/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
using QuantConnect.Orders;
using QuantConnect.Securities;
using QuantConnect.Orders.Fees;
using System.Collections.Generic;
using QuantConnect.Orders.TimeInForces;
namespace QuantConnect.Brokerages
{
///
/// Provides an implementation of the specific to Alpaca brokerage.
///
public class AlpacaBrokerageModel : DefaultBrokerageModel
{
///
/// A dictionary that maps each supported to an array of supported by Alpaca brokerage.
///
private readonly Dictionary> _supportOrderTypeBySecurityType = new()
{
{ SecurityType.Equity, new HashSet { OrderType.Market, OrderType.Limit, OrderType.StopMarket, OrderType.StopLimit,
OrderType.TrailingStop, OrderType.MarketOnOpen, OrderType.MarketOnClose } },
// Market and limit order types see https://docs.alpaca.markets/docs/options-trading-overview
{ SecurityType.Option, new HashSet { OrderType.Market, OrderType.Limit } },
{ SecurityType.Crypto, new HashSet { OrderType.Market, OrderType.Limit, OrderType.StopLimit }}
};
///
/// Initializes a new instance of the class
///
/// All Alpaca accounts are set up as margin accounts
public AlpacaBrokerageModel() : base(AccountType.Margin)
{
}
///
/// Gets a new fee model that represents this brokerage's fee structure
///
/// The security to get a fee model for
/// The new fee model for this brokerage
public override IFeeModel GetFeeModel(Security security)
{
return new AlpacaFeeModel();
}
///
/// Returns true if the brokerage could accept this order. This takes into account
/// order type, security type, and order size limits.
///
///
/// For example, a brokerage may have no connectivity at certain times, or an order rate/size limit
///
/// The security being ordered
/// The order to be processed
/// If this function returns false, a brokerage message detailing why the order may not be submitted
/// True if the brokerage could process the order, false otherwise
public override bool CanSubmitOrder(Security security, Order order, out BrokerageMessageEvent message)
{
if (!_supportOrderTypeBySecurityType.TryGetValue(security.Type, out var supportOrderTypes))
{
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
Messages.DefaultBrokerageModel.UnsupportedSecurityType(this, security));
return false;
}
if (!supportOrderTypes.Contains(order.Type))
{
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
Messages.DefaultBrokerageModel.UnsupportedOrderType(this, order, supportOrderTypes));
return false;
}
var supportsOutsideTradingHours = (order.Properties as AlpacaOrderProperties)?.OutsideRegularTradingHours ?? false;
if (supportsOutsideTradingHours && (order.Type != OrderType.Limit || order.TimeInForce is not DayTimeInForce))
{
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
Messages.AlpacaBrokerageModel.TradingOutsideRegularHoursNotSupported(this, order.Type, order.TimeInForce));
return false;
}
return base.CanSubmitOrder(security, order, out message);
}
///
/// Returns true if the brokerage would allow updating the order as specified by the request
///
/// The security of the order
/// The order to be updated
/// The requested updated to be made to the order
/// If this function returns false, a brokerage message detailing why the order may not be updated
/// True if the brokerage would allow updating the order, false otherwise
public override bool CanUpdateOrder(Security security, Order order, UpdateOrderRequest request, out BrokerageMessageEvent message)
{
message = null;
return true;
}
}
}