Martin Molinero
c5daf9ac9a
- Refactoring `IFeeModel`. *This is a breaking change* for implementations inheriting directly from the interface. Deleting old and adding a new method `OrderFee GetOrderFee(OrderFeeParameters parameters)` that will use a parameter and a result object. - Refactoring `CashAmount` so it does not embed a `ICurrencyConverter` instance. - Updating unit tests - The `Security.QuoteCurrency`, a `Cash` instance, will provide access to the `AccountCurrency` as a property. - Will maintain backwards compatibility with old python custom FeeModels, Adding unit test. > Note that for now, consumers will ignore the currency, as before, and directly consume the amount
66 lines
2.5 KiB
C#
66 lines
2.5 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,
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parameters.Security.QuoteCurrency.AccountCurrency));
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}
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}
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}
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} |