Settlement
Key Concepts
Introduction
After you trade an asset, the brokerage needs to settle the funds in your account. The most common type of settlement is immediate, where the funds are immediately available for trading after the transaction. In some cases, you may have delayed settlement, where you sell an asset and need to wait a few days to spend the cash you receive from the sale. A settlement model simulates these settlement rules.
Set Models
The brokerage model of your algorithm automatically sets the settlement model for each security, but you can override it. To manually set the settlement model of a security, set the SettlementModel
property on the Security
object.
// In Initialize var security = AddEquity("SPY"); // Set a delayed settlement model that settles 7 days after the trade at 8 AM security.SettlementModel = new DelayedSettlementModel(7, TimeSpan.FromHours(8));
# In Initialize security = self.AddEquity("SPY") # Set a delayed settlement model that settles 7 days after the trade at 8 AM security.SettlementModel = DelayedSettlementModel(7, timedelta(hours=8))
You can also set the settlement model in a security initializer. If your algorithm has a universe, use the security initializer technique. In order to initialize single security subscriptions with the security initializer, call SetSecurityInitializer
before you create the subscriptions.
// In Initialize SetSecurityInitializer(new MySecurityInitializer(BrokerageModel, new FuncSecuritySeeder(GetLastKnownPrices))); // Outside of the algorithm class class MySecurityInitializer : BrokerageModelSecurityInitializer { public MySecurityInitializer(IBrokerageModel brokerageModel, ISecuritySeeder securitySeeder) : base(brokerageModel, securitySeeder) {} public override void Initialize(Security security) { // First, call the superclass definition // This method sets the reality models of each security using the default reality models of the brokerage model base.Initialize(security); // Next, overwrite some of the reality models security.SettlementModel = new DelayedSettlementModel(7, TimeSpan.FromHours(8)); } }
# In Initialize self.SetSecurityInitializer(MySecurityInitializer(self.BrokerageModel, FuncSecuritySeeder(self.GetLastKnownPrices))) # Outside of the algorithm class class MySecurityInitializer(BrokerageModelSecurityInitializer): def __init__(self, brokerage_model: IBrokerageModel, security_seeder: ISecuritySeeder) -> None: super().__init__(brokerage_model, security_seeder) def Initialize(self, security: Security) -> None: # First, call the superclass definition # This method sets the reality models of each security using the default reality models of the brokerage model super().Initialize(security) # Next, overwrite some of the reality models security.SettlementModel = DelayedSettlementModel(7, timedelta(hours=8))
To view all the pre-built settlement models, see Supported Models.
Default Behavior
The brokerage model of your algorithm automatically sets the settlement model for each security. The default brokerage model is the DefaultBrokerageModel
, which sets the settlement model based on the security type and your account type. The following table shows how it sets the settlement models:
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 DefaultBrokerageModel
uses the ImmediateSettlementModel.
The default delayed settlement rule for US Equity trades is T+2 at 8 AM Eastern Time (ET). For example, if you sell on Monday, the trade settles on Wednesday at 8 AM. The default delayed settlement rule for Future and Option contracts is T+1 at 8 AM.
Model Structure
Settlement models must extend the ISettlementModel
interface. Extensions of the ISettlementModel
interface must implement the Scan
and ApplyFunds
methods. The Scan
method is automatically called at the top of each hour and it receives a ScanSettlementModelParameters
object. The ApplyFunds
method receives an ApplyFundsSettlementModelParameters
object and applies the settlement rules. The ApplyFunds
method is also automatically called, but its frequency depends on the security type.
public interface ISettlementModel { void ApplyFunds(ApplyFundsSettlementModelParameters applyFundsParameters); void Scan(ScanSettlementModelParameters settlementParameters); }
The ApplyFunds
method is automatically called when you fill an order for the following security types:
- Equity
- Equity Options
- Crypto
- Forex
- Future Options
- Index Options
The ApplyFunds
method is automatically called when you close a position for the following security types:
- Futures
- Crypto Futures
- CFD
ApplyFundsSettlementModelParameters
objects have the following properties:
ScanSettlementModelParameters
objects have the following properties:
You likely don't need to create a custom settlement model because the supported models already implement immediate and delayed settlement rules.