feat: Binance future support StopMarket for CryptoFuture (#8441)

test:feat: CanSubmit StopMarket Crypto or CryptoFuture in Binance Model
QuantConnect · Dec 4, 2024 · a2efee8 · a2efee8
1 parent a1d0b6c
commit a2efee8
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Showing 4 changed files with 60 additions and 23 deletions.
diff --git a/Common/Brokerages/BinanceBrokerageModel.cs b/Common/Brokerages/BinanceBrokerageModel.cs
@@ -31,6 +31,11 @@ public class BinanceBrokerageModel : DefaultBrokerageModel
         private const decimal _defaultLeverage = 3;
         private const decimal _defaultFutureLeverage = 25;
 
+        /// <summary>
+        /// The base Binance API endpoint URL.
+        /// </summary>
+        protected virtual string BaseApiEndpoint => "https://api.binance.com/api/v3";
+
         /// <summary>
         /// Market name
         /// </summary>
@@ -154,18 +159,24 @@ public override bool CanSubmitOrder(Security security, Order order, out Brokerag
                     quantityIsValid &= IsOrderSizeLargeEnough(stopLimitOrder.StopPrice);
                     price = stopLimitOrder.StopPrice;
                     break;
-                case StopMarketOrder:
-                    // despite Binance API allows you to post STOP_LOSS and TAKE_PROFIT order types
-                    // they always fails with the content
-                    // {"code":-1013,"msg":"Take profit orders are not supported for this symbol."}
-                    // currently no symbols supporting TAKE_PROFIT or STOP_LOSS orders
+                case StopMarketOrder stopMarketOrder:
+                    if (security.Symbol.SecurityType != SecurityType.CryptoFuture)
+                    {
+                        // despite Binance API allows you to post STOP_LOSS and TAKE_PROFIT order types
+                        // they always fails with the content
+                        // {"code":-1013,"msg":"Take profit orders are not supported for this symbol."}
+                        // currently no symbols supporting TAKE_PROFIT or STOP_LOSS orders
 
-                    message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
-                        Messages.BinanceBrokerageModel.UnsupportedOrderTypeWithLinkToSupportedTypes(order, security));
-                    return false;
+                        message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
+                            Messages.BinanceBrokerageModel.UnsupportedOrderTypeWithLinkToSupportedTypes(BaseApiEndpoint, order, security));
+                        return false;
+                    }
+                    quantityIsValid &= IsOrderSizeLargeEnough(stopMarketOrder.StopPrice);
+                    price = stopMarketOrder.StopPrice;
+                    break;
                 default:
                     message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
-                        Messages.DefaultBrokerageModel.UnsupportedOrderType(this, order, new [] { OrderType.StopMarket, OrderType.StopLimit, OrderType.Market, OrderType.Limit }));
+                        Messages.DefaultBrokerageModel.UnsupportedOrderType(this, order, new[] { OrderType.StopMarket, OrderType.StopLimit, OrderType.Market, OrderType.Limit }));
                     return false;
             }
 

diff --git a/Common/Brokerages/BinanceUSBrokerageModel.cs b/Common/Brokerages/BinanceUSBrokerageModel.cs
@@ -24,6 +24,11 @@ namespace QuantConnect.Brokerages
     /// </summary>
     public class BinanceUSBrokerageModel : BinanceBrokerageModel
     {
+        /// <summary>
+        /// The base Binance Futures API endpoint URL.
+        /// </summary>
+        protected override string BaseApiEndpoint => "https://api.binance.us/api/v3";
+
         /// <summary>
         /// Market name
         /// </summary>

diff --git a/Common/Messages/Messages.Brokerages.cs b/Common/Messages/Messages.Brokerages.cs
@@ -195,10 +195,9 @@ public static string UnsupportedOrderTypeForSecurityType(Orders.Order order, Sec
             /// security. The message also contains a link to the supported order types in Binance
             /// </summary>
             [MethodImpl(MethodImplOptions.AggressiveInlining)]
-            public static string UnsupportedOrderTypeWithLinkToSupportedTypes(Orders.Order order, Securities.Security security)
+            public static string UnsupportedOrderTypeWithLinkToSupportedTypes(string baseApiEndpoint, Orders.Order order, Securities.Security security)
             {
-                return Invariant($@"{order.Type} orders are not supported for this symbol. Please check 'https://api.binance.com/api/v3/exchangeInfo?symbol={
-                    security.SymbolProperties.MarketTicker}' to see supported order types.");
+                return Invariant($@"{order.Type} orders are not supported for this symbol. Please check '{baseApiEndpoint}/exchangeInfo?symbol={security.SymbolProperties.MarketTicker}' to see supported order types.");
             }
         }
 

diff --git a/Tests/Common/Brokerages/BinanceBrokerageModelTests.cs b/Tests/Common/Brokerages/BinanceBrokerageModelTests.cs
@@ -14,14 +14,14 @@
 */
 
 using Moq;
+using System;
 using NUnit.Framework;
+using QuantConnect.Orders;
+using QuantConnect.Securities;
 using QuantConnect.Brokerages;
+using QuantConnect.Orders.Fees;
 using QuantConnect.Data.Market;
-using QuantConnect.Orders;
 using QuantConnect.Tests.Brokerages;
-using System;
-using QuantConnect.Orders.Fees;
-using QuantConnect.Securities;
 
 namespace QuantConnect.Tests.Common.Brokerages
 {
@@ -121,22 +121,44 @@ public void CannotSubmitMarketOrder_IfPriceNotInitialized()
             Assert.NotNull(message);
         }
 
-        [Test]
-        public void CannotSubmitStopMarketOrder_Always()
+        [TestCase(nameof(BinanceBrokerageModel), SecurityType.Crypto, false)]
+        [TestCase(nameof(BinanceUSBrokerageModel), SecurityType.Crypto, false)]
+        [TestCase(nameof(BinanceFuturesBrokerageModel), SecurityType.CryptoFuture, true)]
+        [TestCase(nameof(BinanceCoinFuturesBrokerageModel), SecurityType.CryptoFuture, true)]
+        public void CannotSubmitStopMarketOrder_Always(string binanceBrokerageMode, SecurityType securityType, bool isCanSubmit)
         {
+            var binanceBrokerageModel = binanceBrokerageMode switch
+            {
+                "BinanceBrokerageModel" => new BinanceBrokerageModel(),
+                "BinanceUSBrokerageModel" => new BinanceUSBrokerageModel(),
+                "BinanceFuturesBrokerageModel" => new BinanceFuturesBrokerageModel(AccountType.Margin),
+                "BinanceCoinFuturesBrokerageModel" => new BinanceCoinFuturesBrokerageModel(AccountType.Margin),
+                _ => throw new ArgumentException($"Invalid binanceBrokerageModel value: '{binanceBrokerageMode}'.")
+            };
+
             var order = new Mock<StopMarketOrder>
             {
                 Object =
                 {
-                    Quantity = 100000,
-                    StopPrice = 100000
+                    StopPrice = 3_000
                 }
             };
+            order.Setup(mock => mock.Quantity).Returns(1);
 
-            var security = TestsHelpers.GetSecurity(symbol: _btceur.Value, market: _btceur.ID.Market, quoteCurrency: "EUR");
 
-            Assert.AreEqual(false, BinanceBrokerageModel.CanSubmitOrder(security, order.Object, out var message));
-            Assert.NotNull(message);
+            var ETHUSDT = Symbol.Create("ETHUSDT", securityType, Market.Binance);
+
+            var security = TestsHelpers.GetSecurity(securityType: ETHUSDT.SecurityType, symbol: ETHUSDT.Value, market: ETHUSDT.ID.Market, quoteCurrency: "USDT");
+
+            Assert.AreEqual(isCanSubmit, binanceBrokerageModel.CanSubmitOrder(security, order.Object, out var message));
+            if (isCanSubmit)
+            {
+                Assert.IsNull(message);
+            }
+            else
+            {
+                Assert.NotNull(message);
+            }
         }
 
         [Test]