Reality Modeling

Brokerage Message Handler

Introduction

When your brokerage sends a message, you receive this information in the algorithm and can take any actions. When you place an order through your brokerage platform instead of placing it through LEAN, you can decide whether the transaction handler should process the order. By default, the transaction handler only process orders that you place through LEAN. Custom brokerage message handlers enable you to instruct the transaction handler to process orders that you create directly through your brokerage's platform.

Set Models

To set a brokerage message handler, in the Initializeinitialize method, call the SetBrokerageMessageHandlerset_brokerage_message_handler method.

Select Language:

public override void Initialize()
{
    // Set a custom brokerage message handler for the algorithm in Initialize method
    // It handles different type of returned message from the broker, helping you filter or abstract for the ones you care about
    SetBrokerageMessageHandler(new MyBrokerageMessageHandler(this));
}

def initialize(self) -> None:
    # Set a custom brokerage message handler for the algorithm in Initialize method
    # It handles different type of returned message from the broker, helping you filter or abstract for the ones you care about
    self.set_brokerage_message_handler(MyBrokerageMessageHandler(self))

Default Behavior

The default brokerage message handler is the DefaultBrokerageMessageHandler. The following table describes how the DefaultBrokerageMessageHandler processes brokerage messages:

Brokerage Message Type	Action
`BrokerageMessageType.InformationINFORMATION`	Sends a debug message for the algorithm.
`BrokerageMessageType.WarningWARNING`	Sends an error message for the algorithm.
`BrokerageMessageType.ErrorERROR`	Sets the algorithm runtime error and stops it.
`BrokerageMessageType.DisconnectDISCONNECT`	Stops the algorithm after 15 minutes if the market is open. Otherwise, it stops five minutes after market open.
`BrokerageMessageType.ReconnectRECONNECT`	Cancels the disconnection process.

The default brokerage message handler rejects orders you create through the brokerage. An example of this is when you place an order using the brokerage website or a third-party software.

The following table describes the arguments the model accepts:

Argument	Data Type	Description	Default Value
`algorithmalgorithm`	`IAlgorithm`	The running algorithm.
`initialDelayinitial_delay`	`TimeSpan?timedelta/NoneType`	The amount of time LEAN will wait after a brokerage disconnection message for a reconnection message. If the reconnection message doesn't arrive before the time limit, LEAN stops running. If you don't provide a value, it uses `TimeSpan.FromMinutes(15)timedelta(minutes=15)`.	`nullNone`
`openThresholdopen_threshold`	`TimeSpan?timedelta/NoneType`	Defines how long before market open to re-check for brokerage reconnect message. If you don't provide a value, it uses `TimeSpan.FromMinutes(5)timedelta(minutes=5)`.	`nullNone`

To view the implementation of this model, see the LEAN GitHub repository.

Model Structure

Brokerage message handlers extend the DefaultBrokerageMessageHandler class. Extensions of the DefaultBrokerageMessageHandler class should define the HandleMessagehandle_message and HandleOrderhandle_order methods.

The HandleMessagehandle_message method processes the brokerage message event. It triggers any actions in the algorithm or notifications system required.

The HandleOrderhandle_order method defines whether the transaction handler should process a new order you placed directly through the brokerage's website or third-party software.

Select Language:

public class CustomBrokerageMessageHandlerExampleAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        // In the Initialize method, set the brokerage message handler
        SetBrokerageMessageHandler(new MyBrokerageMessageHandler(this));
    }
}

// Define the custom brokerage message handler
public class MyBrokerageMessageHandler : DefaultBrokerageMessageHandler
{
    private readonly IAlgorithm _algorithm;
    public MyBrokerageMessageHandler(IAlgorithm algorithm) 
        : base(algorithm)
    { 
        _algorithm = algorithm; 
    }

    public void HandleMessage(BrokerageMessageEvent message)
    {
        _algorithm.Debug($"{_algorithm.Time.ToStringInvariant("o")} Event: {message.Message}");
    }

    public bool HandleOrder(NewBrokerageOrderNotificationEventArgs eventArgs)
    {
        return false;
    }
}

class CustomBrokerageMessageHandlerExampleAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        # In the Initialize method, set the brokerage message handler
        self.set_brokerage_message_handler(MyBrokerageMessageHandler(self))
        
# Define the custom brokerage message handler
class MyBrokerageMessageHandler(DefaultBrokerageMessageHandler):
        
    def __init__(self, algorithm):
        self._algorithm = algorithm

    def handle_message(self, message: BrokerageMessageEvent) -> None:
        self._algorithm.debug(f"{self._algorithm.time} Event: {message.message}")

    def handle_order(self, event_args: NewBrokerageOrderNotificationEventArgs) -> bool:
        return False

The BrokerageMessageEvent class has the following properties:

The NewBrokerageOrderNotificationEventArgs class has the following properties:

Brokerage Support

Most QuantConnect brokerage integrations don't support brokerage-side orders. If you create an order directly through your brokerage instead of through LEAN, your algorithm won't process the order because the return value of the HandleOrderhandle_order method is ignored.

Terminal Link is the exception that can support brokerage-side orders. This algorithm This algorithm demonstrates how to implement a custom brokerage handler that accepts orders with a target TerminalLinkOrderProperties.CustomNotes1TerminalLinkOrderProperties.custom_notes_1 value.

Examples

The following examples demonstrate common practices for implementing a custom brokerage message handler.

Example 1: Notification

The following algorithm buys and holds SPY. It implemented a custom brokerage message handler to send notifications to users through email and SMS in cases of disconnection, reconnections, and outside trades.

Select Language:

public class CustomBrokerageMessageHandlerAlgorithm : QCAlgorithm
{
    private Symbol _spy;

    public override void Initialize()
    {
        // To simulate the connection to IB brokerage.
        SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Margin);
        // Set the brokerage message handler to our custom model.
        SetBrokerageMessageHandler(new CustomBrokerageMessageHandler(this));

        // Request SPY data for trading.
        _spy = AddEquity("SPY").Symbol;
    }

    public override void OnData(Slice slice)
    {
        // Buy and hold SPY as a strategy.
        if (!Portfolio.Invested)
        {
            SetHoldings(_spy, 1m);
        }
    }
}

// Define the custom brokerage message handler.
public class CustomBrokerageMessageHandler : DefaultBrokerageMessageHandler
{
    private readonly IAlgorithm _algorithm;
    public CustomBrokerageMessageHandler(IAlgorithm algorithm) 
        : base(algorithm)
    { 
        _algorithm = algorithm; 
    }

    public void HandleMessage(BrokerageMessageEvent message)
    {
        // Notify the user by SMS on disconnection of the algorithm instance from the brokerage.
        if (message.Type == BrokerageMessageType.Disconnect)
        {
            _algorithm.Notify.Sms(
                phoneNumber: "<YOUR_PHONE_NUMBER>",
                message: "Your QC Algorithm instance 'CustomBrokerageMessageHandlerAlgorithm' was disconnected from the IB brokerage."
            );
        }
        // Notify the user by SMS on reconnection of the algorithm instance to the brokerage after disconnection.
        else if (message.Type == BrokerageMessageType.Reconnect)
        {
            _algorithm.Notify.Sms(
                phoneNumber: "<YOUR_PHONE_NUMBER>",
                message: "Your QC Algorithm instance 'CustomBrokerageMessageHandlerAlgorithm' was reconnected to the IB brokerage."
            );
        }
    }

    public bool HandleOrder(NewBrokerageOrderNotificationEventArgs eventArgs)
    {
        // Notify the user by email on receiving an order from outside the algorithm.
        _algorithm.Notify.Email(
            address: "<YOUR_EMAIL_ADDRESS@example.com>",
            subject: "Outside Order",
            message: "Your QC Algorithm instance 'CustomBrokerageMessageHandlerAlgorithm' detected an outside order from the IB brokerage; it has been processed to the algorithm."
        );
        // Process a new order placed through the brokerage's website or third-party software to handle it in the algorithm instance.
        return true;
    }
}

class CustomBrokerageMessageHandlerAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        # To simulate the connection to IB brokerage.
        self.set_brokerage_model(BrokerageName.INTERACTIVE_BROKERS_BROKERAGE, AccountType.MARGIN)
        # Set the brokerage message handler to our custom model.
        self.set_brokerage_message_handler(CustomBrokerageMessageHandler(self))

        # Request SPY data for trading.
        self.spy = self.add_equity("SPY").symbol

    def on_data(self, slice: Slice) -> None:
        # Buy and hold SPY as a strategy.
        if not self.portfolio.invested:
            self.set_holdings(self.spy, 1)

class CustomBrokerageMessageHandler(DefaultBrokerageMessageHandler):
    def __init__(self, algorithm: QCAlgorithm) -> None:
        self._algorithm = algorithm

    def handle_message(self, message: BrokerageMessageEvent) -> None:
        # Notify the user by SMS of the disconnection of the algorithm instance from the brokerage.
        if message.type == BrokerageMessageType.DISCONNECT:
            self._algorithm.notify.sms(
                phone_number="<YOUR_PHONE_NUMBER>",
                message="Your QC Algorithm instance 'CustomBrokerageMessageHandlerAlgorithm' was disconnected from the IB brokerage."
            )
        # Notify the user by SMS on reconnection of the algorithm instance to the brokerage after disconnection.
        elif message.type == BrokerageMessageType.RECONNECT:
            self._algorithm.notify.sms(
                phone_number="<YOUR_PHONE_NUMBER>",
                message="Your QC Algorithm instance 'CustomBrokerageMessageHandlerAlgorithm' was reconnected to the IB brokerage."
            )

    def handle_order(self, event_args: NewBrokerageOrderNotificationEventArgs) -> bool:
        # Notify the user by email on receiving an order from outside the algorithm.
        self._algorithm.notify.email(
            address="<YOUR_EMAIL_ADDRESS@example.com>",
            subject="Outside Order",
            message="Your QC Algorithm instance 'CustomBrokerageMessageHandlerAlgorithm' detected an outside order from the IB brokerage; it has been processed to the algorithm."
        )
        # Process a new order placed through the brokerage's website or third-party software to handle it in the algorithm instance.
        return True

Other Examples

For more examples, see the following algorithms:

Demonstration Algorithms

CustomBrokerageSideOrderHandlingRegressionAlgorithm.py Python

You can also see our Videos. You can also get in touch with us via Discord.

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