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16 changes: 13 additions & 3 deletions Common/Securities/CryptoFuture/CryptoFuture.cs
Original file line number Diff line number Diff line change
Expand Up @@ -60,7 +60,7 @@ public CryptoFuture(Symbol symbol,
cache,
new SecurityPortfolioModel(),
new ImmediateFillModel(),
IsCryptoCoinFuture(quoteCurrency.Symbol) ? new BinanceCoinFuturesFeeModel() : new BinanceFuturesFeeModel(),
IsCryptoCoinFuture(symbol.ID.Market, quoteCurrency.Symbol) ? new BinanceCoinFuturesFeeModel() : new BinanceFuturesFeeModel(),
NullSlippageModel.Instance,
new ImmediateSettlementModel(),
Securities.VolatilityModel.Null,
Expand All @@ -83,16 +83,26 @@ public CryptoFuture(Symbol symbol,
/// <returns>True if the security is a crypto coin future</returns>
public bool IsCryptoCoinFuture()
{
return IsCryptoCoinFuture(QuoteCurrency.Symbol);
return IsCryptoCoinFuture(Symbol.ID.Market, QuoteCurrency.Symbol);
}

/// <summary>
/// Checks whether the security is a crypto coin future
/// </summary>
/// <param name="market">The security market</param>
/// <param name="quoteCurrency">The security quote currency</param>
/// <returns>True if the security is a crypto coin future</returns>
private static bool IsCryptoCoinFuture(string quoteCurrency)
private static bool IsCryptoCoinFuture(string market, string quoteCurrency)
{
// Binance coin-margined futures are nominally quoted in USD (e.g. BTCUSD_PERP) but settle in the base
// currency, so on Binance any quote currency other than one of its known USD-pegged stablecoins implies
// a coin-margined contract. Other venues, notably EU MiCA-compliant exchanges, quote linear (USD-margined)
// futures directly in fiat USD, so outside of Binance the quote currency alone can't be used this way.
if (market != Market.Binance)
{
return false;
}

return quoteCurrency != "USDT" && quoteCurrency != "BUSD" && quoteCurrency != "USDC";
}

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Original file line number Diff line number Diff line change
Expand Up @@ -207,6 +207,42 @@ public void DefaultMarginModelDoesNotIncludeSupplementaryCollateral()
Assert.AreEqual(0, buyingPower.Value);
}

[Test]
public void BinanceUsdQuotedFutureIsCoinMargined()
{
var symbol = Symbol.Create("BTCUSD", SecurityType.CryptoFuture, Market.Binance);
var cryptoFuture = new QuantConnect.Securities.CryptoFuture.CryptoFuture(
symbol,
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new Cash("USD", 0, 1m),
new Cash("BTC", 0, 1m),
SymbolProperties.GetDefault("USD"),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache());

Assert.IsTrue(cryptoFuture.IsCryptoCoinFuture());
}

[Test]
public void NonBinanceUsdQuotedFutureIsNotCoinMargined()
{
// EU MiCA-compliant exchanges (e.g. Kraken Futures, OKX EU) quote linear, USD-margined
// futures directly in fiat USD rather than a stablecoin.
var symbol = Symbol.Create("BTCUSD", SecurityType.CryptoFuture, Market.Kraken);
var cryptoFuture = new QuantConnect.Securities.CryptoFuture.CryptoFuture(
symbol,
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new Cash("USD", 0, 1m),
new Cash("BTC", 0, 1m),
SymbolProperties.GetDefault("USD"),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache());

Assert.IsFalse(cryptoFuture.IsCryptoCoinFuture());
}

private static QCAlgorithm GetAlgorithm()
{
// Initialize algorithm
Expand Down