FTXFeeModel.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.Securities;
 
namespace QuantConnect.Orders.Fees
{
    /// <summary>
    /// Provides an implementation of <see cref="FeeModel"/> that models FTX order fees
    /// https://help.ftx.com/hc/en-us/articles/360024479432-Fees
    /// </summary>
    public class FTXFeeModel : FeeModel
    {
        /// <summary>
        /// Tier 1 maker fees
        /// </summary>
        public virtual decimal MakerFee => 0.0002m;
        
        /// <summary>
        /// Tier 1 taker fees
        /// </summary>
        public virtual decimal TakerFee => 0.0007m;
 
        /// <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 order = parameters.Order;
            var security = parameters.Security;
            var props = order.Properties as FTXOrderProperties;
 
            //taker by default
            var fee = TakerFee;
            var unitPrice = order.Direction == OrderDirection.Buy ? security.AskPrice : security.BidPrice;
            unitPrice *= security.SymbolProperties.ContractMultiplier;
            var currency = security.QuoteCurrency.Symbol;
 
            //maker if limit
            if (order.Type == OrderType.Limit && (props?.PostOnly == true || !order.IsMarketable))
            {
                fee =  MakerFee;
                if (order.Direction == OrderDirection.Buy)
                {
                    unitPrice = 1;
                    currency = ((IBaseCurrencySymbol)security).BaseCurrency.Symbol;
                }
            }
 
            // apply fee factor, currently we do not model 30-day volume, so we use the first tier
            return new OrderFee(new CashAmount(
                unitPrice * order.AbsoluteQuantity * fee,
                currency));
        }
    }
}