Support CFDs in IB

jhonabreul · Mar 13, 2024 · b6d2bf8 · b6d2bf8
1 parent b89d7d6
commit b6d2bf8
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Showing 4 changed files with 89 additions and 10 deletions.
diff --git a/Common/Brokerages/InteractiveBrokersBrokerageModel.cs b/Common/Brokerages/InteractiveBrokersBrokerageModel.cs
@@ -18,8 +18,6 @@
 using System.Linq;
 using QuantConnect.Util;
 using QuantConnect.Benchmarks;
-using QuantConnect.Data.Shortable;
-using QuantConnect.Interfaces;
 using QuantConnect.Orders;
 using QuantConnect.Orders.Fees;
 using QuantConnect.Orders.TimeInForces;
@@ -109,6 +107,21 @@ public override IFeeModel GetFeeModel(Security security)
             return new InteractiveBrokersFeeModel();
         }
 
+        /// <summary>
+        /// Gets the brokerage's leverage for the specified security
+        /// </summary>
+        /// <param name="security">The security's whose leverage we seek</param>
+        /// <returns>The leverage for the specified security</returns>
+        public override decimal GetLeverage(Security security)
+        {
+            if (AccountType == AccountType.Cash)
+            {
+                return 1m;
+            }
+
+            return security.Type == SecurityType.Cfd ? 10m : base.GetLeverage(security);
+        }
+
         /// <summary>
         /// Returns true if the brokerage could accept this order. This takes into account
         /// order type, security type, and order size limits.
@@ -147,7 +160,8 @@ public override bool CanSubmitOrder(Security security, Order order, out Brokerag
                 security.Type != SecurityType.Future &&
                 security.Type != SecurityType.FutureOption &&
                 security.Type != SecurityType.Index &&
-                security.Type != SecurityType.IndexOption)
+                security.Type != SecurityType.IndexOption &&
+                security.Type != SecurityType.Cfd)
             {
                 message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
                     Messages.DefaultBrokerageModel.UnsupportedSecurityType(this, security));

diff --git a/Common/Orders/Fees/InteractiveBrokersFeeModel.cs b/Common/Orders/Fees/InteractiveBrokersFeeModel.cs
@@ -167,6 +167,12 @@ public override OrderFee GetOrderFee(OrderFeeParameters parameters)
                     feeResult = Math.Abs(tradeFee);
                     break;
 
+                case SecurityType.Cfd:
+                    var value = Math.Abs(order.GetValue(security));
+                    feeResult = Math.Max(0.00002m * value, 1); // 0.002% or 1USD minimum
+                    feeCurrency = security.QuoteCurrency.Symbol;
+                    break;
+
                 default:
                     // unsupported security type
                     throw new ArgumentException(Messages.FeeModel.UnsupportedSecurityType(security));

diff --git a/Tests/Common/Brokerages/InteractiveBrokersBrokerageModelTests.cs b/Tests/Common/Brokerages/InteractiveBrokersBrokerageModelTests.cs
@@ -27,9 +27,8 @@
 using QuantConnect.Data;
 using QuantConnect.Securities.Option;
 using QuantConnect.Securities.Forex;
-using QuantConnect.Securities.IndexOption;
 using QuantConnect.Tests.Engine.DataFeeds;
-using QuantConnect.Securities.FutureOption;
+using QuantConnect.Securities.Cfd;
 
 namespace QuantConnect.Tests.Common.Brokerages
 {
@@ -113,6 +112,39 @@ public void CannotSubmitMOCOrdersForOptions(string ticker, SecurityType security
             Assert.AreEqual(expectedMessage, message.Message);
         }
 
+        [TestCase(AccountType.Cash, 1)]
+        [TestCase(AccountType.Margin, 10)]
+        public void GetsCorrectLeverageForCfds(AccountType accounType, decimal expectedLeverage)
+        {
+            var brokerageModel = new InteractiveBrokersBrokerageModel(accounType);
+            var security = new Cfd(Symbols.DE10YBEUR,
+                SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
+                new Cash("USD", 0, 0),
+                SymbolProperties.GetDefault("USD"),
+                ErrorCurrencyConverter.Instance,
+                RegisteredSecurityDataTypesProvider.Null,
+                new SecurityCache());
+
+            Assert.AreEqual(expectedLeverage, brokerageModel.GetLeverage(security));
+        }
+
+        [Test]
+        public void CanSubmitCfdOrder()
+        {
+            var security = new Cfd(Symbols.DE10YBEUR,
+                SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
+                new Cash("USD", 0, 0),
+                SymbolProperties.GetDefault("USD"),
+                ErrorCurrencyConverter.Instance,
+                RegisteredSecurityDataTypesProvider.Null,
+                new SecurityCache());
+            var order = new MarketOrder(security.Symbol, 1, new DateTime(2023, 1, 20));
+
+            var canSubmit = _interactiveBrokersBrokerageModel.CanSubmitOrder(security, order, out var message);
+
+            Assert.IsTrue(canSubmit);
+        }
+
         private static List<Security> GetUnsupportedOptions()
         {
             // Index option

diff --git a/Tests/Common/Orders/Fees/InteractiveBrokersFeeModelTests.cs b/Tests/Common/Orders/Fees/InteractiveBrokersFeeModelTests.cs
@@ -23,6 +23,7 @@
 using QuantConnect.Orders.Fees;
 using QuantConnect.Securities;
 using QuantConnect.Securities.Cfd;
+using QuantConnect.Securities.Crypto;
 using QuantConnect.Securities.Forex;
 using QuantConnect.Securities.Future;
 using QuantConnect.Securities.FutureOption;
@@ -99,6 +100,30 @@ public void USAFutureFee(Symbol symbol, decimal expectedFee)
             Assert.AreEqual(1000 * expectedFee, fee.Value.Amount);
         }
 
+        [TestCase(10000, 1)] // The calculated fee will be under 1, but the minimum fee is 1
+        [TestCase(70000, 0.00002 * 70000)]
+        [TestCase(100000, 0.00002 * 100000)]
+        public void CalculatesCFDFee(decimal price, decimal expectedFee)
+        {
+            var security = new Cfd(Symbols.DE10YBEUR,
+                SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
+                new Cash("USD", 0, 0),
+                SymbolProperties.GetDefault("USD"),
+                ErrorCurrencyConverter.Instance,
+                RegisteredSecurityDataTypesProvider.Null,
+                new SecurityCache());
+            security.QuoteCurrency.ConversionRate = 1;
+
+
+            security.SetMarketPrice(new Tick(DateTime.UtcNow, security.Symbol, price, price));
+
+            var order = new MarketOrder(security.Symbol, 1, DateTime.UtcNow);
+            var fee = _feeModel.GetOrderFee(new OrderFeeParameters(security, order));
+
+            Assert.AreEqual(Currencies.USD, fee.Value.Currency);
+            Assert.AreEqual(expectedFee, fee.Value.Amount);
+        }
+
         [TestCase(OrderType.ComboMarket, 0.01, 250)]
         [TestCase(OrderType.ComboLimit, 0.01, 250)]
         [TestCase(OrderType.ComboLegLimit, 0.01, 250)]
@@ -256,13 +281,15 @@ public void GetOrderFeeThrowsForUnsupportedSecurityType()
                 () =>
                 {
                     var tz = TimeZones.NewYork;
-                    var security = new Cfd(
+                    var security = new Crypto(
+                        Symbols.BTCUSD,
                         SecurityExchangeHours.AlwaysOpen(tz),
-                        new Cash("EUR", 0, 0),
-                        new SubscriptionDataConfig(typeof(QuoteBar), Symbols.DE30EUR, Resolution.Minute, tz, tz, true, false, false),
-                        new SymbolProperties("DE30EUR", "EUR", 1, 0.01m, 1m, string.Empty),
+                        new Cash("USD", 0, 0),
+                        new Cash("BTC", 0, 0),
+                        SymbolProperties.GetDefault("USD"),
                         ErrorCurrencyConverter.Instance,
-                        RegisteredSecurityDataTypesProvider.Null
+                        RegisteredSecurityDataTypesProvider.Null,
+                        new SecurityCache()
                     );
                     security.SetMarketPrice(new Tick(DateTime.UtcNow, security.Symbol, 12000, 12000));