Commission System

S# implements a flexible commission calculation system through the CommissionManager. The manager accepts order and trade messages and calculates commissions based on configured rules.

ICommissionManager Interface

The ICommissionManager interface defines the base contract:

Rules — a collection of ICommissionRule rules for commission calculation.
Commission — the total accumulated commission amount (decimal).
Reset() — resets the state of the manager and all rules.
Process(Message) — processes a message; returns the commission for the given message or null.

ICommissionRule Interface

Each rule implements ICommissionRule:

Title — the rule title.
Value — the commission value (Unit), can be absolute or percentage-based.
Process(ExecutionMessage) — calculates the commission for a specific message.

The base class CommissionRule contains a helper method GetValue(price, volume):

For absolute values, it returns Value as-is.
For percentage values, it computes (price * volume * Value) / 100.

Rule Types

Order Rules

Class	Description
CommissionOrderRule	Commission per order (based on order price and volume).
CommissionOrderVolumeRule	Commission based on order volume. For absolute values: `Value * volume`.
CommissionOrderCountRule	Commission for every N orders. The `Count` property sets the threshold.

Trade Rules

Class	Description
CommissionTradeRule	Commission per trade (based on trade price and volume).
CommissionTradeVolumeRule	Commission based on trade volume.
CommissionTradePriceRule	Commission: `price * volume * Value`.
CommissionTradeCountRule	Commission for every N trades. The `Count` property sets the threshold.
CommissionTurnOverRule	Commission for each turnover threshold. The `TurnOver` property sets the threshold.

Filter Rules

Class	Description
CommissionSecurityIdRule	Commission only for a specific instrument. `Security` property.
CommissionBoardCodeRule	Commission only for a specific exchange board. `Board` property.
CommissionSecurityTypeRule	Commission only for a specific instrument type. `SecurityType` property.

Integration via Adapter

The CommissionMessageAdapter class wraps an inner adapter and automatically calculates commissions on incoming and outgoing ExecutionMessage. If a message does not have the Commission field set, the adapter populates it from the manager.

Integration with Strategy

The strategy (Strategy) exposes the Commission property, through which you can track the accumulated commission.

Usage Example

var manager = new CommissionManager();

// Fixed commission of 1.5 per trade
manager.Rules.Add(new CommissionTradeRule { Value = 1.5m });

// 0.1% of turnover for futures
manager.Rules.Add(new CommissionSecurityTypeRule
{
    SecurityType = SecurityTypes.Future,
    Value = new Unit(0.1m, UnitTypes.Percent)
});

// Commission of 50 for every 100 orders
manager.Rules.Add(new CommissionOrderCountRule
{
    Count = 100,
    Value = 50m
});

// Commission of 10 for every 1,000,000 in turnover
manager.Rules.Add(new CommissionTurnOverRule
{
    TurnOver = 1_000_000m,
    Value = 10m
});

// Processing a message
decimal? commission = manager.Process(executionMsg);
if (commission != null)
{
    Console.WriteLine($"Commission for message: {commission.Value}");
}

// Total accumulated commission
Console.WriteLine($"Total commission: {manager.Commission}");

Resetting State

The Reset() method resets the total commission to zero and calls Reset() on each rule, which clears internal counters (order count, current turnover, etc.):

manager.Reset();