Supported Models

TradeStation

Introduction

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

SetBrokerageModel(BrokerageName.TradeStation, AccountType.Cash);
SetBrokerageModel(BrokerageName.TradeStation, AccountType.Margin);
self.set_brokerage_model(BrokerageName.TRADE_STATION, AccountType.CASH)
self.set_brokerage_model(BrokerageName.TRADE_STATION, AccountType.MARGIN)

For more information about this model, see the class reference and implementation.

For more information about this model, see the class reference and implementation.

Asset Classes

The TradeStationBrokerageModel supports trading the following asset classes:

Orders

The TradeStationBrokerageModel supports several order types, order properties, and order updates.

Order Types

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

Order TypeEquityEquity OptionsIndex OptionsFutures
Marketgreen checkgreen checkgreen checkgreen check
Limitgreen checkgreen checkgreen checkgreen check
Stop marketgreen checkgreen checkgreen checkgreen check
Stop limitgreen checkgreen checkgreen checkgreen check
Trailing stopgreen checkgreen checkgreen checkgreen check
Market on Opengreen check
Market on Closegreen check
Combo marketgreen checkgreen checkgreen checkgreen check
Combo limitgreen checkgreen checkgreen checkgreen check

Order Properties

The TradeStationBrokerageModel supports custom order properties. The following table describes the members of the TradeStationOrderProperties 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
PostOnlypost_onlyboolThis flag will ensure the limit order executes only as a maker (no fee) order. If part of the order results in taking liquidity rather than providing, it will be rejected and no part of the order will execute. Equities only.falseFalse
 
public override void Initialize()
{
    // Set the default order properties
    DefaultOrderProperties = new TradeStationOrderProperties
    {
        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 TradeStationOrderProperties
               { 
                   PostOnly = true,
                   TimeInForce = TimeInForce.Day
               });
    LimitOrder(_symbol, quantity, limitPrice, 
               orderProperties: new TradeStationOrderProperties
               { 
                   OutsideRegularTradingHours = true,
                   TimeInForce = TimeInForce.GoodTilDate(new DateTime(year, month, day))
               });
}
def initialize(self) -> None:
    # Set the default order properties
    self.default_order_properties = TradeStationOrderProperties()
    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 = TradeStationOrderProperties()
    order_properties.post_only = True
    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 TradeStationBrokerageModel 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 following table shows the fill model that the TradeStationBrokerageModel uses for each SecurityType:

SecurityTypeFill Model
EquityEquityFillModel
OptionImmediateFillModel
FutureFutureFillModel

Slippage

The TradeStationBrokerageModel uses the NullSlippageModel.

Fees

The TradeStationBrokersBrokerageModel uses the TradeStationFeeModel with the default argument values. We model current TradeStation fees on all assets.

Buying Power

The TradeStationBrokerageModel 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 ClassModel
EquitiesSecurityMarginModel
Equity OptionsOptionMarginModel
FuturesFutureMarginModel

If you have a margin account, the TradeStationBrokerageModel allows 2x leverage for Equities and and 1x leverage for Equity Options and Futures.

Settlement

The following table shows which settlement model the TradeStationBrokerageModel uses based on the security type and your account type:

Security TypeAccount TypeSettlement Model
EquityCashDelayedSettlementModel with the default settlement rules
OptionCashDelayedSettlementModel with the default settlement rules
FutureAnyFutureSettlementModel

For all other cases, the TradeStationBrokerageModel uses the ImmediateSettlementModel.

// 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 Futures
security.SetSettlementModel(new FutureSettlementModel());

// 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 Futures
security.set_settlement_model(FutureSettlementModel())

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

Margin Interest Rate

The TradeStationBrokerageModel uses the NullMarginInterestRateModel.

Default Markets

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

SecurityTypeMarket
EquityUSA
OptionUSA
FutureCME

Account Currency

The TradeStationBrokerageModel 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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