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Supported Models

Alpaca

Introduction

This page explains the AlpacaBrokerageModel, including the asset classes it supports, its default security-level models, and its default markets.

SetBrokerageModel(BrokerageName.Alpaca, AccountType.Cash);
SetBrokerageModel(BrokerageName.Alpaca, AccountType.Margin);
self.set_brokerage_model(BrokerageName.ALPACA, AccountType.CASH)
self.set_brokerage_model(BrokerageName.ALPACA, AccountType.MARGIN)

To view the implementation of this model, see the LEAN GitHub repository.

Asset Classes

The AlpacaBrokerageModel supports the following asset classes:

Orders

The AlpacaBrokerageModel supports several order types, order properties, and most order updates.

Order Types

The following table describes the available order types for each asset class that the AlpacaBrokerageModel supports:

Order TypeEquityEquity OptionsCrypto
Marketgreen checkgreen checkgreen check
Limitgreen checkgreen checkgreen check
Stop marketgreen checkgreen checkgreen check
Stop limitgreen checkgreen checkgreen check
Market on Opengreen check
Market on Closegreen check

Order Properties

The AlpacaBrokerageModel supports custom order properties. The following table describes the members of the AlpacaOrderProperties object that you can set to customize order execution.

PropertyData TypeDescriptionDefault Value
TimeInForcetime_in_forceTimeInForceA TimeInForce instruction to apply to the order. The following instructions are supported:
  • DayDAY
  • GoodTilCanceledGOOD_TIL_CANCELED
  • GoodTilDategood_til_date
TimeInForce.GoodTilCanceledTimeInForce.GOOD_TIL_CANCELED
OutsideRegularTradingHoursoutside_regular_trading_hoursboolA flag to signal that the order may be triggered and filled outside of regular trading hours.falseFalse
 
public override void Initialize()
{
    // Set the default order properties
    DefaultOrderProperties = new AlpacaOrderProperties
    {
        OutsideRegularTradingHours = false,
        TimeInForce = TimeInForce.GoodTilCanceled
    };
}

public override void OnData(Slice slice)
{
    // Use default order order properties
    LimitOrder(_symbol, quantity, limitPrice);
    
    // Override the default order properties
    LimitOrder(_symbol, quantity, limitPrice, 
               orderProperties: new AlpacaOrderProperties
               { 
                   TimeInForce = TimeInForce.Day
               });
    LimitOrder(_symbol, quantity, limitPrice, 
               orderProperties: new AlpacaOrderProperties
               { 
                   OutsideRegularTradingHours = true,
                   TimeInForce = TimeInForce.GoodTilDate(new DateTime(year, month, day))
               });
}
def initialize(self) -> None:
    # Set the default order properties
    self.default_order_properties = AlpacaOrderProperties()
    self.default_order_properties.outside_regular_trading_hours = False
    self.default_order_properties.time_in_force = TimeInForce.GOOD_TIL_CANCELED

def on_data(self, slice: Slice) -> None:
    # Use default order order properties
    self.limit_order(self._symbol, quantity, limit_price)
    
    # Override the default order properties
    order_properties = AlpacaOrderProperties()
    order_properties.time_in_force = TimeInForce.DAY
    self.limit_order(self._symbol, quantity, limit_price, order_properties=order_properties)

    order_properties.time_in_force = TimeInForce.good_til_date(datetime(year, month, day))
    order_properties.outside_regular_trading_hours = True
    self.limit_order(self._symbol, quantity, limit_price, order_properties=order_properties)

Updates

The AlpacaBrokerageModel supports order updates.

Handling Splits

If you're using raw data normalization and you have active orders with a limit, stop, or trigger price in the market for a US Equity when a stock split occurs, the following properties of your orders automatically adjust to reflect the stock split:

  • Quantity
  • Limit price
  • Stop price
  • Trigger price

Fills

The AlpacaBrokerageModel uses the EquityFillModel for Equity trades and the ImmediateFillModel for Option and Crypto trades.

Slippage

The AlpacaBrokerageModel uses the NullSlippageModel.

Fees

The AlpacaBrokerageModel uses the AlpacaFeeModel with the default argument values. We model current Alpaca fees on all assets.

Buying Power

The AlpacaBrokerageModel uses the CashBuyingPowerModel for cash accounts, the SecurityMarginModel for margin accounts, and the OptionMarginModel for Option trades.

If you have a margin account, the AlpacaBrokerageModel allows 2x leverage for Equities and 3x leverage for Crypto.

Settlement

The AlpacaBrokerageModel uses the ImmediateSettlementModel for margin accounts and the DelayedSettlementModel with the default settlement rules for cash accounts with Equity and Equity Options.

// For US Equities with a cash account:
security.SetSettlementModel(new DelayedSettlementModel(Equity.DefaultSettlementDays, Equity.DefaultSettlementTime));

// For Equity Options with a cash account:
security.SetSettlementModel(new DelayedSettlementModel(Option.DefaultSettlementDays, Option.DefaultSettlementTime));

// For remaining cases:
security.SetSettlementModel(new ImmediateSettlementModel());
# For US Equities with a cash account:
security.set_settlement_model(DelayedSettlementModel(Equity.DEFAULT_SETTLEMENT_DAYS, Equity.DEFAULT_SETTLEMENT_TIME))

# For Equity Options with a cash account:
security.set_settlement_model(DelayedSettlementModel(Option.DEFAULT_SETTLEMENT_DAYS, Option.DEFAULT_SETTLEMENT_TIME))

# For remaining cases:
security.set_settlement_model(ImmediateSettlementModel())

Margin Interest Rate

The AlpacaBrokerageModel uses the NullMarginInterestRateModel.

Default Markets

The default market of the AlpacaBrokerageModel is Market.USA for Equity and Equity Options. It's Market.CoinbaseMarket.COINBASE for Crypto.

Account Currency

The AlpacaBrokerageModel doesn't set a default currency. To change the algorithm's currency from USD to a different currency, see Set Account Currency.

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