BinanceFeeModel.cs

/*
* 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.Util;
using QuantConnect.Securities;
 
namespace QuantConnect.Orders.Fees
{
    /// <summary>
    /// Provides an implementation of <see cref="FeeModel"/> that models Binance order fees
    /// </summary>
    public class BinanceFeeModel : FeeModel
    {
        /// <summary>
        /// Tier 1 maker fees
        /// https://www.binance.com/en/fee/schedule
        /// </summary>
        public const decimal MakerTier1Fee = 0.001m;
 
        /// <summary>
        /// Tier 1 taker fees
        /// https://www.binance.com/en/fee/schedule
        /// </summary>
        public const decimal TakerTier1Fee = 0.001m;
 
        private readonly decimal _makerFee;
        private readonly decimal _takerFee;
 
        /// <summary>
        /// Creates Binance fee model setting fees values
        /// </summary>
        /// <param name="mFee">Maker fee value</param>
        /// <param name="tFee">Taker fee value</param>
        public BinanceFeeModel(decimal mFee = MakerTier1Fee, decimal tFee = TakerTier1Fee)
        {
            _makerFee = mFee;
            _takerFee = tFee;
        }
 
        /// <summary>
        /// Get the fee for this order in quote currency
        /// </summary>
        /// <param name="parameters">A <see cref="OrderFeeParameters"/> object containing the security and order</param>
        /// <returns>The cost of the order in quote currency</returns>
        public override OrderFee GetOrderFee(OrderFeeParameters parameters)
        {
            var security = parameters.Security;
            var order = parameters.Order;
 
            var fee = GetFee(order);
 
            if(security.Symbol.ID.SecurityType == SecurityType.CryptoFuture)
            {
                var positionValue = security.Holdings.GetQuantityValue(order.AbsoluteQuantity, security.Price);
                return new OrderFee(new CashAmount(positionValue.Amount * fee, positionValue.Cash.Symbol));
            }
 
            if (order.Direction == OrderDirection.Buy)
            {
                // fees taken in the received currency
                CurrencyPairUtil.DecomposeCurrencyPair(order.Symbol, out var baseCurrency, out _);
                return new OrderFee(new CashAmount(order.AbsoluteQuantity * fee, baseCurrency));
            }
 
            // get order value in quote currency
            var unitPrice = order.Direction == OrderDirection.Buy ? security.AskPrice : security.BidPrice;
            if (order.Type == OrderType.Limit)
            {
                // limit order posted to the order book
                unitPrice = ((LimitOrder)order).LimitPrice;
            }
 
            unitPrice *= security.SymbolProperties.ContractMultiplier;
 
            return new OrderFee(new CashAmount(
                unitPrice * order.AbsoluteQuantity * fee,
                security.QuoteCurrency.Symbol));
        }
 
        /// <summary>
        /// Gets the fee factor for the given order
        /// </summary>
        /// <param name="order">The order to get the fee factor for</param>
        /// <returns>The fee factor for the given order</returns>
        protected virtual decimal GetFee(Order order)
        {
            return GetFee(order, _makerFee, _takerFee);
        }
 
        /// <summary>
        /// Gets the fee factor for the given order taking into account the maker and the taker fee
        /// </summary>
        protected static decimal GetFee(Order order, decimal makerFee, decimal takerFee)
        {
            // apply fee factor, currently we do not model 30-day volume, so we use the first tier
            var fee = takerFee;
            var props = order.Properties as BinanceOrderProperties;
 
            if (order.Type == OrderType.Limit && ((props != null && props.PostOnly) || !order.IsMarketable))
            {
                // limit order posted to the order book
                fee = makerFee;
            }
 
            return fee;
        }
    }
}