Provides an implementation of IBrokerageModel that wraps a PyObject object More...

Inheritance diagram for QuantConnect.Python.BrokerageModelPythonWrapper:

Public Member Functions
	BrokerageModelPythonWrapper (PyObject model)
	Constructor for initialising the BrokerageModelPythonWrapper class with wrapped PyObject object More...

void	ApplySplit (List< OrderTicket > tickets, Split split)
	Applies the split to the specified order ticket More...

bool	CanExecuteOrder (Security security, Order order)
	Returns true if the brokerage would be able to execute this order at this time assuming market prices are sufficient for the fill to take place. This is used to emulate the brokerage fills in backtesting and paper trading. For example some brokerages may not perform executions during extended market hours. This is not intended to be checking whether or not the exchange is open, that is handled in the Security.Exchange property. More...

bool	CanSubmitOrder (Security security, Order order, out BrokerageMessageEvent message)
	Returns true if the brokerage could accept this order. This takes into account order type, security type, and order size limits. More...

bool	CanUpdateOrder (Security security, Order order, UpdateOrderRequest request, out BrokerageMessageEvent message)
	Returns true if the brokerage would allow updating the order as specified by the request More...

IBenchmark	GetBenchmark (SecurityManager securities)
	Get the benchmark for this model More...

IFeeModel	GetFeeModel (Security security)
	Gets a new fee model that represents this brokerage's fee structure More...

IFillModel	GetFillModel (Security security)
	Gets a new fill model that represents this brokerage's fill behavior More...

decimal	GetLeverage (Security security)
	Gets the brokerage's leverage for the specified security More...

ISettlementModel	GetSettlementModel (Security security)
	Gets a new settlement model for the security More...

ISettlementModel	GetSettlementModel (Security security, AccountType accountType)
	Gets a new settlement model for the security More...

ISlippageModel	GetSlippageModel (Security security)
	Gets a new slippage model that represents this brokerage's fill slippage behavior More...

bool	Shortable (IAlgorithm algorithm, Symbol symbol, decimal quantity)
	Determine if this symbol is shortable More...

IBuyingPowerModel	GetBuyingPowerModel (Security security)
	Gets a new buying power model for the security, returning the default model with the security's configured leverage. For cash accounts, leverage = 1 is used. More...

IBuyingPowerModel	GetBuyingPowerModel (Security security, AccountType accountType)
	Gets a new buying power model for the security More...

IShortableProvider	GetShortableProvider (Security security)
	Gets the shortable provider More...

IBrokerageModel	GetModel ()
	Convenience method to get the underlying IBrokerageModel object from the wrapper. More...

IMarginInterestRateModel	GetMarginInterestRateModel (Security security)
	Gets a new margin interest rate model for the security More...

Public Member Functions inherited from QuantConnect.Python.BasePythonWrapper< IBrokerageModel >
	BasePythonWrapper (bool validateInterface=true)
	Creates a new instance of the BasePythonWrapper<TInterface> class More...

	BasePythonWrapper (PyObject instance, bool validateInterface=true)
	Creates a new instance of the BasePythonWrapper<TInterface> class with the specified instance More...

void	SetPythonInstance (PyObject instance)
	Sets the python instance More...

T	GetProperty< T > (string propertyName)
	Gets the Python instance property with the specified name More...

PyObject	GetProperty (string propertyName)
	Gets the Python instance property with the specified name More...

void	SetProperty (string propertyName, object value)
	Sets the Python instance property with the specified name More...

dynamic	GetEvent (string name)
	Gets the Python instance event with the specified name More...

bool	HasAttr (string name)
	Determines whether the Python instance has the specified attribute More...

PyObject	GetMethod (string methodName)
	Gets the Python instances method with the specified name and caches it More...

T	InvokeMethod< T > (string methodName, params object[] args)
	Invokes the specified method with the specified arguments More...

PyObject	InvokeMethod (string methodName, params object[] args)
	Invokes the specified method with the specified arguments More...

Properties
AccountType	AccountType `[get]`
	Gets or sets the account type used by this model More...

decimal	RequiredFreeBuyingPowerPercent `[get]`
	Gets the brokerages model percentage factor used to determine the required unused buying power for the account. From 1 to 0. Example: 0 means no unused buying power is required. 0.5 means 50% of the buying power should be left unused. More...

IReadOnlyDictionary< SecurityType, string >	DefaultMarkets `[get]`
	Gets a map of the default markets to be used for each security type More...

Properties inherited from QuantConnect.Brokerages.IBrokerageModel
AccountType	AccountType `[get]`
	Gets the account type used by this model More...

decimal	RequiredFreeBuyingPowerPercent `[get]`
	Gets the brokerages model percentage factor used to determine the required unused buying power for the account. From 1 to 0. Example: 0 means no unused buying power is required. 0.5 means 50% of the buying power should be left unused. More...

IReadOnlyDictionary< SecurityType, string >	DefaultMarkets `[get]`
	Gets a map of the default markets to be used for each security type More...

Additional Inherited Members
Protected Attributes inherited from QuantConnect.Python.BasePythonWrapper< IBrokerageModel >
PyObject	Instance
	Gets the underlying python instance More...

Detailed Description

Provides an implementation of IBrokerageModel that wraps a PyObject object

Definition at line 35 of file BrokerageModelPythonWrapper.cs.

Constructor & Destructor Documentation

◆ BrokerageModelPythonWrapper()

QuantConnect.Python.BrokerageModelPythonWrapper.BrokerageModelPythonWrapper ( PyObject model )

Constructor for initialising the BrokerageModelPythonWrapper class with wrapped PyObject object

Parameters

model Models brokerage transactions, fees, and order

Definition at line 41 of file BrokerageModelPythonWrapper.cs.

Member Function Documentation

◆ ApplySplit()

void QuantConnect.Python.BrokerageModelPythonWrapper.ApplySplit	(	List< OrderTicket >	tickets,
		Split	split
	)

Applies the split to the specified order ticket

Parameters

tickets	The open tickets matching the split event
split	The split event data

Implements QuantConnect.Brokerages.IBrokerageModel.

Definition at line 103 of file BrokerageModelPythonWrapper.cs.

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◆ CanExecuteOrder()

bool QuantConnect.Python.BrokerageModelPythonWrapper.CanExecuteOrder	(	Security	security,
		Order	order
	)

Returns true if the brokerage would be able to execute this order at this time assuming market prices are sufficient for the fill to take place. This is used to emulate the brokerage fills in backtesting and paper trading. For example some brokerages may not perform executions during extended market hours. This is not intended to be checking whether or not the exchange is open, that is handled in the Security.Exchange property.

Parameters

security	The security being ordered
order	The order to test for execution

Returns: True if the brokerage would be able to perform the execution, false otherwise

Implements QuantConnect.Brokerages.IBrokerageModel.

Definition at line 118 of file BrokerageModelPythonWrapper.cs.

◆ CanSubmitOrder()

bool QuantConnect.Python.BrokerageModelPythonWrapper.CanSubmitOrder	(	Security	security,
		Order	order,
		out BrokerageMessageEvent	message
	)

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

Parameters

security	The security being ordered
order	The order to be processed
message	If this function returns false, a brokerage message detailing why the order may not be submitted

Returns: True if the brokerage could process the order, false otherwise

Implements QuantConnect.Brokerages.IBrokerageModel.

Definition at line 134 of file BrokerageModelPythonWrapper.cs.

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◆ CanUpdateOrder()

bool QuantConnect.Python.BrokerageModelPythonWrapper.CanUpdateOrder	(	Security	security,
		Order	order,
		UpdateOrderRequest	request,
		out BrokerageMessageEvent	message
	)

Returns true if the brokerage would allow updating the order as specified by the request

Parameters

security	The security of the order
order	The order to be updated
request	The requested updated to be made to the order
message	If this function returns false, a brokerage message detailing why the order may not be updated

Returns: True if the brokerage would allow updating the order, false otherwise

Implements QuantConnect.Brokerages.IBrokerageModel.

Definition at line 160 of file BrokerageModelPythonWrapper.cs.

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◆ GetBenchmark()

IBenchmark QuantConnect.Python.BrokerageModelPythonWrapper.GetBenchmark ( SecurityManager securities )

Get the benchmark for this model

Parameters

securities SecurityService to create the security with if needed

Returns: The benchmark for this brokerage

Implements QuantConnect.Brokerages.IBrokerageModel.

Definition at line 183 of file BrokerageModelPythonWrapper.cs.

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◆ GetFeeModel()

IFeeModel QuantConnect.Python.BrokerageModelPythonWrapper.GetFeeModel ( Security security )

Gets a new fee model that represents this brokerage's fee structure

Parameters

security The security to get a fee model for

Returns: The new fee model for this brokerage

Implements QuantConnect.Brokerages.IBrokerageModel.

Definition at line 201 of file BrokerageModelPythonWrapper.cs.

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◆ GetFillModel()

IFillModel QuantConnect.Python.BrokerageModelPythonWrapper.GetFillModel ( Security security )

Gets a new fill model that represents this brokerage's fill behavior

Parameters

security The security to get fill model for

Returns: The new fill model for this brokerage

Implements QuantConnect.Brokerages.IBrokerageModel.

Definition at line 219 of file BrokerageModelPythonWrapper.cs.

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◆ GetLeverage()

decimal QuantConnect.Python.BrokerageModelPythonWrapper.GetLeverage ( Security security )

Gets the brokerage's leverage for the specified security

Parameters

security The security's whose leverage we seek

Returns: The leverage for the specified security

Implements QuantConnect.Brokerages.IBrokerageModel.

Definition at line 237 of file BrokerageModelPythonWrapper.cs.

◆ GetSettlementModel() [1/2]

ISettlementModel QuantConnect.Python.BrokerageModelPythonWrapper.GetSettlementModel ( Security security )

Gets a new settlement model for the security

Parameters

security The security to get a settlement model for

Returns: The settlement model for this brokerage

Implements QuantConnect.Brokerages.IBrokerageModel.

Definition at line 247 of file BrokerageModelPythonWrapper.cs.

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◆ GetSettlementModel() [2/2]

ISettlementModel QuantConnect.Python.BrokerageModelPythonWrapper.GetSettlementModel	(	Security	security,
		AccountType	accountType
	)

Gets a new settlement model for the security

Parameters

security	The security to get a settlement model for
accountType	The account type

Returns: The settlement model for this brokerage

Implements QuantConnect.Brokerages.IBrokerageModel.

Definition at line 267 of file BrokerageModelPythonWrapper.cs.

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◆ GetSlippageModel()

ISlippageModel QuantConnect.Python.BrokerageModelPythonWrapper.GetSlippageModel ( Security security )

Gets a new slippage model that represents this brokerage's fill slippage behavior

Parameters

security The security to get a slippage model for

Returns: The new slippage model for this brokerage

Implements QuantConnect.Brokerages.IBrokerageModel.

Definition at line 277 of file BrokerageModelPythonWrapper.cs.

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◆ Shortable()

bool QuantConnect.Python.BrokerageModelPythonWrapper.Shortable	(	IAlgorithm	algorithm,
		Symbol	symbol,
		decimal	quantity
	)

Determine if this symbol is shortable

Parameters

algorithm	The algorithm running
symbol	The symbol to short
quantity	The amount to short

Returns

Definition at line 297 of file BrokerageModelPythonWrapper.cs.

◆ GetBuyingPowerModel() [1/2]

IBuyingPowerModel QuantConnect.Python.BrokerageModelPythonWrapper.GetBuyingPowerModel ( Security security )

Gets a new buying power model for the security, returning the default model with the security's configured leverage. For cash accounts, leverage = 1 is used.

Parameters

security The security to get a buying power model for

Returns: The buying power model for this brokerage/security

Implements QuantConnect.Brokerages.IBrokerageModel.

Definition at line 308 of file BrokerageModelPythonWrapper.cs.

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◆ GetBuyingPowerModel() [2/2]

IBuyingPowerModel QuantConnect.Python.BrokerageModelPythonWrapper.GetBuyingPowerModel	(	Security	security,
		AccountType	accountType
	)

Gets a new buying power model for the security

Parameters

security	The security to get a buying power model for
accountType	The account type

Returns: The buying power model for this brokerage/security

Implements QuantConnect.Brokerages.IBrokerageModel.

Definition at line 328 of file BrokerageModelPythonWrapper.cs.

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◆ GetShortableProvider()

IShortableProvider QuantConnect.Python.BrokerageModelPythonWrapper.GetShortableProvider ( Security security )

Gets the shortable provider

Returns: Shortable provider

Implements QuantConnect.Brokerages.IBrokerageModel.

Definition at line 337 of file BrokerageModelPythonWrapper.cs.

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◆ GetModel()

IBrokerageModel QuantConnect.Python.BrokerageModelPythonWrapper.GetModel ( )

Convenience method to get the underlying IBrokerageModel object from the wrapper.

Returns: Underlying IBrokerageModel object

Definition at line 354 of file BrokerageModelPythonWrapper.cs.

◆ GetMarginInterestRateModel()

IMarginInterestRateModel QuantConnect.Python.BrokerageModelPythonWrapper.GetMarginInterestRateModel ( Security security )

Gets a new margin interest rate model for the security

Parameters

security The security to get a margin interest rate model for

Returns: The margin interest rate model for this brokerage

Implements QuantConnect.Brokerages.IBrokerageModel.

Definition at line 367 of file BrokerageModelPythonWrapper.cs.

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Property Documentation

◆ AccountType

AccountType QuantConnect.Python.BrokerageModelPythonWrapper.AccountType

get

Gets or sets the account type used by this model

Definition at line 50 of file BrokerageModelPythonWrapper.cs.

◆ RequiredFreeBuyingPowerPercent

decimal QuantConnect.Python.BrokerageModelPythonWrapper.RequiredFreeBuyingPowerPercent

get

Gets the brokerages model percentage factor used to determine the required unused buying power for the account. From 1 to 0. Example: 0 means no unused buying power is required. 0.5 means 50% of the buying power should be left unused.

Definition at line 62 of file BrokerageModelPythonWrapper.cs.

◆ DefaultMarkets

IReadOnlyDictionary<SecurityType, string> QuantConnect.Python.BrokerageModelPythonWrapper.DefaultMarkets

get

Gets a map of the default markets to be used for each security type

Definition at line 73 of file BrokerageModelPythonWrapper.cs.

The documentation for this class was generated from the following file:

Common/Python/BrokerageModelPythonWrapper.cs

Public Member Functions

Properties

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ BrokerageModelPythonWrapper()

Member Function Documentation

◆ ApplySplit()

◆ CanExecuteOrder()

◆ CanSubmitOrder()

◆ CanUpdateOrder()

◆ GetBenchmark()

◆ GetFeeModel()

◆ GetFillModel()

◆ GetLeverage()

◆ GetSettlementModel() [1/2]

◆ GetSettlementModel() [2/2]

◆ GetSlippageModel()

◆ Shortable()

◆ GetBuyingPowerModel() [1/2]

◆ GetBuyingPowerModel() [2/2]

◆ GetShortableProvider()

◆ GetModel()

◆ GetMarginInterestRateModel()

Property Documentation

◆ AccountType

◆ RequiredFreeBuyingPowerPercent

◆ DefaultMarkets