Provides a default implementation of IBrokerageModel that allows all orders and uses the default transaction models More...

Inheritance diagram for QuantConnect.Brokerages.DefaultBrokerageModel:

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Public Member Functions
	DefaultBrokerageModel (AccountType accountType=AccountType.Margin)
	Initializes a new instance of the DefaultBrokerageModel class More...

virtual bool	CanSubmitOrder (Security security, Order order, out BrokerageMessageEvent message)
	Returns true if the brokerage could accept this order. This takes into account order type, security type, and order size limits. More...

virtual bool	CanUpdateOrder (Security security, Order order, UpdateOrderRequest request, out BrokerageMessageEvent message)
	Returns true if the brokerage would allow updating the order as specified by the request More...

virtual bool	CanExecuteOrder (Security security, Order order)
	Returns true if the brokerage would be able to execute this order at this time assuming market prices are sufficient for the fill to take place. This is used to emulate the brokerage fills in backtesting and paper trading. For example some brokerages may not perform executions during extended market hours. This is not intended to be checking whether or not the exchange is open, that is handled in the Security.Exchange property. More...

virtual void	ApplySplit (List< OrderTicket > tickets, Split split)
	Applies the split to the specified order ticket More...

virtual decimal	GetLeverage (Security security)
	Gets the brokerage's leverage for the specified security More...

virtual IBenchmark	GetBenchmark (SecurityManager securities)
	Get the benchmark for this model More...

virtual IFillModel	GetFillModel (Security security)
	Gets a new fill model that represents this brokerage's fill behavior More...

virtual IFeeModel	GetFeeModel (Security security)
	Gets a new fee model that represents this brokerage's fee structure More...

virtual ISlippageModel	GetSlippageModel (Security security)
	Gets a new slippage model that represents this brokerage's fill slippage behavior More...

virtual ISettlementModel	GetSettlementModel (Security security)
	Gets a new settlement model for the security More...

ISettlementModel	GetSettlementModel (Security security, AccountType accountType)
	Gets a new settlement model for the security More...

virtual IBuyingPowerModel	GetBuyingPowerModel (Security security)
	Gets a new buying power model for the security, returning the default model with the security's configured leverage. For cash accounts, leverage = 1 is used. More...

virtual IShortableProvider	GetShortableProvider (Security security)
	Gets the shortable provider More...

virtual IMarginInterestRateModel	GetMarginInterestRateModel (Security security)
	Gets a new margin interest rate model for the security More...

IBuyingPowerModel	GetBuyingPowerModel (Security security, AccountType accountType)
	Gets a new buying power model for the security More...

Static Public Member Functions
static bool	IsValidOrderSize (Security security, decimal orderQuantity, out BrokerageMessageEvent message)
	Checks if the order quantity is valid, it means, the order size is bigger than the minimum size allowed More...

Public Attributes
virtual decimal	RequiredFreeBuyingPowerPercent => 0m
	Gets the brokerages model percentage factor used to determine the required unused buying power for the account. From 1 to 0. Example: 0 means no unused buying power is required. 0.5 means 50% of the buying power should be left unused. More...

Static Public Attributes
static readonly IReadOnlyDictionary< SecurityType, string >	DefaultMarketMap
	The default markets for the backtesting brokerage More...

Properties
virtual AccountType	AccountType `[get]`
	Gets or sets the account type used by this model More...

virtual IReadOnlyDictionary< SecurityType, string >	DefaultMarkets `[get]`
	Gets a map of the default markets to be used for each security type More...

Properties inherited from QuantConnect.Brokerages.IBrokerageModel
AccountType	AccountType `[get]`
	Gets the account type used by this model More...

decimal	RequiredFreeBuyingPowerPercent `[get]`
	Gets the brokerages model percentage factor used to determine the required unused buying power for the account. From 1 to 0. Example: 0 means no unused buying power is required. 0.5 means 50% of the buying power should be left unused. More...

IReadOnlyDictionary< SecurityType, string >	DefaultMarkets `[get]`
	Gets a map of the default markets to be used for each security type More...

Detailed Description

Provides a default implementation of IBrokerageModel that allows all orders and uses the default transaction models

Definition at line 39 of file DefaultBrokerageModel.cs.

Constructor & Destructor Documentation

◆ DefaultBrokerageModel()

QuantConnect.Brokerages.DefaultBrokerageModel.DefaultBrokerageModel ( AccountType accountType = AccountType.Margin )

Initializes a new instance of the DefaultBrokerageModel class

Parameters

accountType The type of account to be modelled, defaults to QuantConnect.AccountType.Margin

Definition at line 87 of file DefaultBrokerageModel.cs.

Member Function Documentation

◆ CanSubmitOrder()

virtual bool QuantConnect.Brokerages.DefaultBrokerageModel.CanSubmitOrder	(	Security	security,
		Order	order,
		out BrokerageMessageEvent	message
	)

virtual

Returns true if the brokerage could accept this order. This takes into account order type, security type, and order size limits.

For example, a brokerage may have no connectivity at certain times, or an order rate/size limit

Parameters

security	The security being ordered
order	The order to be processed
message	If this function returns false, a brokerage message detailing why the order may not be submitted

Returns: True if the brokerage could process the order, false otherwise

Implements QuantConnect.Brokerages.IBrokerageModel.

Definition at line 103 of file DefaultBrokerageModel.cs.

◆ CanUpdateOrder()

virtual bool QuantConnect.Brokerages.DefaultBrokerageModel.CanUpdateOrder	(	Security	security,
		Order	order,
		UpdateOrderRequest	request,
		out BrokerageMessageEvent	message
	)

virtual

Returns true if the brokerage would allow updating the order as specified by the request

Parameters

security	The security of the order
order	The order to be updated
request	The requested update to be made to the order
message	If this function returns false, a brokerage message detailing why the order may not be updated

Returns: True if the brokerage would allow updating the order, false otherwise

Implements QuantConnect.Brokerages.IBrokerageModel.

Definition at line 124 of file DefaultBrokerageModel.cs.

◆ CanExecuteOrder()

virtual bool QuantConnect.Brokerages.DefaultBrokerageModel.CanExecuteOrder	(	Security	security,
		Order	order
	)

virtual

Returns true if the brokerage would be able to execute this order at this time assuming market prices are sufficient for the fill to take place. This is used to emulate the brokerage fills in backtesting and paper trading. For example some brokerages may not perform executions during extended market hours. This is not intended to be checking whether or not the exchange is open, that is handled in the Security.Exchange property.

Parameters

security	The security being traded
order	The order to test for execution

Returns: True if the brokerage would be able to perform the execution, false otherwise

Implements QuantConnect.Brokerages.IBrokerageModel.

Reimplemented in QuantConnect.Brokerages.InteractiveBrokersBrokerageModel, QuantConnect.Brokerages.TradingTechnologiesBrokerageModel, QuantConnect.Brokerages.TradierBrokerageModel, QuantConnect.Brokerages.ZerodhaBrokerageModel, and QuantConnect.Brokerages.SamcoBrokerageModel.

Definition at line 140 of file DefaultBrokerageModel.cs.

◆ ApplySplit()

virtual void QuantConnect.Brokerages.DefaultBrokerageModel.ApplySplit	(	List< OrderTicket >	tickets,
		Split	split
	)

virtual

Applies the split to the specified order ticket

This default implementation will update the orders to maintain a similar market value

Parameters

tickets	The open tickets matching the split event
split	The split event data

Implements QuantConnect.Brokerages.IBrokerageModel.

Reimplemented in QuantConnect.Brokerages.TradierBrokerageModel.

Definition at line 153 of file DefaultBrokerageModel.cs.

◆ GetLeverage()

virtual decimal QuantConnect.Brokerages.DefaultBrokerageModel.GetLeverage ( Security security )

virtual

Gets the brokerage's leverage for the specified security

Parameters

security The security's whose leverage we seek

Returns: The leverage for the specified security

Implements QuantConnect.Brokerages.IBrokerageModel.

Definition at line 172 of file DefaultBrokerageModel.cs.

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◆ GetBenchmark()

virtual IBenchmark QuantConnect.Brokerages.DefaultBrokerageModel.GetBenchmark ( SecurityManager securities )

virtual

Get the benchmark for this model

Parameters

securities SecurityService to create the security with if needed

Returns: The benchmark for this brokerage

Implements QuantConnect.Brokerages.IBrokerageModel.

Definition at line 211 of file DefaultBrokerageModel.cs.

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◆ GetFillModel()

virtual IFillModel QuantConnect.Brokerages.DefaultBrokerageModel.GetFillModel ( Security security )

virtual

Gets a new fill model that represents this brokerage's fill behavior

Parameters

security The security to get fill model for

Returns: The new fill model for this brokerage

Implements QuantConnect.Brokerages.IBrokerageModel.

Definition at line 222 of file DefaultBrokerageModel.cs.

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◆ GetFeeModel()

virtual IFeeModel QuantConnect.Brokerages.DefaultBrokerageModel.GetFeeModel ( Security security )

virtual

Gets a new fee model that represents this brokerage's fee structure

Parameters

security The security to get a fee model for

Returns: The new fee model for this brokerage

Implements QuantConnect.Brokerages.IBrokerageModel.

Definition at line 252 of file DefaultBrokerageModel.cs.

◆ GetSlippageModel()

virtual ISlippageModel QuantConnect.Brokerages.DefaultBrokerageModel.GetSlippageModel ( Security security )

virtual

Gets a new slippage model that represents this brokerage's fill slippage behavior

Parameters

security The security to get a slippage model for

Returns: The new slippage model for this brokerage

Implements QuantConnect.Brokerages.IBrokerageModel.

Reimplemented in QuantConnect.Brokerages.AlphaStreamsBrokerageModel.

Definition at line 281 of file DefaultBrokerageModel.cs.

◆ GetSettlementModel() [1/2]

virtual ISettlementModel QuantConnect.Brokerages.DefaultBrokerageModel.GetSettlementModel ( Security security )

virtual

Gets a new settlement model for the security

Parameters

security The security to get a settlement model for

Returns: The settlement model for this brokerage

Implements QuantConnect.Brokerages.IBrokerageModel.

Reimplemented in QuantConnect.Brokerages.FxcmBrokerageModel, QuantConnect.Brokerages.OandaBrokerageModel, and QuantConnect.Brokerages.AlphaStreamsBrokerageModel.

Definition at line 291 of file DefaultBrokerageModel.cs.

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◆ GetSettlementModel() [2/2]

ISettlementModel QuantConnect.Brokerages.DefaultBrokerageModel.GetSettlementModel	(	Security	security,
		AccountType	accountType
	)

Gets a new settlement model for the security

Parameters

security	The security to get a settlement model for
accountType	The account type

Returns: The settlement model for this brokerage

Implements QuantConnect.Brokerages.IBrokerageModel.

Definition at line 320 of file DefaultBrokerageModel.cs.

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◆ GetBuyingPowerModel() [1/2]

virtual IBuyingPowerModel QuantConnect.Brokerages.DefaultBrokerageModel.GetBuyingPowerModel ( Security security )

virtual

Gets a new buying power model for the security, returning the default model with the security's configured leverage. For cash accounts, leverage = 1 is used.

Parameters

security The security to get a buying power model for

Returns: The buying power model for this brokerage/security

Implements QuantConnect.Brokerages.IBrokerageModel.

Reimplemented in QuantConnect.Brokerages.CoinbaseBrokerageModel.

Definition at line 331 of file DefaultBrokerageModel.cs.

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◆ GetShortableProvider()

virtual IShortableProvider QuantConnect.Brokerages.DefaultBrokerageModel.GetShortableProvider ( Security security )

virtual

Gets the shortable provider

Returns: Shortable provider

Implements QuantConnect.Brokerages.IBrokerageModel.

Reimplemented in QuantConnect.Brokerages.AxosClearingBrokerageModel.

Definition at line 355 of file DefaultBrokerageModel.cs.

◆ GetMarginInterestRateModel()

virtual IMarginInterestRateModel QuantConnect.Brokerages.DefaultBrokerageModel.GetMarginInterestRateModel ( Security security )

virtual

Gets a new margin interest rate model for the security

Parameters

security The security to get a margin interest rate model for

Returns: The margin interest rate model for this brokerage

Implements QuantConnect.Brokerages.IBrokerageModel.

Reimplemented in QuantConnect.Brokerages.BinanceFuturesBrokerageModel.

Definition at line 368 of file DefaultBrokerageModel.cs.

◆ GetBuyingPowerModel() [2/2]

IBuyingPowerModel QuantConnect.Brokerages.DefaultBrokerageModel.GetBuyingPowerModel	(	Security	security,
		AccountType	accountType
	)

Gets a new buying power model for the security

Parameters

security	The security to get a buying power model for
accountType	The account type

Returns: The buying power model for this brokerage/security

Implements QuantConnect.Brokerages.IBrokerageModel.

Definition at line 380 of file DefaultBrokerageModel.cs.

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◆ IsValidOrderSize()

static bool QuantConnect.Brokerages.DefaultBrokerageModel.IsValidOrderSize	(	Security	security,
		decimal	orderQuantity,
		out BrokerageMessageEvent	message
	)

static

Checks if the order quantity is valid, it means, the order size is bigger than the minimum size allowed

Parameters

security	The security of the order
orderQuantity	The quantity of the order to be processed
message	If this function returns false, a brokerage message detailing why the order may be invalid

Returns: True if the order quantity is bigger than the minimum allowed, false otherwise

Definition at line 392 of file DefaultBrokerageModel.cs.

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Member Data Documentation

◆ DefaultMarketMap

readonly IReadOnlyDictionary<SecurityType, string> QuantConnect.Brokerages.DefaultBrokerageModel.DefaultMarketMap

static

Initial value:

= new Dictionary<SecurityType, string>
        {
            {SecurityType.Base, Market.USA},
            {SecurityType.Equity, Market.USA},
            {SecurityType.Option, Market.USA},
            {SecurityType.Future, Market.CME},
            {SecurityType.FutureOption, Market.CME},
            {SecurityType.Forex, Market.Oanda},
            {SecurityType.Cfd, Market.Oanda},
            {SecurityType.Crypto, Market.Coinbase},
            {SecurityType.CryptoFuture, Market.Binance},
            {SecurityType.Index, Market.USA},
            {SecurityType.IndexOption, Market.USA}
        }.ToReadOnlyDictionary()

The default markets for the backtesting brokerage

Definition at line 44 of file DefaultBrokerageModel.cs.

◆ RequiredFreeBuyingPowerPercent

virtual decimal QuantConnect.Brokerages.DefaultBrokerageModel.RequiredFreeBuyingPowerPercent => 0m

Gets the brokerages model percentage factor used to determine the required unused buying power for the account. From 1 to 0. Example: 0 means no unused buying power is required. 0.5 means 50% of the buying power should be left unused.

Definition at line 72 of file DefaultBrokerageModel.cs.

Property Documentation

◆ AccountType

virtual AccountType QuantConnect.Brokerages.DefaultBrokerageModel.AccountType

get

Gets or sets the account type used by this model

Definition at line 63 of file DefaultBrokerageModel.cs.

◆ DefaultMarkets

virtual IReadOnlyDictionary<SecurityType, string> QuantConnect.Brokerages.DefaultBrokerageModel.DefaultMarkets

get

Gets a map of the default markets to be used for each security type

Definition at line 78 of file DefaultBrokerageModel.cs.

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

Common/Brokerages/DefaultBrokerageModel.cs

Public Member Functions

Static Public Member Functions

Public Attributes

Static Public Attributes

Properties

Detailed Description

Constructor & Destructor Documentation

◆ DefaultBrokerageModel()

Member Function Documentation

◆ CanSubmitOrder()

◆ CanUpdateOrder()

◆ CanExecuteOrder()

◆ ApplySplit()

◆ GetLeverage()

◆ GetBenchmark()

◆ GetFillModel()

◆ GetFeeModel()

◆ GetSlippageModel()

◆ GetSettlementModel() [1/2]

◆ GetSettlementModel() [2/2]

◆ GetBuyingPowerModel() [1/2]

◆ GetShortableProvider()

◆ GetMarginInterestRateModel()

◆ GetBuyingPowerModel() [2/2]

◆ IsValidOrderSize()

Member Data Documentation

◆ DefaultMarketMap

◆ RequiredFreeBuyingPowerPercent

Property Documentation

◆ AccountType

◆ DefaultMarkets