ => throw new NotSupportedException($"{nameof(TastytradeFeeModel)}.{nameof(IsOpenPosition)}: Unsupported order position: {orderPosition}") }; } } }