Supported Models

The BloombergFixBrokerageModel supports trading the following asset classes:

• US Equities
• Equity Options
• Index Options
• Futures

The BloombergFixBrokerageModel supports six order types and order updates.

Order Types

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

Order Type	Equity	Equity Options	Index Options	Futures
Market
Market on open
Market on close
Limit
Stop market
Stop limit

Market on open orders are unavailable for Futures. If you place one, the order is invalid.

Updates

The BloombergFixBrokerageModel supports order updates. The Bloomberg™ 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.

Order Properties

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:

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.

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

The following table shows the fill model that the BloombergFixBrokerageModel uses for each SecurityType:

The BloombergFixBrokerageModel uses the NullSlippageModel.

The BloombergFixBrokerageModel uses the InteractiveBrokersFeeModel for Equity, Equity Option, and Future assets and the ConstantFeeModel with no fees for Index Option assets.

// For Equity, Equity Option, and Future assets:
security.SetFeeModel(new InteractiveBrokersFeeModel());

// For Index Option assets:
security.SetFeeModel(new ConstantFeeModel(0.0m));

# For Equity, Equity Option, and Future assets:
security.set_fee_model(InteractiveBrokersFeeModel())

# For Index Option assets:
security.set_fee_model(ConstantFeeModel(0))

The fees that your prime brokerage destination charges may differ. To model them, set a fee model.

The following table shows the buying power model that the BloombergFixBrokerageModel uses for each SecurityType:

The BloombergFixBrokerageModel uses the FutureSettlementModel for Future assets and the ImmediateSettlementModel for the remaining asset classes.

// For Future assets:
security.SetSettlementModel(new FutureSettlementModel());

// For the remaining asset classes:
security.SetSettlementModel(new ImmediateSettlementModel());

# For Future assets:
security.set_settlement_model(FutureSettlementModel())

# For the remaining asset classes:
security.set_settlement_model(ImmediateSettlementModel())

The BloombergFixBrokerageModel uses the NullMarginInterestRateModel.

The following table describes the default markets of each SecurityType for the BloombergFixBrokerageModel:

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