Supported Models
Interactive Brokers
Introduction
This page explains InteractiveBrokersBrokerageModel, including the asset classes it supports, its default security-level models, and it's default markets.
SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Cash); SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Margin);
self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Cash) self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Margin)
To view the implementation of this model, see the LEAN GitHub repository.
Orders
The InteractiveBrokersBrokerageModel supports several order types, order properties, and order updates.
Order Types
The following table describes the order types that the InteractiveBrokersBrokerageModel supports: supports. For specific details about each order type, refer to the IB documentation.
The following table describes the available order types for each asset class that the InteractiveBrokersBrokerageModel supports:
| Order Type | US Equity | Equity Options | Forex | Futures | Futures Options | Index Options |
|---|---|---|---|---|---|---|
| MarketOrder |  | | | | | |
| LimitOrder | | | | | | |
| LimitIfTouchedOrder | | | | | | |
| StopMarketOrder | | | | | | |
| StopLimitOrder | | | | | | |
| MarketOnOpenOrder | | | | | ||
| MarketOnCloseOrder | | | | | | |
| ComboMarketOrder | | | | |||
| ComboLimitOrder | | | | |||
| ComboLegLimitOrder | | | | |||
| ExerciseOption | Not supported for cash-settled Options | |
Order Properties
The InteractiveBrokersBrokerageModel supports custom order properties. The following table describes the members of the InteractiveBrokersOrderProperties object that you can set to customize order execution. The table does not include the preceding methods for FA accounts.
| Property | Description |
|---|---|
TimeInForce | A TimeInForce instruction to apply to the order. The following instructions are supported:
|
OutsideRegularTradingHours | A flag to signal that the order may be triggered and filled outside of regular trading hours. |
public override void Initialize()
{
// Set the default order properties
DefaultOrderProperties = new InteractiveBrokersOrderProperties
{
TimeInForce = TimeInForce.GoodTilCanceled,
OutsideRegularTradingHours = 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 InteractiveBrokersOrderProperties
{
TimeInForce = TimeInForce.Day,
OutsideRegularTradingHours = false
});
LimitOrder(_symbol, quantity, limitPrice,
orderProperties: new InteractiveBrokersOrderProperties
{
TimeInForce = TimeInForce.GoodTilDate(new DateTime(year, month, day)),
OutsideRegularTradingHours = true
});
} def Initialize(self) -> None:
# Set the default order properties
self.DefaultOrderProperties = InteractiveBrokersOrderProperties()
self.DefaultOrderProperties.TimeInForce = TimeInForce.GoodTilCanceled
self.DefaultOrderProperties.OutsideRegularTradingHours = 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 = InteractiveBrokersOrderProperties()
order_properties.TimeInForce = TimeInForce.Day
order_properties.OutsideRegularTradingHours = True
self.LimitOrder(self.symbol, quantity, limit_price, orderProperties=order_properties)
order_properties.TimeInForce = TimeInForce.GoodTilDate(datetime(year, month, day))
self.LimitOrder(self.symbol, quantity, limit_price, orderProperties=order_properties)
Updates
The InteractiveBrokersBrokerageModel supports order updates.
Financial Advisor Group Orders
To place FA group orders, see Financial Advisors.
Fractional Trading
The InteractiveBrokersBrokerageModel doesn't support fractional trading.
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
Order Size Limits
The InteractiveBrokersBrokerageModel enforces the Spot Currency Minimum/Maximum Order Sizes from the IB website.
Fills
The following table shows the fill model that the InteractiveBrokersBrokerageModel uses for each SecurityType:
SecurityType | Fill Model |
|---|---|
Equity | EquityFillModel |
Future | FutureFillModel |
FutureOption | FutureOptionFillModel |
Remaining SecurityType values | ImmediateFillModel |
Slippage
The InteractiveBrokersBrokerageModel uses the ConstantSlippageModel with zero slippage.
security.SetSlippageModel(new ConstantSlippageModel(0));
security.SetSlippageModel(ConstantSlippageModel(0))
Fees
The InteractiveBrokersBrokerageModel uses the InteractiveBrokersFeeModel with the default argument values. We model current Interactive Brokers fees on all assets.
Buying Power
The InteractiveBrokersBrokerageModel sets the buying power model based on the asset class of the security. The following table shows the default buying power model of each asset class:
| Asset Class | Model |
|---|---|
| Equity Options | OptionMarginModel |
| Futures | FutureMarginModel |
| Future Options | FuturesOptionsMarginModel |
| Index Options | OptionMarginModel |
| Crypto | CashBuyingPowerModel for cash accounts or SecurityMarginModel for margin accounts |
| CryptoFuture | CryptoFutureMarginModel |
| Forex | CashBuyingPowerModel for cash accounts or SecurityMarginModel for margin accounts |
| Other | SecurityMarginModel |
If you have a margin account, the InteractiveBrokersBrokerageModel allows 2x leverage for Equities, 50x leverage for Forex, and 1x leverage for the remaining asset classes.
Settlement
The InteractiveBrokersBrokerageModel uses the ImmediateSettlementModel in most cases. If you trade US Equities or Equity Options with a cash account, it uses the DelayedSettlementModel with the default settlement rules.
The following table shows which settlement model the InteractiveBrokersBrokerageModel uses based on the security type and your account type:
| Security Type | Account Type | Settlement Model |
|---|---|---|
| Equity | Cash | DelayedSettlementModel with the default settlement rules |
| Option | Cash | DelayedSettlementModel with the default settlement rules |
| Future | Any | FutureSettlementModel |
For all other cases, the InteractiveBrokersBrokerageModel uses the ImmediateSettlementModel.
// For US Equities with a cash account: security.SettlementModel = new DelayedSettlementModel(Equity.DefaultSettlementDays, Equity.DefaultSettlementTime); // For Equity Options with a cash account: security.SettlementModel = new DelayedSettlementModel(Option.DefaultSettlementDays, Option.DefaultSettlementTime); // For remaining cases: security.SettlementModel = new ImmediateSettlementModel();
# For US Equities with a cash account: security.SettlementModel = DelayedSettlementModel(Equity.DefaultSettlementDays, Equity.DefaultSettlementTime) # For Equity Options with a cash account: security.SettlementModel = DelayedSettlementModel(Option.DefaultSettlementDays, Option.DefaultSettlementTime) # For remaining cases: security.SettlementModel = ImmediateSettlementModel()
Interactive Brokers doesn't provide information on which assets aren't settled, so we assume each live trading session starts with its cash fully settled.
Margin Interest Rate
The InteractiveBrokersBrokerageModel uses the NullMarginInterestRateModel.
Financial Advisors
IB supports FA accounts for Trading Firm and Institution organizations. FA accounts enable certified professionals to use a single trading algorithm to manage several client accounts.
To place trades using a subset of client accounts, create Account Groups in Trader Workstation and then define the InteractiveBrokersOrderProperties when you create orders.
DefaultOrderProperties = new InteractiveBrokersOrderProperties
{
FaGroup = "TestGroupEQ",
FaMethod = "EqualQuantity",
FaProfile = "TestProfileP",
Account = "DU123456"
}; self.DefaultOrderProperties = InteractiveBrokersOrderProperties() self.DefaultOrderProperties.FaGroup = "TestGroupEQ" self.DefaultOrderProperties.FaMethod = "EqualQuantity" self.DefaultOrderProperties.FaProfile = "TestProfileP" self.DefaultOrderProperties.Account = "DU123456"
SecurityHolding objects aggregate your positions across all the account groups. If you have two groups where group A has 10 shares of SPY and group B has -10 shares of SPY, then self.Portfolio["SPY"].QuantityPortfolio["SPY"].Quantity is zero.
The following table shows the supported allocation methods for FA group orders:
FaMethod | Description |
|---|---|
"EqualQuantity" | Distributes shares equally between all accounts in the group. If you use this method, specify an order quantity. |
"NetLiq" | Distributes shares based on the net liquidation value of each account. The system calculates ratios based on the net liquidation value in each account and allocates shares based on these ratios. If you use this method, specify an order quantity. |
"AvailableEquity" | Distributes shares based on the amount of available equity in each account. The system calculates ratios based on the available equity in each account and allocates shares based on these ratios. If you use this method, specify an order quantity. |
"PctChange" | Increases or decreases an already existing position. Positive percents increase positions and negative percents decrease positions. If you use this method, specify a percent instead of an order quantity. |
public override void Initialize()
{
// Set the default order properties
DefaultOrderProperties = new InteractiveBrokersOrderProperties()
{
FaGroup = "TestGroupEQ",
FaMethod = "EqualQuantity",
FaProfile = "TestProfileP",
Account = "DU123456"
};
}
public override void OnData(Slice slice)
{
// Use default order order properties
LimitOrder(_symbol, quantity, limitPrice);
// Override the default order properties
// "NetLiq" requires a order size input
LimitOrder(_symbol, quantity, limitPrice,
orderProperties: new InteractiveBrokersOrderProperties
{
FaMethod = "NetLiq"
});
// "AvailableEquity" requires a order size input
LimitOrder(_symbol, quantity, limitPrice,
orderProperties: new InteractiveBrokersOrderProperties
{
FaMethod = "AvailableEquity"
});
// "PctChange" requires a percentage of portfolio input
SetHoldings(_symbol, pctPortfolio,
orderProperties: new InteractiveBrokersOrderProperties
{
FaMethod = "PctChange"
});
} def Initialize(self) -> None:
# Set the default order properties
self.DefaultOrderProperties = InteractiveBrokersOrderProperties()
self.DefaultOrderProperties.FaGroup = "TestGroupEQ"
self.DefaultOrderProperties.FaMethod = "EqualQuantity"
self.DefaultOrderProperties.FaProfile = "TestProfileP"
self.DefaultOrderProperties.Account = "DU123456"
def OnData(self, slice: Slice) -> None:
# Override the default order properties
# "NetLiq" requires a order size input
order_properties = InteractiveBrokersOrderProperties()
order_properties.FaMethod = "NetLiq"
self.LimitOrder(self.symbol, quantity, limit_price, orderProperties=order_properties)
# "AvailableEquity" requires a order size input
order_properties.FaMethod = "AvailableEquity"
self.LimitOrder(self.symbol, quantity, limit_price, orderProperties=order_properties)
# "PctChange" requires a percentage of portfolio input
order_properties.FaMethod = "PctChange"
self.SetHoldings(self.symbol, pct_portfolio, orderProperties=order_properties)
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