Supported Models
Coinbase
Introduction
This page explains GDAXBrokerageModel, including the asset classes it supports, its default security-level models, and it's default markets.
SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash);
self.SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash)
To view the implementation of this model, see the LEAN GitHub repository.
Asset Classes
The GDAXBrokerageModel supports trading Crypto.
Orders
The GDAXBrokerageModel supports several order types and order properties, but it doesn't support order updates.
Order Types
The following table describes the available order types for each asset class that the GDAXBrokerageModel supports:
| Order Type | Crypto |
|---|---|
| MarketOrder |  |
| LimitOrder | |
| StopMarketOrder | Supported after 2019-03-23 in backtests. For reference, see the Coinbase Market Structure Update on the Coinbase website. |
| StopLimitOrder | |
Order Properties
The GDAXBrokerageModel supports custom order properties. The following table describes the members of the GDAXOrderProperties object that you can set to customize order execution:
| Property | Description |
|---|---|
TimeInForce | A TimeInForce instruction to apply to the order. The GoodTilCanceled TimeInForce is supported. |
PostOnly | A flag that signals the order must only add liquidity to the order book and not take liquidity from the order book. If part of the order results in taking liquidity rather than providing liquidity, the order is rejected without any part of it being filled. |
public override void Initialize()
{
// Set the default order properties
DefaultOrderProperties = new GDAXOrderProperties
{
TimeInForce = TimeInForce.GoodTilCanceled,
PostOnly = false
};
}
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 GDAXOrderProperties
{
TimeInForce = TimeInForce.GoodTilCanceled,
PostOnly = true
});
} def Initialize(self) -> None:
# Set the default order properties
self.DefaultOrderProperties = GDAXOrderProperties()
self.DefaultOrderProperties.TimeInForce = TimeInForce.GoodTilCanceled
self.DefaultOrderProperties.PostOnly = False
def OnData(self, slice: Slice) -> None:
# Use default order order properties
self.LimitOrder(self.symbol, quantity, limit_price)
# Override the default order properties
order_properties = GDAXOrderProperties()
order_properties.TimeInForce = TimeInForce.GoodTilCanceled
order_properties.PostOnly = True
self.LimitOrder(self.symbol, quantity, limit_price, orderProperties=order_properties)
Updates
The GDAXBrokerageModel 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.
Fills
The GDAXBrokerageModel uses the ImmediateFillModel.
Slippage
The GDAXBrokerageModel uses the ConstantSlippageModel with zero slippage.
security.SetSlippageModel(new ConstantSlippageModel(0));
security.SetSlippageModel(ConstantSlippageModel(0))
Fees
The GDAXBrokerageModel uses the GDAXFeeModel.
Settlement
The GDAXBrokerageModel uses the ImmediateSettlementModel.
Margin Interest Rate
The GDAXBrokerageModel uses the NullMarginInterestRateModel.
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