TDAmeritradeBrokerageModel.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.Orders;
using QuantConnect.Securities;
using QuantConnect.Orders.Fees;
using System.Collections.Generic;
 
namespace QuantConnect.Brokerages
{
    /// <summary>
    /// TDAmeritrade
    /// </summary>
    public class TDAmeritradeBrokerageModel : DefaultBrokerageModel
    {
        /// <summary>
        /// Array's TD Ameritrade supports security types
        /// </summary>
        private readonly HashSet<SecurityType> _supportSecurityTypes = new (new [] { SecurityType.Equity });
 
        /// <summary>
        /// Array's TD Ameritrade supports order types
        /// </summary>
        private readonly HashSet<OrderType> _supportOrderTypes = new(new [] { OrderType.Market, OrderType.Limit, OrderType.StopMarket, OrderType.StopLimit });
 
        /// <summary>
        /// Constructor for TDAmeritrade brokerage model
        /// </summary>
        /// <param name="accountType">Cash or Margin</param>
        public TDAmeritradeBrokerageModel(AccountType accountType = AccountType.Margin) : base(accountType)
        {
 
        }
 
        /// <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 (!_supportSecurityTypes.Contains(security.Type))
            {
                message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
                    Messages.DefaultBrokerageModel.UnsupportedSecurityType(this, security));
 
                return false;
            }
 
            if (!_supportOrderTypes.Contains(order.Type))
            {
                message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
                    Messages.DefaultBrokerageModel.UnsupportedOrderType(this, order, _supportOrderTypes));
 
                return false;
            }
 
            return base.CanSubmitOrder(security, order, out message);
        }
 
        /// <summary>
        /// TDAmeritrade support Update Order
        /// </summary>
        /// <param name="security">Security</param>
        /// <param name="order">Order that should be updated</param>
        /// <param name="request">Update request</param>
        /// <param name="message">Outgoing message</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 = null;
            return true;
        }
 
        /// <summary>
        /// Provides TDAmeritrade fee model
        /// </summary>
        /// <param name="security">Security</param>
        /// <returns>TDAmeritrade fee model</returns>
        public override IFeeModel GetFeeModel(Security security)
        {
            return new TDAmeritradeFeeModel();
        }
    }
}