BitfinexBrokerageModel.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 System;
using System.Collections.Generic;
using System.Linq;
using QuantConnect.Benchmarks;
using QuantConnect.Orders;
using QuantConnect.Orders.Fees;
using QuantConnect.Securities;
using QuantConnect.Util;
 
namespace QuantConnect.Brokerages
{
    /// <summary>
    /// Provides Bitfinex specific properties
    /// </summary>
    public class BitfinexBrokerageModel : DefaultBrokerageModel
    {
        private const decimal _maxLeverage = 3.3m;
 
        /// <summary>
        /// Gets a map of the default markets to be used for each security type
        /// </summary>
        public override IReadOnlyDictionary<SecurityType, string> DefaultMarkets { get; } = GetDefaultMarkets();
 
        /// <summary>
        /// Initializes a new instance of the <see cref="BitfinexBrokerageModel"/> class
        /// </summary>
        /// <param name="accountType">The type of account to be modeled, defaults to <see cref="AccountType.Margin"/></param>
        public BitfinexBrokerageModel(AccountType accountType = AccountType.Margin)
            : base(accountType)
        {
        }
 
        /// <summary>
        /// Bitfinex global leverage rule
        /// </summary>
        /// <param name="security"></param>
        /// <returns></returns>
        public override decimal GetLeverage(Security security)
        {
            if (AccountType == AccountType.Cash || security.IsInternalFeed() || security.Type == SecurityType.Base)
            {
                return 1m;
            }
 
            if (security.Type == SecurityType.Crypto)
            {
                return _maxLeverage;
            }
 
            throw new ArgumentException(Messages.DefaultBrokerageModel.InvalidSecurityTypeForLeverage(security), nameof(security));
        }
 
        /// <summary>
        /// Get the benchmark for this model
        /// </summary>
        /// <param name="securities">SecurityService to create the security with if needed</param>
        /// <returns>The benchmark for this brokerage</returns>
        public override IBenchmark GetBenchmark(SecurityManager securities)
        {
            var symbol = Symbol.Create("BTCUSD", SecurityType.Crypto, Market.Bitfinex);
            return SecurityBenchmark.CreateInstance(securities, symbol);
        }
 
        /// <summary>
        /// Provides Bitfinex fee model
        /// </summary>
        /// <param name="security"></param>
        /// <returns></returns>
        public override IFeeModel GetFeeModel(Security security)
        {
            return new BitfinexFeeModel();
        }
 
        /// <summary>
        /// Checks whether an order can be updated or not in the Bitfinex brokerage model
        /// </summary>
        /// <param name="security">The security of the order</param>
        /// <param name="order">The order to be updated</param>
        /// <param name="request">The update request</param>
        /// <param name="message">If this function returns false, a brokerage message detailing why the order may not be updated</param>
        /// <returns>True if the update requested quantity is valid, false otherwise</returns>
        public override bool CanUpdateOrder(Security security, Order order, UpdateOrderRequest request, out BrokerageMessageEvent message)
        {
            // If the requested quantity is null is going to be ignored by the moment ApplyUpdateOrderRequest() method is call
            if (request.Quantity == null)
            {
                message = null;
                return true;
            }
 
            // Check if the requested quantity is valid
            var requestedQuantity = (decimal) request.Quantity;
            return IsValidOrderSize(security, requestedQuantity, out message);
        }
 
        /// <summary>
        /// Returns true if the brokerage could accept this order. This takes into account
        /// order type, security type, and order size limits.
        /// </summary>
        /// <remarks>
        /// For example, a brokerage may have no connectivity at certain times, or an order rate/size limit
        /// </remarks>
        /// <param name="security">The security of the order</param>
        /// <param name="order">The order to be processed</param>
        /// <param name="message">If this function returns false, a brokerage message detailing why the order may not be submitted</param>
        /// <returns>True if the brokerage could process the order, false otherwise</returns>
        public override bool CanSubmitOrder(Security security, Order order, out BrokerageMessageEvent message)
        {
            if (!IsValidOrderSize(security, order.Quantity, out message))
            {
                return false;
            }
 
            message = null;
            if (security.Type != SecurityType.Crypto)
            {
                message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
                    Messages.DefaultBrokerageModel.UnsupportedSecurityType(this, security));
 
                return false;
            }
            return base.CanSubmitOrder(security, order, out message);
        }
 
        private static IReadOnlyDictionary<SecurityType, string> GetDefaultMarkets()
        {
            var map = DefaultMarketMap.ToDictionary();
            map[SecurityType.Crypto] = Market.Bitfinex;
            return map.ToReadOnlyDictionary();
        }
    }
}