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I wrote a simple algo for crypto trading using GDAX. I used ImmediateExecutionModel() and wrote my own PortfolioConstructionModel. However, I found that there was NO commission charged in each transaction. To get the commission calculated correctly, I SetBrokerageModel to BrokerageName.GDAX. But when I chose the AccountType to be Cash, it gave me the following runtime error:
Runtime Error: Non null IExecutionModel and IPortfolioConstructionModel are currently unsuitable for Cash Modeled brokerages (e.g. GDAX) and may result in unexpected trades. To prevent possible user error we've restricted them to Margin trading. You can select margin account types with SetBrokerage( ... AccountType.Margin). Or please set them to NullExecutionModel, NullPortfolioConstructionModelAnd when I set the AccountType to be Margin, I got the following error:During the algorithm initialization, the following exception has occurred: The GDAX brokerage does not currently support Margin trading.
Parameter name: accountType
Seems like I'm caught in a Catch-22 situation. Any suggestions? 
Ke Shen
I have answers to my own questions now.
1. SetBrokerageModel is in conflict with IExecutionModel and IPortfolioConstructionModel for GDAX issue. There is an old question related to this.
https://www.quantconnect.com/forum/discussion/5715/algorithm-framework-compatibility-with-alpaca-cash-account-typeThere is no solution for this yet.
2. Regarding to get GDAX commissions calculated, I have to do
security.FeeModel = new GDAXFeeModel();in OnSecuritiesChanged() for each added cryto pairs.
Ke Shen
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