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 ImmediateSettlementModel in most cases. If you trade US Equities or Equity Options with a cash account, it sets the DelayedSettlementModel.
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 ApplyFunds
method, which applies the cash settlement rules.
public interface ISettlementModel { void ApplyFunds( SecurityPortfolioManager portfolio, Security security, DateTime applicationTimeUtc, string currency, decimal amount); }
LEAN doesn't currently support custom option exercise model in Python.
The following table describes the arguments of the ApplyFunds
method:
Argument | Data Type | Description |
---|---|---|
portfolio | SecurityPortfolioManager | The algorithm's portfolio |
security | Security | The fill's security |
applicationTimeUtc | DateTime | The fill time in Coordinated Universal Time (UTC) |
currency | string | The currency symbol |
amount | decimal | The amount of cash to apply |
You likely don't need to create a custom settlement model because the supported models already implement immediate and delayed settlement rules.