Brokerages
Key Concepts
Introduction
Brokerages provide you with a connection to the market so you can fill trades. Brokerage models simulate the live behavior of a real brokerage. To avoid sending invalid orders for execution in live trading, the brokerage model validates your orders before LEAN sends them to the real brokerage. Brokerage models combine together all of the models relevant for a brokerage. If you set the appropriate brokerage model, the fee models, supported order types, and other security level models are appropriately set in your algorithm.
Set Models
To set a brokerage model, in the Initialize method, call the SetBrokerageModel method with a BrokerageName and an AccountType. If you set a brokerage model, it overrides any security level models you manually set in your algorithm.
SetBrokerageModel(BrokerageName.OandaBrokerage); // Defaults to margin account SetBrokerageModel(BrokerageName.Bitfinex, AccountType.Margin); // Overrides the default account type
self.SetBrokerageModel(BrokerageName.OandaBrokerage) # Defaults to margin account self.SetBrokerageModel(BrokerageName.Bitfinex, AccountType.Margin) # Overrides the default account type
In live trading, LEAN doesn't ignore your SetBrokerageModel method calls. LEAN uses some of the brokerage model rules to catch invalid orders before they reach your real brokerage.
To view all the pre-built brokerage models, see Supported Models.
Default Behavior
The default brokerage model is the DefaultBrokerageModel, but LEAN has many other brokerage models you can use in your algorithms. To check the security level models the DefaultBrokerageModel assigns to securities in your algorithm, see the following pages:
To check the margin call model that the DefaultBrokerageModel uses, see Margin Calls.
Model Structure
Brokerage models should extend the DefaultBrokerageModel class. Extensions of the DefaultBrokerageModel class should implement the following methods:
class MyBrokerageModel : DefaultBrokerageModel
{
public static new readonly IReadOnlyDictionary<SecurityType, string> DefaultMarketMap;
public override decimal RequiredFreeBuyingPowerPercent { get; }
public override IReadOnlyDictionary<SecurityType, string> DefaultMarkets => DefaultMarketMap;
public MyBrokerageModel(AccountType accountType = AccountType.Margin)
: base(accountType)
{
ShortableProvider = new NullShortableProvider();
}
public override bool CanSubmitOrder(Security security, Order order,
out BrokerageMessageEvent message)
{
return base.CanSubmitOrder(security, order, out message);
}
public override bool CanUpdateOrder(Security security, Order order,
UpdateOrderRequest request, out BrokerageMessageEvent message)
{
return base.CanUpdateOrder(security, order, request, out message);
}
public override bool CanExecuteOrder(Security security, Order order)
{
return base.CanExecuteOrder(security, order);
}
public override void ApplySplit(List<OrderTicket> tickets, Split split)
{
base.ApplySplit(tickets, split);
}
public override decimal GetLeverage(Security security)
{
return base.GetLeverage(security);
}
public override IBenchmark GetBenchmark(SecurityManager securities)
{
return base.GetBenchmark(securities);
}
public override IFillModel GetFillModel(Security security)
{
return base.GetFillModel(security);
}
public override IFeeModel GetFeeModel(Security security)
{
return base.GetFeeModel(security);
}
public override ISlippageModel GetSlippageModel(Security security)
{
return base.GetSlippageModel(security);
}
public override ISettlementModel GetSettlementModel(Security security)
{
return base.GetSettlementModel(security);
}
public override IBuyingPowerModel GetBuyingPowerModel(Security security)
{
return base.GetBuyingPowerModel(security);
}
public override IMarginInterestRateModel GetMarginInterestRateModel(Security security)
{
return base.GetMarginInterestRateModel(security);
}
public override IShortableProvider GetShortableProvider()
{
return ShortableProvider;
}
}
class MyBrokerageModel(DefaultBrokerageModel):
DefaultMarkets = {}
RequiredFreeBuyingPowerPercent = 0
def __init__(self, accountType: AccountType = AccountType.Margin):
self.AccountType = accountType
self.ShortableProvider = NullShortableProvider()
def CanSubmitOrder(self, security: Security, order: Order,
message: BrokerageMessageEvent) -> bool:
return super().CanSubmitOrder(security, order, message)
def CanUpdateOrder(self, security: Security, order: Order,
request: UpdateOrderRequest, message: BrokerageMessageEvent) -> bool:
return super().CanUpdateOrder(security, order, request, message)
def CanExecuteOrder(self, security: Security, order: Order) -> bool:
return super().CanExecuteOrder(security, order)
def ApplySplit(self, tickets: List[OrderTicket], split: Split) -> None:
super().ApplySplit(tickets, split)
def GetLeverage(self, security: Security) -> float:
return super().GetLeverage(security)
def GetBenchmark(self, securities: SecurityManager) -> IBenchmark:
return super().GetBenchmark(securities)
def GetFillModel(self, security: Security) -> IFillModel:
return super().GetFillModel(security)
def GetFeeModel(self, security: Security) -> IFeeModel:
return super().GetFeeModel(security)
def GetSlippageModel(self, security: Security) -> ISlippageModel:
return super().GetSlippageModel(security)
def GetSettlementModel(self, security: Security) -> ISettlementModel:
return super().GetSettlementModel(security)
def GetBuyingPowerModel(self, security: Security) -> IBuyingPowerModel:
return super().GetBuyingPowerModel(security)
def GetMarginInterestRateModel(self, security: Security) -> IMarginInterestRateModel:
return super().GetMarginInterestRateModel(security)
def GetShortableProvider(self) -> IShortableProvider:
return self.ShortableProvider
Custom brokerage models give you enormous control over your algorithm behavior and allows you to model virtually any brokerage in the world.
Examples
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