BybitBrokerageModel.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.Securities.CryptoFuture;
using QuantConnect.Util;
 
namespace QuantConnect.Brokerages;
 
/// <summary>
/// Provides Bybit specific properties
/// </summary>
public class BybitBrokerageModel : DefaultBrokerageModel
{
    /// <summary>
    /// Market name
    /// </summary>
    protected virtual string MarketName => Market.Bybit;
 
    /// <summary>
    /// Gets a map of the default markets to be used for each security type
    /// </summary>
    public override IReadOnlyDictionary<SecurityType, string> DefaultMarkets { get; } = GetDefaultMarkets(Market.Bybit);
 
    /// <summary>
    /// Initializes a new instance of the <see cref="BybitBrokerageModel"/> class
    /// </summary>
    /// <param name="accountType">The type of account to be modeled, defaults to <see cref="AccountType.Cash"/></param>
    public BybitBrokerageModel(AccountType accountType = AccountType.Cash) : base(accountType)
    {
    }
 
    /// <summary>
    /// Bybit 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;
        }
 
        return 10;
    }
 
    /// <summary>
    /// Provides Bybit fee model
    /// </summary>
    /// <param name="security"></param>
    /// <returns></returns>
    public override IFeeModel GetFeeModel(Security security)
    {
        return security.Type switch
        {
            SecurityType.Crypto => new BybitFeeModel(),
            SecurityType.CryptoFuture => new BybitFuturesFeeModel(),
            SecurityType.Base => base.GetFeeModel(security),
            _ => throw new ArgumentOutOfRangeException(nameof(security), security, $"Not supported security type {security.Type}")
        };
    }
 
    /// <summary>
    /// Gets a new margin interest rate model for the security
    /// </summary>
    /// <param name="security">The security to get a margin interest rate model for</param>
    /// <returns>The margin interest rate model for this brokerage</returns>
    public override IMarginInterestRateModel GetMarginInterestRateModel(Security security)
    {
        // only applies for perpetual futures
        if (security.Type == SecurityType.CryptoFuture &&
            security.Symbol.ID.Date == SecurityIdentifier.DefaultDate)
        {
            return new BybitFutureMarginInterestRateModel();
        }
 
        return base.GetMarginInterestRateModel(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("BTCUSDC", SecurityType.Crypto, MarketName);
        return SecurityBenchmark.CreateInstance(securities, symbol);
        //todo default conversion?
    }
 
    /// <summary>
    /// Returns true if the brokerage could accept this order update. This takes into account
    /// order type, security type, and order size limits. Bybit can only update inverse, linear, and option orders
    /// </summary>
    /// <param name="security">The security of the order</param>
    /// <param name="order">The order to be updated</param>
    /// <param name="request">The requested update to be made to the order</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 brokerage could update the order, false otherwise</returns>
    public override bool CanUpdateOrder(Security security, Order order, UpdateOrderRequest request,
        out BrokerageMessageEvent message)
    {
        //can only update linear, inverse, and options
        if (security.Type != SecurityType.CryptoFuture)
        {
            message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
                Messages.DefaultBrokerageModel.OrderUpdateNotSupported);
            return false;
        }
 
        if (order.Status is not (OrderStatus.New or OrderStatus.PartiallyFilled or OrderStatus.Submitted or OrderStatus.UpdateSubmitted))
        {
            message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
                $"Order with status {order.Status} can't be modified");
            return false;
        }
 
        if (request.Quantity.HasValue && !IsOrderSizeLargeEnough(security, Math.Abs(request.Quantity.Value)))
        {
            message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
                Messages.DefaultBrokerageModel.InvalidOrderQuantity(security, request.Quantity.Value));
            return false;
        }
 
        message = null;
        return true;
    }
 
    /// <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 (security.Type != SecurityType.Crypto && security.Type != SecurityType.CryptoFuture && security.Type != SecurityType.Base)
        {
            message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
                Messages.DefaultBrokerageModel.UnsupportedSecurityType(this, security));
 
            return false;
        }
 
        message = null;
        bool quantityIsValid;
 
        switch (order)
        {
            case StopLimitOrder:
            case StopMarketOrder:
            case LimitOrder:
            case MarketOrder:
                quantityIsValid = IsOrderSizeLargeEnough(security, Math.Abs(order.Quantity));
                break;
            default:
                message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
                    Messages.DefaultBrokerageModel.UnsupportedOrderType(this, order,
                        new[] { OrderType.StopMarket, OrderType.StopLimit, OrderType.Market, OrderType.Limit }));
                return false;
        }
 
        if (!quantityIsValid)
        {
            message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
                Messages.DefaultBrokerageModel.InvalidOrderQuantity(security, order.Quantity));
 
            return false;
        }
 
        return base.CanSubmitOrder(security, order, out message);
    }
 
    /// <summary>
    /// Returns true if the order size is large enough for the given security.
    /// </summary>
    /// <param name="security">The security of the order</param>
    /// <param name="orderQuantity">The order quantity</param>
    /// <returns>True if the order size is large enough, false otherwise</returns>
    protected virtual bool IsOrderSizeLargeEnough(Security security, decimal orderQuantity)
    {
        return !security.SymbolProperties.MinimumOrderSize.HasValue ||
               orderQuantity > security.SymbolProperties.MinimumOrderSize;
    }
 
    private static IReadOnlyDictionary<SecurityType, string> GetDefaultMarkets(string marketName)
    {
        var map = DefaultMarketMap.ToDictionary();
        map[SecurityType.Crypto] = marketName;
        map[SecurityType.CryptoFuture] = marketName;
        return map.ToReadOnlyDictionary();
    }
}