public override OrderFee GetOrderFee(OrderFeeParameters parameters)
{
// custom fee math
var fee = Math.Max(
1m,
parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00001m);
_algorithm.Log("CustomFeeModel: " + fee);
return(new OrderFee(new CashAmount(fee, "USD")));
}
/// <summary>
/// Get the fee for this order
/// </summary>
/// <param name="parameters">A <see cref="OrderFeeParameters"/> object
/// containing the security and order</param>
/// <returns>The cost of the order in units of the account currency</returns>
public override OrderFee GetOrderFee(OrderFeeParameters parameters)
{
using (Py.GIL())
{
if (_extendedVersion)
{
try
{
return(_model.GetOrderFee(parameters));
}
catch (PythonException)
{
_extendedVersion = false;
}
}
decimal fee = _model.GetOrderFee(parameters.Security, parameters.Order);
return(new OrderFee(new CashAmount(fee, "USD")));
}
}
public void CalculateOrderFeeForLongOrShortEquity(int quantity)
{
var security = SecurityTests.GetSecurity();
security.SetMarketPrice(new Tick(DateTime.UtcNow, security.Symbol, 100, 100));
var feeModel = new AlphaStreamsFeeModel();
var parameters = new OrderFeeParameters(
security,
new MarketOrder(security.Symbol, quantity, DateTime.UtcNow)
);
var fee = feeModel.GetOrderFee(parameters);
Assert.AreEqual(Currencies.USD, fee.Value.Currency);
var expected = 0m * security.Price * quantity;
Assert.AreEqual(expected, fee.Value.Amount);
}
/// <summary>
/// Get the fee for this order
/// </summary>
/// <param name="parameters">A <see cref="OrderFeeParameters"/> object
/// containing the security and order</param>
/// <returns>The cost of the order in units of the account currency</returns>
public override OrderFee GetOrderFee(OrderFeeParameters parameters)
{
using (Py.GIL())
{
if (_extendedVersion)
{
try
{
return((_model.GetOrderFee(parameters) as PyObject).GetAndDispose <OrderFee>());
}
catch (PythonException)
{
_extendedVersion = false;
}
}
var fee = (_model.GetOrderFee(parameters.Security, parameters.Order)
as PyObject).GetAndDispose <decimal>();
return(new OrderFee(new CashAmount(fee, "USD")));
}
}
public void CalculateOrderFeeForLongOrShortOptions(int quantity)
{
var tz = TimeZones.NewYork;
var security = new Option(Symbols.SPY_C_192_Feb19_2016,
SecurityExchangeHours.AlwaysOpen(tz),
new Cash("USD", 0, 0),
new OptionSymbolProperties(SymbolProperties.GetDefault("USD")),
ErrorCurrencyConverter.Instance
);
security.SetMarketPrice(new Tick(DateTime.UtcNow, security.Symbol, 100, 100));
var feeModel = new AlphaStreamsFeeModel();
var parameters = new OrderFeeParameters(
security,
new MarketOrder(security.Symbol, quantity, DateTime.UtcNow)
);
var fee = feeModel.GetOrderFee(parameters);
Assert.AreEqual(Currencies.USD, fee.Value.Currency);
Assert.AreEqual(Math.Abs(quantity) * 0.50m, fee.Value.Amount);
}
public override OrderFee GetOrderFee(OrderFeeParameters parameters)
{
return(new OrderFee(new CashAmount(1m, "ETH")));
}
public override OrderFee GetOrderFee(OrderFeeParameters parameters)
{
return(new OrderFee(new CashAmount(FeeAmount, FeeCurrency)));
}
public override OrderFee GetOrderFee(OrderFeeParameters parameters)
{
return(OrderFee.Zero);
}
