Martin Molinero
0933da9303
- Removing `AccountCurrency` from `Cash` and `Brokerage` classes. `ICurrencyConverter` will now provide the `AccountCurrency` - Adding new static `OrderFee.Zero` which will return a 0 order fee in `NullCurrency` - Adding static `Currencies.USD` value, replacing all "USD". - Addin new static `Currencies.NullCurrency` - Updating Bitfinex `FeeModel` so it return fees in quote currency. Adding unit tests
65 lines
2.4 KiB
C#
65 lines
2.4 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using Python.Runtime;
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using QuantConnect.Orders.Fees;
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using QuantConnect.Securities;
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namespace QuantConnect.Python
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{
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/// <summary>
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/// Provides an order fee model that wraps a <see cref="PyObject"/> object that represents a model that simulates order fees
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/// </summary>
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public class FeeModelPythonWrapper : FeeModel
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{
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private readonly dynamic _model;
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private bool _extendedVersion = true;
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/// <summary>
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/// Constructor for initialising the <see cref="FeeModelPythonWrapper"/> class with wrapped <see cref="PyObject"/> object
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/// </summary>
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/// <param name="model">Represents a model that simulates order fees</param>
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public FeeModelPythonWrapper(PyObject model)
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{
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_model = model;
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}
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/// <summary>
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/// Get the fee for this order
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/// </summary>
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/// <param name="parameters">A <see cref="OrderFeeParameters"/> object
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/// containing the security and order</param>
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/// <returns>The cost of the order in units of the account currency</returns>
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public override OrderFee GetOrderFee(OrderFeeParameters parameters)
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{
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using (Py.GIL())
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{
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if (_extendedVersion)
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{
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try
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{
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return _model.GetOrderFee(parameters);
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}
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catch (PythonException)
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{
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_extendedVersion = false;
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}
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}
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decimal fee = _model.GetOrderFee(parameters.Security, parameters.Order);
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return new OrderFee(new CashAmount(fee, parameters.AccountCurrency));
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}
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}
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}
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} |