FTXBrokerageModel.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.Benchmarks;
using QuantConnect.Orders;
using QuantConnect.Orders.Fees;
using QuantConnect.Securities;
using QuantConnect.Util;
using System.Collections.Generic;
using System.Linq;
 
namespace QuantConnect.Brokerages
{
    /// <summary>
    /// FTX Brokerage model
    /// </summary>
    public class FTXBrokerageModel : DefaultBrokerageModel
    {
        private readonly HashSet<OrderType> _supportedOrderTypes = new HashSet<OrderType>
        {
            OrderType.Market,
            OrderType.Limit,
            OrderType.StopMarket,
            OrderType.StopLimit
        };
 
        private const decimal _defaultLeverage = 3m;
 
        /// <summary>
        /// market name
        /// </summary>
        protected virtual string MarketName => Market.FTX;
 
        /// <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.FTX);
 
        /// <summary>
        /// Creates an instance of <see cref="FTXBrokerageModel"/> class
        /// </summary>
        /// <param name="accountType">Cash or Margin</param>
        public FTXBrokerageModel(AccountType accountType = AccountType.Margin) : base(accountType)
        {
        }
 
        /// <summary>
        /// Gets the brokerage's leverage for the specified security
        /// </summary>
        /// <param name="security">The security's whose leverage we seek</param>
        /// <returns>The leverage for the specified security</returns>
        public override decimal GetLeverage(Security security)
        {
            if (AccountType == AccountType.Cash)
            {
                return 1m;
            }
 
            return _defaultLeverage;
        }
 
        /// <summary>
        /// Provides FTX fee model
        /// </summary>
        /// <param name="security">The security to get a fee model for</param>
        /// <returns>The new fee model for this brokerage</returns>
        public override IFeeModel GetFeeModel(Security security)
            => new FTXFeeModel();
 
        /// <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, MarketName);
            return SecurityBenchmark.CreateInstance(securities, symbol);
        }
 
        /// <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;
 
            // validate order type
            if (!_supportedOrderTypes.Contains(order.Type))
            {
                message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
                    Messages.DefaultBrokerageModel.UnsupportedOrderType(this, order, _supportedOrderTypes));
 
                return false;
            }
 
            if (order.Type is OrderType.StopMarket or OrderType.StopLimit)
            {
                if (!security.HasData)
                {
                    message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
                        Messages.DefaultBrokerageModel.NoDataForSymbol);
 
                    return false;
                }
 
                var stopPrice = (order as StopMarketOrder)?.StopPrice;
                if (!stopPrice.HasValue)
                {
                    stopPrice = (order as StopLimitOrder)?.StopPrice;
                }
 
                switch (order.Direction)
                {
                    case OrderDirection.Sell:
                        if (stopPrice > security.BidPrice)
                        {
                            message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
                                Messages.FTXBrokerageModel.TriggerPriceTooHigh);
                        }
                        break;
 
                    case OrderDirection.Buy:
                        if (stopPrice < security.AskPrice)
                        {
                            message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
                                Messages.FTXBrokerageModel.TriggerPriceTooLow);
                        }
                        break;
                }
 
                if (message != null)
                {
                    return false;
                }
            }
 
            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);
        }
 
        /// <summary>
        /// Please note that the order's queue priority will be reset, and the order ID of the modified order will be different from that of the original order.
        /// Also note: this is implemented as cancelling and replacing your order.
        /// There's a chance that the order meant to be cancelled gets filled and its replacement still gets placed.
        /// </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 would allow updating the order, false otherwise</returns>
        public override bool CanUpdateOrder(Security security, Order order, UpdateOrderRequest request, out BrokerageMessageEvent message)
        {
            message = new BrokerageMessageEvent(BrokerageMessageType.Warning, 0, Messages.DefaultBrokerageModel.OrderUpdateNotSupported);
            return false;
        }
 
        /// <summary>
        /// Returns a readonly dictionary of FTX default markets
        /// </summary>
        protected static IReadOnlyDictionary<SecurityType, string> GetDefaultMarkets(string market)
        {
            var map = DefaultMarketMap.ToDictionary();
            map[SecurityType.Crypto] = market;
            return map.ToReadOnlyDictionary();
        }
    }
}