/* * 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; } } }