Provides shared brokerage websockets implementation More...

Inheritance diagram for QuantConnect.Brokerages.BaseWebsocketsBrokerage:

Public Member Functions
override void	Connect ()
	Creates wss connection, monitors for disconnection and re-connects when necessary More...

Public Member Functions inherited from QuantConnect.Brokerages.Brokerage
abstract bool	PlaceOrder (Order order)
	Places a new order and assigns a new broker ID to the order More...

abstract bool	UpdateOrder (Order order)
	Updates the order with the same id More...

abstract bool	CancelOrder (Order order)
	Cancels the order with the specified ID More...

abstract void	Disconnect ()
	Disconnects the client from the broker's remote servers More...

virtual void	Dispose ()
	Dispose of the brokerage instance More...

abstract List< Order >	GetOpenOrders ()
	Gets all open orders on the account. NOTE: The order objects returned do not have QC order IDs. More...

abstract List< Holding >	GetAccountHoldings ()
	Gets all holdings for the account More...

abstract List< CashAmount >	GetCashBalance ()
	Gets the current cash balance for each currency held in the brokerage account More...

virtual IEnumerable< BaseData >	GetHistory (HistoryRequest request)
	Gets the history for the requested security More...

virtual bool	ShouldPerformCashSync (DateTime currentTimeUtc)
	Returns whether the brokerage should perform the cash synchronization More...

virtual bool	PerformCashSync (IAlgorithm algorithm, DateTime currentTimeUtc, Func< TimeSpan > getTimeSinceLastFill)
	Synchronizes the cashbook with the brokerage account More...

Protected Member Functions
void	Initialize (string wssUrl, IWebSocket websocket, IRestClient restClient, string apiKey, string apiSecret)
	Initialize the instance of this class More...

	BaseWebsocketsBrokerage (string name)
	Creates an instance of a websockets brokerage More...

abstract void	OnMessage (object sender, WebSocketMessage e)
	Handles websocket received messages More...

abstract bool	Subscribe (IEnumerable< Symbol > symbols)
	Handles the creation of websocket subscriptions More...

virtual IEnumerable< Symbol >	GetSubscribed ()
	Gets a list of current subscriptions More...

void	ConnectSync ()
	Start websocket connect More...

Protected Member Functions inherited from QuantConnect.Brokerages.Brokerage
	Brokerage (string name)
	Creates a new Brokerage instance with the specified name More...

virtual void	OnOrderEvents (List< OrderEvent > orderEvents)
	Event invocator for the OrderFilled event More...

virtual void	OnOrderEvent (OrderEvent e)
	Event invocator for the OrderFilled event More...

virtual void	OnOrderUpdated (OrderUpdateEvent e)
	Event invocator for the OrderUpdated event More...

virtual void	OnOrderIdChangedEvent (BrokerageOrderIdChangedEvent e)
	Event invocator for the OrderIdChanged event More...

virtual void	OnOptionPositionAssigned (OrderEvent e)
	Event invocator for the OptionPositionAssigned event More...

virtual void	OnOptionNotification (OptionNotificationEventArgs e)
	Event invocator for the OptionNotification event More...

virtual void	OnNewBrokerageOrderNotification (NewBrokerageOrderNotificationEventArgs e)
	Event invocator for the NewBrokerageOrderNotification event More...

virtual void	OnDelistingNotification (DelistingNotificationEventArgs e)
	Event invocator for the DelistingNotification event More...

virtual void	OnAccountChanged (AccountEvent e)
	Event invocator for the AccountChanged event More...

virtual void	OnMessage (BrokerageMessageEvent e)
	Event invocator for the Message event More...

virtual List< Holding >	GetAccountHoldings (Dictionary< string, string > brokerageData, IEnumerable< Security > securities)
	Helper method that will try to get the live holdings from the provided brokerage data collection else will default to the algorithm state More...

virtual List< CashAmount >	GetCashBalance (Dictionary< string, string > brokerageData, CashBook cashBook)
	Helper method that will try to get the live cash balance from the provided brokerage data collection else will default to the algorithm state More...

virtual CrossZeroOrderResponse	PlaceCrossZeroOrder (CrossZeroFirstOrderRequest crossZeroOrderRequest, bool isPlaceOrderWithLeanEvent=true)
	Places an order that crosses zero (transitions from a short position to a long position or vice versa) and returns the response. This method should be overridden in a derived class to implement brokerage-specific logic for placing such orders. More...

bool?	TryCrossZeroPositionOrder (Order order, decimal holdingQuantity)
	Attempts to place an order that may cross the zero position. If the order needs to be split into two parts due to crossing zero, this method handles the split and placement accordingly. More...

bool	TryGetUpdateCrossZeroOrderQuantity (Order leanOrder, out decimal quantity)
	Determines whether the given Lean order crosses zero quantity based on the initial order quantity. More...

bool	TryGetOrRemoveCrossZeroOrder (string brokerageOrderId, OrderStatus leanOrderStatus, out Order leanOrder)
	Attempts to retrieve or remove a cross-zero order based on the brokerage order ID and its filled status. More...

bool	TryHandleRemainingCrossZeroOrder (Order leanOrder, OrderEvent orderEvent)
	Attempts to handle any remaining orders that cross the zero boundary. More...

Properties
bool	IsInitialized `[get, set]`
	True if the current brokerage is already initialized More...

IWebSocket	WebSocket `[get, set]`
	The websockets client instance More...

IRestClient	RestClient `[get, set]`
	The rest client instance More...

JsonSerializerSettings	JsonSettings `[get, set]`
	standard json parsing settings More...

ConcurrentDictionary< int, Orders.Order >	CachedOrderIDs `[get, set]`
	A list of currently active orders More...

string	ApiSecret `[get, set]`
	The api secret More...

string	ApiKey `[get, set]`
	The api key More...

DataQueueHandlerSubscriptionManager	SubscriptionManager `[get, set]`
	Count subscribers for each (symbol, tickType) combination More...

Properties inherited from QuantConnect.Brokerages.Brokerage
string	Name `[get]`
	Gets the name of the brokerage More...

abstract bool	IsConnected `[get]`
	Returns true if we're currently connected to the broker More...

virtual string	AccountBaseCurrency `[get, protected set]`
	Returns the brokerage account's base currency More...

ConcurrentDictionary< string, Order >	LeanOrderByZeroCrossBrokerageOrderId = new() `[get]`
	A thread-safe dictionary that maps brokerage order IDs to their corresponding Order objects. More...

Properties inherited from QuantConnect.Interfaces.IBrokerage
string	Name `[get]`
	Gets the name of the brokerage More...

bool	IsConnected `[get]`
	Returns true if we're currently connected to the broker More...

bool	AccountInstantlyUpdated `[get]`
	Specifies whether the brokerage will instantly update account balances More...

string	AccountBaseCurrency `[get]`
	Returns the brokerage account's base currency More...

Properties inherited from QuantConnect.Interfaces.IBrokerageCashSynchronizer
DateTime	LastSyncDateTimeUtc `[get]`
	Gets the datetime of the last sync (UTC) More...

Additional Inherited Members
Public Attributes inherited from QuantConnect.Brokerages.Brokerage
virtual bool	AccountInstantlyUpdated => false
	Specifies whether the brokerage will instantly update account balances More...

DateTime	LastSyncDateTimeUtc => new DateTime(Interlocked.Read(ref _lastSyncTimeTicks))
	Gets the datetime of the last sync (UTC) More...

Static Protected Member Functions inherited from QuantConnect.Brokerages.Brokerage
static OrderPosition	GetOrderPosition (OrderDirection orderDirection, decimal holdingsQuantity)
	Gets the position that might result given the specified order direction and the current holdings quantity. This is useful for brokerages that require more specific direction information than provided by the OrderDirection enum (e.g. Tradier differentiates Buy/Sell and BuyToOpen/BuyToCover/SellShort/SellToClose) More...

Protected Attributes inherited from QuantConnect.Brokerages.Brokerage
DateTime	LastSyncDate => LastSyncDateTimeUtc.ConvertFromUtc(TimeZones.NewYork).Date
	Gets the date of the last sync (New York time zone) More...

Events inherited from QuantConnect.Brokerages.Brokerage
EventHandler< BrokerageOrderIdChangedEvent >	OrderIdChanged
	Event that fires each time the brokerage order id changes More...

EventHandler< List< OrderEvent > >	OrdersStatusChanged
	Event that fires each time the status for a list of orders change More...

EventHandler< OrderUpdateEvent >	OrderUpdated
	Event that fires each time an order is updated in the brokerage side More...

EventHandler< OrderEvent >	OptionPositionAssigned
	Event that fires each time a short option position is assigned More...

EventHandler< OptionNotificationEventArgs >	OptionNotification
	Event that fires each time an option position has changed More...

EventHandler< NewBrokerageOrderNotificationEventArgs >	NewBrokerageOrderNotification
	Event that fires each time there's a brokerage side generated order More...

EventHandler< DelistingNotificationEventArgs >	DelistingNotification
	Event that fires each time a delisting occurs More...

EventHandler< AccountEvent >	AccountChanged
	Event that fires each time a user's brokerage account is changed More...

EventHandler< BrokerageMessageEvent >	Message
	Event that fires when an error is encountered in the brokerage More...

Events inherited from QuantConnect.Interfaces.IBrokerage
EventHandler< BrokerageOrderIdChangedEvent >	OrderIdChanged
	Event that fires each time the brokerage order id changes More...

EventHandler< List< OrderEvent > >	OrdersStatusChanged
	Event that fires each time the status for a list of orders change More...

EventHandler< OrderUpdateEvent >	OrderUpdated
	Event that fires each time an order is updated in the brokerage side More...

EventHandler< OrderEvent >	OptionPositionAssigned
	Event that fires each time a short option position is assigned More...

EventHandler< OptionNotificationEventArgs >	OptionNotification
	Event that fires each time an option position has changed More...

EventHandler< NewBrokerageOrderNotificationEventArgs >	NewBrokerageOrderNotification
	Event that fires each time there's a brokerage side generated order More...

EventHandler< DelistingNotificationEventArgs >	DelistingNotification
	Event that fires each time a delisting occurs More...

EventHandler< AccountEvent >	AccountChanged
	Event that fires each time a user's brokerage account is changed More...

EventHandler< BrokerageMessageEvent >	Message
	Event that fires when a message is received from the brokerage More...

Detailed Description

Provides shared brokerage websockets implementation

Definition at line 32 of file BaseWebsocketsBrokerage.cs.

Constructor & Destructor Documentation

◆ BaseWebsocketsBrokerage()

QuantConnect.Brokerages.BaseWebsocketsBrokerage.BaseWebsocketsBrokerage ( string name )

protected

Creates an instance of a websockets brokerage

Parameters

name	Name of brokerage

Definition at line 113 of file BaseWebsocketsBrokerage.cs.

Member Function Documentation

◆ Initialize()

void QuantConnect.Brokerages.BaseWebsocketsBrokerage.Initialize	(	string	wssUrl,
		IWebSocket	websocket,
		IRestClient	restClient,
		string	apiKey,
		string	apiSecret
	)

protected

Initialize the instance of this class

Parameters

wssUrl	The web socket base url
websocket	instance of websockets client
restClient	instance of rest client
apiKey	api key
apiSecret	api secret

Definition at line 84 of file BaseWebsocketsBrokerage.cs.

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◆ OnMessage()

abstract void QuantConnect.Brokerages.BaseWebsocketsBrokerage.OnMessage	(	object	sender,
		WebSocketMessage	e
	)

protectedpure virtual

Handles websocket received messages

Parameters

sender
e

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◆ Connect()

override void QuantConnect.Brokerages.BaseWebsocketsBrokerage.Connect ( )

virtual

Creates wss connection, monitors for disconnection and re-connects when necessary

Implements QuantConnect.Brokerages.Brokerage.

Definition at line 127 of file BaseWebsocketsBrokerage.cs.

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◆ Subscribe()

abstract bool QuantConnect.Brokerages.BaseWebsocketsBrokerage.Subscribe ( IEnumerable< Symbol > symbols )

protectedpure virtual

Handles the creation of websocket subscriptions

Parameters

symbols

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◆ GetSubscribed()

virtual IEnumerable<Symbol> QuantConnect.Brokerages.BaseWebsocketsBrokerage.GetSubscribed ( )

protectedvirtual

Gets a list of current subscriptions

Returns

Definition at line 147 of file BaseWebsocketsBrokerage.cs.

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◆ ConnectSync()

void QuantConnect.Brokerages.BaseWebsocketsBrokerage.ConnectSync ( )

protected

Start websocket connect

Definition at line 155 of file BaseWebsocketsBrokerage.cs.

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Property Documentation

◆ IsInitialized

bool QuantConnect.Brokerages.BaseWebsocketsBrokerage.IsInitialized

getsetprotected

True if the current brokerage is already initialized

Definition at line 39 of file BaseWebsocketsBrokerage.cs.

◆ WebSocket

IWebSocket QuantConnect.Brokerages.BaseWebsocketsBrokerage.WebSocket

getsetprotected

The websockets client instance

Definition at line 44 of file BaseWebsocketsBrokerage.cs.

◆ RestClient

IRestClient QuantConnect.Brokerages.BaseWebsocketsBrokerage.RestClient

getsetprotected

The rest client instance

Definition at line 49 of file BaseWebsocketsBrokerage.cs.

◆ JsonSettings

JsonSerializerSettings QuantConnect.Brokerages.BaseWebsocketsBrokerage.JsonSettings

getsetprotected

standard json parsing settings

Definition at line 54 of file BaseWebsocketsBrokerage.cs.

◆ CachedOrderIDs

ConcurrentDictionary<int, Orders.Order> QuantConnect.Brokerages.BaseWebsocketsBrokerage.CachedOrderIDs

getset

A list of currently active orders

Definition at line 59 of file BaseWebsocketsBrokerage.cs.

◆ ApiSecret

string QuantConnect.Brokerages.BaseWebsocketsBrokerage.ApiSecret

getsetprotected

The api secret

Definition at line 64 of file BaseWebsocketsBrokerage.cs.

◆ ApiKey

string QuantConnect.Brokerages.BaseWebsocketsBrokerage.ApiKey

getsetprotected

The api key

Definition at line 69 of file BaseWebsocketsBrokerage.cs.

◆ SubscriptionManager

DataQueueHandlerSubscriptionManager QuantConnect.Brokerages.BaseWebsocketsBrokerage.SubscriptionManager

getsetprotected

Count subscribers for each (symbol, tickType) combination

Definition at line 74 of file BaseWebsocketsBrokerage.cs.

The documentation for this class was generated from the following file:

Brokerages/BaseWebsocketsBrokerage.cs

Public Member Functions

Protected Member Functions

Properties

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ BaseWebsocketsBrokerage()

Member Function Documentation

◆ Initialize()

◆ OnMessage()

◆ Connect()

◆ Subscribe()

◆ GetSubscribed()

◆ ConnectSync()

Property Documentation

◆ IsInitialized

◆ WebSocket

◆ RestClient

◆ JsonSettings

◆ CachedOrderIDs

◆ ApiSecret

◆ ApiKey

◆ SubscriptionManager