Fix for alpaca order fees

QuantConnect · Jul 22, 2024 · 55a4c1f · 55a4c1f
1 parent af84d37
commit 55a4c1f
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Showing 2 changed files with 10 additions and 2 deletions.
diff --git a/QuantConnect.AlpacaBrokerage.Tests/AlpacaBrokerageTests.cs b/QuantConnect.AlpacaBrokerage.Tests/AlpacaBrokerageTests.cs
@@ -33,6 +33,8 @@ public partial class AlpacaBrokerageTests : BrokerageTests
         protected override Symbol Symbol { get; } = Symbols.AAPL;
         protected override SecurityType SecurityType { get; }
 
+        protected override BrokerageName BrokerageName => BrokerageName.Alpaca;
+
         protected override IBrokerage CreateBrokerage(IOrderProvider orderProvider, ISecurityProvider securityProvider)
         {
             var (apiKey, apiKeySecret, isPaperTrading, accessToken) = AlpacaBrokerageTestHelpers.GetConfigParameters();

diff --git a/QuantConnect.AlpacaBrokerage/AlpacaBrokerage.cs b/QuantConnect.AlpacaBrokerage/AlpacaBrokerage.cs
@@ -417,8 +417,14 @@ private void HandleTradeUpdate(ITradeUpdate obj)
                 _orderIdToFillQuantity.TryRemove(leanOrder.Id, out _);
             }
 
-            var orderEvent = new OrderEvent(leanOrder, obj.TimestampUtc.HasValue ? obj.TimestampUtc.Value : DateTime.UtcNow,
-                new OrderFee(new CashAmount(0, Currencies.USD)))
+            var fee = new OrderFee(new CashAmount(0, Currencies.USD));
+            if (newLeanOrderStatus == Orders.OrderStatus.Filled)
+            {
+                var security = _securityProvider.GetSecurity(leanOrder.Symbol);
+                fee = security.FeeModel.GetOrderFee(new OrderFeeParameters(security, leanOrder));
+            }
+
+            var orderEvent = new OrderEvent(leanOrder, obj.TimestampUtc.HasValue ? obj.TimestampUtc.Value : DateTime.UtcNow, fee)
             {
                 Status = newLeanOrderStatus,
                 FillPrice = obj.Price ?? 0m,