/// <summary>
/// Gets the total margin required to execute the specified order in units of the account currency including fees
/// </summary>
/// <param name="security">The security to compute initial margin for</param>
/// <param name="order">The order to be executed</param>
/// <returns>The total margin in terms of the currency quoted in the order</returns>
public override decimal GetInitialMarginRequiredForOrder(Security security, Order order)
{
//Get the order value from the non-abstract order classes (MarketOrder, LimitOrder, StopMarketOrder)
//Market order is approximated from the current security price and set in the MarketOrder Method in QCAlgorithm.
var orderFees = security.FeeModel.GetOrderFee(security, order);
var orderCostInAccountCurrency = order.GetValue(security);
return orderCostInAccountCurrency*InitialMarginRequirement + orderFees;
}
/// <summary>
/// Gets the total margin required to execute the specified order in units of the account currency including fees
/// </summary>
/// <param name="security">The security to compute initial margin for</param>
/// <param name="order">The order to be executed</param>
/// <returns>The total margin in terms of the currency quoted in the order</returns>
public override decimal GetInitialMarginRequiredForOrder(Security security, Order order)
{
var forex = (Forex)security;
//Get the order value from the non-abstract order classes (MarketOrder, LimitOrder, StopMarketOrder)
//Market order is approximated from the current security price and set in the MarketOrder Method in QCAlgorithm.
var orderFees = security.TransactionModel.GetOrderFee(security, order);
var price = order.Status.IsFill() ? order.Price : security.Price;
var orderCostInAccountCurrency = order.GetValue(price)*forex.QuoteCurrency.ConversionRate;
return orderCostInAccountCurrency*InitialMarginRequirement + orderFees;
}
/// <summary>
/// Uses the Interactive Brokers equities fixes fee schedule.
/// </summary>
/// <remarks>
/// Default implementation uses the Interactive Brokers fee model of 0.5c per share with a maximum of 0.5% per order
/// and minimum of $1.00.
/// </remarks>
/// <param name="security">The security matching the order</param>
/// <param name="order">The order to compute fees for</param>
/// <returns>The cost of the order in units of the account currency</returns>
public override decimal GetOrderFee(Security security, Order order)
{
var price = order.Status.IsFill() ? order.Price : security.Price;
var tradeValue = Math.Abs(order.GetValue(price));
//Per share fees
var tradeFee = 0.005m*order.AbsoluteQuantity;
//Maximum Per Order: 0.5%
//Minimum per order. $1.0
var maximumPerOrder = 0.005m*tradeValue;
if (tradeFee < 1)
{
tradeFee = 1;
}
else if (tradeFee > maximumPerOrder)
{
tradeFee = maximumPerOrder;
}
//Always return a positive fee.
return Math.Abs(tradeFee);
}
/// <summary>
/// Prevent orders which would bring the account below a minimum cash balance
/// </summary>
public override bool CanSubmitOrder(Security security, Order order, out BrokerageMessageEvent message)
{
message = null;
// we want to model brokerage requirement of _minimumAccountBalance cash value in account
var orderCost = order.GetValue(security);
var cash = _algorithm.Portfolio.Cash;
var cashAfterOrder = cash - orderCost;
if (cashAfterOrder < _minimumAccountBalance)
{
// return a message describing why we're not allowing this order
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "InsufficientRemainingCapital",
string.Format("Account must maintain a minimum of ${0} USD at all times. Order ID: {1}", _minimumAccountBalance, order.Id)
);
return false;
}
return true;
}
/// <summary>
/// Gets the total margin required to execute the specified order in units of the account currency including fees
/// </summary>
/// <param name="security">The security to compute initial margin for</param>
/// <param name="order">The order to be executed</param>
/// <returns>The total margin in terms of the currency quoted in the order</returns>
public virtual decimal GetInitialMarginRequiredForOrder(Security security, Order order)
{
//Get the order value from the non-abstract order classes (MarketOrder, LimitOrder, StopMarketOrder)
//Market order is approximated from the current security price and set in the MarketOrder Method in QCAlgorithm.
var orderFees = security.TransactionModel.GetOrderFee(security, order);
var price = order.Status.IsFill() ? order.Price : security.Price;
return order.GetValue(price)*InitialMarginRequirement + orderFees;
}
/// <summary>
/// Default implementation returns 0 for fees.
/// </summary>
/// <param name="security">The security matching the order</param>
/// <param name="order">The order to compute fees for</param>
/// <returns>The cost of the order in units of the account currency</returns>
public override decimal GetOrderFee(Security security, Order order)
{
var forex = (Forex) security;
// get the total order value in the account currency
var price = order.Status.IsFill() ? order.Price : security.Price;
var totalOrderValue = order.GetValue(price)*forex.QuoteCurrency.ConversionRate;
var fee = _commissionRate*totalOrderValue;
return Math.Max(_minimumOrderFee, fee);
}
/// <summary>
/// Default implementation returns 0 for fees.
/// </summary>
/// <param name="security">The security matching the order</param>
/// <param name="order">The order to compute fees for</param>
/// <returns>The cost of the order in units of the account currency</returns>
public virtual decimal GetOrderFee(Security security, Order order)
{
if (order.Quantity == 0)
{
return 0m;
}
var price = order.Status.IsFill() ? order.Price : security.Price;
return GetOrderFee(order.Quantity, order.GetValue(price) / order.Quantity);
}