Supported Models

Bloomberg

Introduction

This page explains the Bloomberg™ brokerage models, including the asset classes they support, their default security-level models, and their default markets.

// Terminal Link (Bloomberg EMSX)
SetBrokerageModel(BrokerageName.TerminalLink, AccountType.Cash);
SetBrokerageModel(BrokerageName.TerminalLink, AccountType.Margin);

// Bloomberg FIX
SetBrokerageModel(BrokerageName.BloombergFix, AccountType.Margin);
# Terminal Link (Bloomberg EMSX)
self.set_brokerage_model(BrokerageName.TERMINAL_LINK, AccountType.CASH)
self.set_brokerage_model(BrokerageName.TERMINAL_LINK, AccountType.MARGIN)

# Bloomberg FIX
self.set_brokerage_model(BrokerageName.BLOOMBERG_FIX, AccountType.MARGIN)

Both models support the same asset classes and use the same default security-level models. They differ in the order types they accept, whether they accept order updates, and the order properties class they use. The BloombergFixBrokerageModel only supports margin accounts, so it throws an exception if you pass AccountType.CashAccountType.CASH.

For more information about these models, see their respective class reference and implementation.

ModelClass ReferenceImplementation
TerminalLinkBrokerageModel Example Example Example
BloombergFixBrokerageModel Example Example Example

Asset Classes

Terminal Link and the Bloomberg™ FIX connection both support trading the following asset classes:

Orders

Both Bloomberg™ connections enable you to create and manage Bloomberg™ orders. Terminal Link routes them through the Execution Management System (EMSX), while the Bloomberg™ FIX connection routes them through the FixNet HUB.

Order Types

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

Order TypeEquityEquity OptionsIndex OptionsFutures
Marketgreen checkgreen checkgreen checkgreen check
Market on opengreen check
Limitgreen checkgreen checkgreen checkgreen check
Stop marketgreen checkgreen checkgreen checkgreen check
Stop limitgreen checkgreen checkgreen checkgreen check

The following table describes the available order types for each asset class that the Bloomberg™ FIX connection supports:

Order TypeEquityEquity OptionsIndex OptionsFutures
Marketgreen checkgreen checkgreen checkgreen check
Market on opengreen checkgreen checkgreen check
Market on closegreen checkgreen checkgreen checkgreen check
Limitgreen checkgreen checkgreen checkgreen check
Stop marketgreen checkgreen checkgreen checkgreen check
Stop limitgreen checkgreen checkgreen checkgreen check

Order Properties

We model custom order properties from the Bloomberg EMSX API. The following table describes the members of the TerminalLinkOrderProperties 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
NotesnotesstringstrThe free form instructions that may be sent to the broker.
HandlingInstructionhandling_instructionstringstrThe instructions for handling the order or route. The values can be preconfigured or a value customized by the broker.
CustomNotes1custom_notes_1stringstrCustom user order notes 1. For more information about custom order notes, see Custom Notes & Free Text Fields in the EMSX API documentation
CustomNotes2custom_notes_2stringstrCustom user order notes 2.
CustomNotes3custom_notes_3stringstrCustom user order notes 3.
CustomNotes4custom_notes_4stringstrCustom user order notes 4.
CustomNotes5custom_notes_5stringstrCustom user order notes 5.
AccountaccountstringstrThe EMSX account.
BrokerbrokerstringstrThe EMSX broker code.
LocateBrokerlocate_brokerstringstr The EMSX locate broker code that identifies the counterparty the shares are borrowed from for a short equity sale (for example, "BMTB"). Maps to the LocBrkr field on the EMSX trading ticket. Setting this property (or LocateIdlocate_id) on a short equity sale causes the brokerage to emit EMSX_LOCATE_REQ = "Y" alongside.
LocateIdlocate_idstringstrThe EMSX locate confirmation/ticket Id that the lending broker returns. Maps to the LocId field on the EMSX trading ticket.
IsCfdTradeis_cfd_tradebool A flag that books the order as a contract for differences (CFD) instead of a regular trade. Maps to the CFD option of the Booking Type drop-down on the EMSX trading ticket and sets the EMSX_CFD_FLAG element. EMSX applies this flag at the order level, not per security. A regular trade is the EMSX default, so the brokerage only sends the element when you set this property to trueTrue. falseFalse
StrategystrategyStrategyParameters An object that represents the EMSX order strategy details. You must append strategy parameters in the order that the EMSX API expects. The following strategy names are supported: "DMA", "DESK", "VWAP", "TWAP", "FLOAT", "HIDDEN", "VOLUMEINLINE", "CUSTOM", "TAP", "CUSTOM2", "WORKSTRIKE", "TAPNOW", "TIMED", "LIMITTICK", "STRIKE"
ExecutionInstructionexecution_instructionstringstrThe execution instruction field.
AutomaticPositionSidesautomatic_position_sidesboolA flag that determines whether to automatically include the position side in the order direction (buy-to-open, sell-to-close, etc.) instead of the default (buy, sell).
PositionSideposition_sideOrderPosition?OrderPosition/NoneType An OrderPosition object that specifies the position side in the order direction (buy-to-open, sell-to-close, etc.) instead of the default (buy, sell). This member has precedence over AutomaticPositionSidesautomatic_position_sides.
ExchangeexchangeExchangeDefines the exchange name for sending the order to.
AdditionalPropertiesadditional_propertiesBaseExtendedDictionary<string, string>BaseExtendedDictionary[str, str] The custom EMSX elements to send with the order. The key is the EMSX element name and the value is the element value. The other order properties take precedence, so an entry that targets an element they already set has no effect. The brokerage skips entries that the EMSX schema doesn't define instead of rejecting the order. An empty dictionary
 
public override void Initialize()
{
    // Set the default order properties
    DefaultOrderProperties = new TerminalLinkOrderProperties
    {
        TimeInForce = TimeInForce.GoodTilCanceled,
        Strategy = new TerminalLinkOrderProperties.StrategyParameters(
            "VWAP",
            new List<TerminalLinkOrderProperties.StrategyField>
            {
                new("09:30:00"),
                new("10:30:00"),
                new(),
                new()
            }
         )
    };
}

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 TerminalLinkOrderProperties
               { 
                   TimeInForce = TimeInForce.Day,
                   Account = "account1"
               });
    LimitOrder(_symbol, quantity, limitPrice, 
               orderProperties: new TerminalLinkOrderProperties
               { 
                   TimeInForce = TimeInForce.GoodTilDate(new DateTime(year, month, day)),
                   Account = "account2"
               });
}
def initialize(self) -> None:
    # Set the default order properties
    self.default_order_properties = TerminalLinkOrderProperties()
    self.default_order_properties.time_in_force = TimeInForce.GOOD_TIL_CANCELED
    self.default_order_properties.strategy = TerminalLinkOrderProperties.StrategyParameters(
        "VWAP",
        [
            TerminalLinkOrderProperties.StrategyField("09:30:00"),
            TerminalLinkOrderProperties.StrategyField("10:30:00"),
            TerminalLinkOrderProperties.StrategyField(),
            TerminalLinkOrderProperties.StrategyField()
        ]
    )

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 = TerminalLinkOrderProperties()
    order_properties.time_in_force = TimeInForce.DAY
    order_properties.account = "account1"
    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.account = "account2"
    self.limit_order(self._symbol, quantity, limit_price, order_properties=order_properties)

The AdditionalPropertiesadditional_properties dictionary lets you set EMSX elements that the preceding properties don't cover, without waiting for a new LEAN release. IsCfdTradeis_cfd_trade reads and writes the EMSX_CFD_FLAG entry of this dictionary, so setting either of them is equivalent. The following example books the orders as CFD trades and adds the odd lot element, which no dedicated property covers:

public override void Initialize()
{
    // Set the default order properties to book the orders as CFD trades and to flag them as odd lots
    var orderProperties = new TerminalLinkOrderProperties { IsCfdTrade = true };
    orderProperties.AdditionalProperties["EMSX_ODD_LOT"] = "1";
    DefaultOrderProperties = orderProperties;
}
def initialize(self) -> None:
    # Set the default order properties to book the orders as CFD trades and to flag them as odd lots
    order_properties = TerminalLinkOrderProperties()
    order_properties.is_cfd_trade = True
    order_properties.additional_properties["EMSX_ODD_LOT"] = "1"
    self.default_order_properties = order_properties

The dictionary starts empty and you can't replace it with a plain Python dictionary. To add several elements at once, call the update method with a dictionary. To remove all the elements, call the clear method.

For more information about the format that the Bloomberg EMSX API expects, see Create Order and Route Extended Request in the EMSX API documentation and the createOrderAndRouteWithStrat documentation on the MathWorks website.

The BloombergFixBrokerageModel supports custom order properties. The BloombergFixOrderProperties class inherits the FixOrderProperties class that every FIX connection shares. The following table describes the members of the BloombergFixOrderProperties object that you can set to customize order execution:

PropertyData TypeDescriptionDefault Value
TimeInForcetime_in_forceTimeInForceA TimeInForce instruction to apply to the order.TimeInForce.GoodTilCanceledTimeInForce.GOOD_TIL_CANCELED
HandleInstructionhandle_instructionchar?str/NoneTypeThe instruction for order handling on the broker floor. The following values are supported:
  • FixOrderProperties.AutomatedExecutionOrderPrivateFixOrderProperties.AUTOMATED_EXECUTION_ORDER_PRIVATE: Automated execution order, private, no broker intervention
  • FixOrderProperties.AutomatedExecutionOrderPublicFixOrderProperties.AUTOMATED_EXECUTION_ORDER_PUBLIC: Automated execution order, public, broker intervention OK
  • FixOrderProperties.ManualOrderFixOrderProperties.MANUAL_ORDER: Staged order, broker intervention required
NotesnotesstringstrThe free form text instructions that may be sent to the broker.
LocateBrokerlocate_brokerstringstrThe broker that the shares are borrowed from for a short sale. Reads and writes the LocateBroker FIX tag 5700.
LocateReqdlocate_reqdstringstrWhether a locate is required for the short sale, "Y" or "N". Reads and writes the LocateReqd FIX tag 114.
AdditionalPropertiesadditional_propertiesBaseExtendedDictionary<string, string>BaseExtendedDictionary[str, str]The custom FIX tags to send with the order. The key is the FIX tag number and the value is the tag value.An empty dictionary
 
public override void Initialize()
{
    // Set the default order properties to borrow the shares of short sales from a specific broker
    DefaultOrderProperties = new BloombergFixOrderProperties
    {
        TimeInForce = TimeInForce.GoodTilCanceled,
        LocateBroker = "BMTB",
        LocateReqd = "Y"
    };
}
def initialize(self) -> None:
    # Set the default order properties to borrow the shares of short sales from a specific broker
    self.default_order_properties = BloombergFixOrderProperties()
    self.default_order_properties.time_in_force = TimeInForce.GOOD_TIL_CANCELED
    self.default_order_properties.locate_broker = "BMTB"
    self.default_order_properties.locate_reqd = "Y"

Your FIX counterparty may require tags that the preceding properties don't cover. To send them with your orders, add them to the AdditionalPropertiesadditional_properties dictionary. For example, the following code marks the orders as direct market access (DMA) with tag 9301:

public override void Initialize()
{
    // Set the default order properties to mark orders as direct market access (DMA)
    var orderProperties = new BloombergFixOrderProperties();
    orderProperties.AdditionalProperties["9301"] = "1";
    DefaultOrderProperties = orderProperties;
}
def initialize(self) -> None:
    # Set the default order properties to mark orders as direct market access (DMA)
    order_properties = BloombergFixOrderProperties()
    order_properties.additional_properties["9301"] = "1"
    self.default_order_properties = order_properties

The dictionary starts empty and you can't replace it with a plain Python dictionary. To add several tags at once, call the update method with a dictionary. To remove all the tags, call the clear method.

Get Open Orders

Terminal Link lets you access open orders.

Monitor Fills

Terminal Link allows you to monitor orders as they fill through order events.

Updates

Terminal Link doesn't support order updates, but you can cancel an existing order and then create a new order with the desired arguments. For more information about this workaround, see the Workaround for Brokerages That Don’t Support Updates.

The Bloomberg™ FIX connection does support order updates. The FixNet HUB accepts cancel/replace requests (FIX tag 35=G), so you can update the quantity, limit price, stop price, order type, and time in force of an open order.

Cancellations

Terminal Link enables you to cancel open orders.

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

Brokerage-Side Orders

By default, your algorithm doesn't record orders that you submit to your account by third-parties instead of through LEAN. To accept these orders, create a custom brokerage message handler.

Fills

To view how we model fills in backtests, see Fills.

Slippage

To view how we model slippage in backtests, see Slippage.

Fees

To view how we model fees in backtests, see Fees.

Buying Power

To view how we model buying power in backtests, see Buying Power.

Settlement

To view how we model settlements in backtests, see Settlement.

Margin Interest Rate

To view how we model margin interest rates in backtests, see Margin Interest Rate.

Default Markets

To view the default markets of each asset class when you use either Bloomberg™ connection, see Default Markets.

Account Currency

Neither the TerminalLinkBrokerageModel nor the BloombergFixBrokerageModel sets a default currency. To change the algorithm's currency from USD to a different currency, see Set Account Currency.

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