Models brokerage transactions, fees, and order More...

Inheritance diagram for QuantConnect.Brokerages.IBrokerageModel:

Public Member Functions
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...

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...

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...

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

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

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

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

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

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

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

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

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

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

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

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

Properties
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

Models brokerage transactions, fees, and order

Definition at line 34 of file IBrokerageModel.cs.

Member Function Documentation

◆ CanSubmitOrder()

bool QuantConnect.Brokerages.IBrokerageModel.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.

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

◆ CanUpdateOrder()

bool QuantConnect.Brokerages.IBrokerageModel.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

Parameters

security	The security of the order
order	The order to be updated
request	The requested updated 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

◆ CanExecuteOrder()

bool QuantConnect.Brokerages.IBrokerageModel.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.

Parameters

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

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

Implemented in QuantConnect.Brokerages.InteractiveBrokersBrokerageModel, QuantConnect.Brokerages.TradingTechnologiesBrokerageModel, QuantConnect.Brokerages.TradierBrokerageModel, QuantConnect.Brokerages.DefaultBrokerageModel, QuantConnect.Python.BrokerageModelPythonWrapper, QuantConnect.Brokerages.ZerodhaBrokerageModel, and QuantConnect.Brokerages.SamcoBrokerageModel.

◆ ApplySplit()

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

Applies the split to the specified order ticket

Parameters

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

Implemented in QuantConnect.Brokerages.TradierBrokerageModel, QuantConnect.Brokerages.DefaultBrokerageModel, and QuantConnect.Python.BrokerageModelPythonWrapper.

◆ GetLeverage()

decimal QuantConnect.Brokerages.IBrokerageModel.GetLeverage ( Security security )

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

◆ GetBenchmark()

IBenchmark QuantConnect.Brokerages.IBrokerageModel.GetBenchmark ( SecurityManager securities )

Get the benchmark for this model

Parameters

securities SecurityService to create the security with if needed

Returns: The benchmark for this brokerage

◆ GetFillModel()

IFillModel QuantConnect.Brokerages.IBrokerageModel.GetFillModel ( Security security )

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

Implemented in QuantConnect.Brokerages.DefaultBrokerageModel, and QuantConnect.Python.BrokerageModelPythonWrapper.

◆ GetFeeModel()

IFeeModel QuantConnect.Brokerages.IBrokerageModel.GetFeeModel ( Security security )

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

◆ GetSlippageModel()

ISlippageModel QuantConnect.Brokerages.IBrokerageModel.GetSlippageModel ( Security security )

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

Implemented in QuantConnect.Brokerages.DefaultBrokerageModel, QuantConnect.Python.BrokerageModelPythonWrapper, and QuantConnect.Brokerages.AlphaStreamsBrokerageModel.

◆ GetSettlementModel() [1/2]

ISettlementModel QuantConnect.Brokerages.IBrokerageModel.GetSettlementModel ( Security security )

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

Implemented in QuantConnect.Brokerages.DefaultBrokerageModel, QuantConnect.Python.BrokerageModelPythonWrapper, QuantConnect.Brokerages.FxcmBrokerageModel, QuantConnect.Brokerages.OandaBrokerageModel, and QuantConnect.Brokerages.AlphaStreamsBrokerageModel.

◆ GetMarginInterestRateModel()

IMarginInterestRateModel QuantConnect.Brokerages.IBrokerageModel.GetMarginInterestRateModel ( Security security )

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

Implemented in QuantConnect.Brokerages.DefaultBrokerageModel, QuantConnect.Python.BrokerageModelPythonWrapper, and QuantConnect.Brokerages.BinanceFuturesBrokerageModel.

◆ GetSettlementModel() [2/2]

ISettlementModel QuantConnect.Brokerages.IBrokerageModel.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

Implemented in QuantConnect.Brokerages.DefaultBrokerageModel, and QuantConnect.Python.BrokerageModelPythonWrapper.

◆ GetBuyingPowerModel() [1/2]

IBuyingPowerModel QuantConnect.Brokerages.IBrokerageModel.GetBuyingPowerModel ( Security security )

Gets a new buying power model for the security

Parameters

security The security to get a buying power model for

Returns: The buying power model for this brokerage/security

Implemented in QuantConnect.Brokerages.DefaultBrokerageModel, QuantConnect.Python.BrokerageModelPythonWrapper, and QuantConnect.Brokerages.CoinbaseBrokerageModel.

◆ GetBuyingPowerModel() [2/2]

IBuyingPowerModel QuantConnect.Brokerages.IBrokerageModel.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

Implemented in QuantConnect.Brokerages.DefaultBrokerageModel, and QuantConnect.Python.BrokerageModelPythonWrapper.

◆ GetShortableProvider()

IShortableProvider QuantConnect.Brokerages.IBrokerageModel.GetShortableProvider ( Security security )

Gets the shortable provider

Returns: Shortable provider

Implemented in QuantConnect.Brokerages.DefaultBrokerageModel, QuantConnect.Python.BrokerageModelPythonWrapper, and QuantConnect.Brokerages.AxosClearingBrokerageModel.

Property Documentation

◆ AccountType

AccountType QuantConnect.Brokerages.IBrokerageModel.AccountType

get

Gets the account type used by this model

Definition at line 40 of file IBrokerageModel.cs.

◆ RequiredFreeBuyingPowerPercent

decimal QuantConnect.Brokerages.IBrokerageModel.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.

Definition at line 49 of file IBrokerageModel.cs.

◆ DefaultMarkets

IReadOnlyDictionary<SecurityType, string> QuantConnect.Brokerages.IBrokerageModel.DefaultMarkets

get

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

Definition at line 56 of file IBrokerageModel.cs.

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

Common/Brokerages/IBrokerageModel.cs

Public Member Functions

Properties

Detailed Description

Member Function Documentation

◆ CanSubmitOrder()

◆ CanUpdateOrder()

◆ CanExecuteOrder()

◆ ApplySplit()

◆ GetLeverage()

◆ GetBenchmark()

◆ GetFillModel()

◆ GetFeeModel()

◆ GetSlippageModel()

◆ GetSettlementModel() [1/2]

◆ GetMarginInterestRateModel()

◆ GetSettlementModel() [2/2]

◆ GetBuyingPowerModel() [1/2]

◆ GetBuyingPowerModel() [2/2]

◆ GetShortableProvider()

Property Documentation

◆ AccountType

◆ RequiredFreeBuyingPowerPercent

◆ DefaultMarkets