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Feature: Implementation
Charles Schwab Brokerage (#8406)
* feat: ExtendedRegularTradingHours property in CharlesSchwabOrderProperties * feat: BrokerageModel, FeeModel of Charles Schwab * refactor: CharlesSchwab Fee model remove: SecurityType.Index in CanSubmit CharlesSchwab * refactor: CharlesSchwabFeeModel (a little bit simpler) * refactor: CharlesSchwabFeeModel (more simpler)
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,102 @@ | ||
| /* | ||
| * 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> | ||
| /// Represents a brokerage model specific to Charles Schwab. | ||
| /// </summary> | ||
| public class CharlesSchwabBrokerageModel : DefaultBrokerageModel | ||
| { | ||
| /// <summary> | ||
| /// HashSet containing the security types supported by TradeStation. | ||
| /// </summary> | ||
| private readonly HashSet<SecurityType> _supportSecurityTypes = new( | ||
| new[] | ||
| { | ||
| SecurityType.Equity, | ||
| SecurityType.Option, | ||
| SecurityType.IndexOption | ||
| }); | ||
|
|
||
| /// <summary> | ||
| /// HashSet containing the order types supported by the <see cref="CanSubmitOrder"/> operation in TradeStation. | ||
| /// </summary> | ||
| private readonly HashSet<OrderType> _supportOrderTypes = new( | ||
| new[] | ||
| { | ||
| OrderType.Market, | ||
| OrderType.Limit, | ||
| OrderType.StopMarket | ||
| }); | ||
|
|
||
| /// <summary> | ||
| /// Constructor for Charles Schwab brokerage model | ||
| /// </summary> | ||
| /// <param name="accountType">Cash or Margin</param> | ||
| public CharlesSchwabBrokerageModel(AccountType accountType = AccountType.Margin) | ||
| : base(accountType) | ||
| { | ||
| } | ||
|
|
||
| /// <summary> | ||
| /// Provides TradeStation fee model | ||
| /// </summary> | ||
| /// <param name="security">Security</param> | ||
| /// <returns>TradeStation fee model</returns> | ||
| public override IFeeModel GetFeeModel(Security security) | ||
| { | ||
| return new CharlesSchwabFeeModel(); | ||
| } | ||
|
|
||
| /// <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) | ||
| { | ||
| message = default; | ||
|
|
||
| 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); | ||
| } | ||
| } | ||
| } |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,32 @@ | ||
| /* | ||
| * 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. | ||
| */ | ||
|
|
||
| namespace QuantConnect.Orders | ||
| { | ||
| /// <summary> | ||
| /// Contains additional properties and settings for an order submitted to Charles Schwab brokerage | ||
| /// </summary> | ||
| public class CharlesSchwabOrderProperties : OrderProperties | ||
| { | ||
| /// <summary> | ||
| /// If set to true, allows orders to also trigger or fill outside of regular trading hours. | ||
| /// </summary> | ||
| /// <remarks> | ||
| /// Schwab offers extended hours trading for stocks and ETFs during the business week. | ||
| /// Stock trading does not occur on weekends, holidays, or on days the market is closed. | ||
| /// </remarks> | ||
| public bool ExtendedRegularTradingHours { get; set; } | ||
| } | ||
| } |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,64 @@ | ||
| /* | ||
| * 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 System; | ||
| using QuantConnect.Securities; | ||
|
|
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| namespace QuantConnect.Orders.Fees | ||
| { | ||
| /// <summary> | ||
| /// Represents a fee model specific to Charles Schwab. | ||
| /// </summary> | ||
| /// <see href="https://www.schwab.com/pricing"/> | ||
| public class CharlesSchwabFeeModel : FeeModel | ||
| { | ||
| /// <summary> | ||
| /// The exchange processing fee for standard option securities. | ||
| /// </summary> | ||
| private const decimal _optionIndexFee = 1m; | ||
|
|
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| /// <summary> | ||
| /// Represents the fee associated with equity options transactions (per contract). | ||
| /// </summary> | ||
| private const decimal _optionFee = 0.65m; | ||
|
|
||
| /// <summary> | ||
| /// Calculates the order fee based on the security type and order parameters. | ||
| /// </summary> | ||
| /// <param name="parameters">The parameters for the order fee calculation, which include security and order details.</param> | ||
| /// <returns> | ||
| /// An <see cref="OrderFee"/> instance representing the calculated order fee. | ||
| /// </returns> | ||
| /// <exception cref="ArgumentNullException"> | ||
| /// Thrown when <paramref name="parameters"/> is <c>null</c>. | ||
| /// </exception> | ||
| public override OrderFee GetOrderFee(OrderFeeParameters parameters) | ||
| { | ||
| if (parameters.Security.Type.IsOption()) | ||
| { | ||
| var feeRate = parameters.Security.Type switch | ||
| { | ||
| SecurityType.IndexOption => _optionIndexFee, | ||
| SecurityType.Option => _optionFee, | ||
| _ => 0m | ||
| }; | ||
| return new OrderFee(new CashAmount(parameters.Order.AbsoluteQuantity * feeRate, Currencies.USD)); | ||
| } | ||
| return OrderFee.Zero; | ||
| } | ||
| } | ||
| } |
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