Supported Models

Charles Schwab

Introduction

This page explains the CharlesSchwabBrokerageModel, including the asset classes it supports, its default security-level models, and its default markets.

SetBrokerageModel(BrokerageName.CharlesSchwab, AccountType.Cash);
SetBrokerageModel(BrokerageName.CharlesSchwab, AccountType.Margin);
self.set_brokerage_model(BrokerageName.CHARLES_SCHWAB, AccountType.CASH)
self.set_brokerage_model(BrokerageName.CHARLES_SCHWAB, AccountType.MARGIN)

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

Asset Classes

The CharlesSchwabBrokerageModel supports the following asset classes:

Orders

The CharlesSchwabBrokerageModel supports several order types, order properties, and order updates.

Order Types

The following table describes the available order types for each asset class that the CharlesSchwabBrokerageModel supports:

Order TypeEquityEquity OptionsIndex Options
Marketgreen checkgreen checkgreen check
Limitgreen checkgreen checkgreen check
Stop marketgreen checkgreen check

Order Properties

The CharlesSchwabBrokerageModel supports custom order properties. The following table describes the members of the CharlesSchwabOrderProperties object that you can set to customize order execution.

PropertyData TypeDescriptionDefault Value
TimeInForcetime_in_forceTimeInForceA TimeInForce instruction to apply to the order. The following instructions are supported:
  • DayDAY
  • GoodTilCanceledGOOD_TIL_CANCELED
  • GoodTilDategood_til_date
TimeInForce.GoodTilCanceledTimeInForce.GOOD_TIL_CANCELED
ExtendedRegularTradingHoursextended_regular_trading_hoursboolIf set to true, allows orders to also trigger or fill outside of regular trading hours.falseFalse
 
public override void Initialize()
{
    // Set the default order properties
    DefaultOrderProperties.TimeInForce = TimeInForce.GoodTilCanceled;
}

public override void OnData(Slice slice)
{
    // Use default order order properties
    LimitOrder(_symbol, quantity, limitPrice);
    
    // Override the default order properties
    LimitOrder(_symbol, quantity, limitPrice, 
               orderProperties: new CharlesSchwabOrderProperties
               { 
                   TimeInForce = TimeInForce.Day,
                   ExtendedRegularTradingHours = false
               });
    LimitOrder(_symbol, quantity, limitPrice, 
               orderProperties: new CharlesSchwabOrderProperties
               { 
                   TimeInForce = TimeInForce.GoodTilDate(new DateTime(year, month, day))
               });
}
def initialize(self) -> None:
    # Set the default order properties
    self.default_order_properties.time_in_force = TimeInForce.GOOD_TIL_CANCELED

def on_data(self, slice: Slice) -> None:
    # Use default order order properties
    self.limit_order(self._symbol, quantity, limit_price)
    
    # Override the default order properties
    order_properties = CharlesSchwabOrderProperties()
    order_properties.time_in_force = TimeInForce.DAY
    order_properties.extended_regular_trading_hours = True
    self.limit_order(self._symbol, quantity, limit_price, order_properties=order_properties)

    order_properties.time_in_force = TimeInForce.good_til_date(datetime(year, month, day))
    self.limit_order(self._symbol, quantity, limit_price, order_properties=order_properties)

Updates

The CharlesSchwabBrokerageModel supports order updates.

Handling Splits

If you're using raw data normalization and you have active orders with a limit, stop, or trigger price in the market for a US Equity when a stock split occurs, the following properties of your orders automatically adjust to reflect the stock split:

  • Quantity
  • Limit price
  • Stop price
  • Trigger price

Fills

The CharlesSchwabBrokerageModel uses the EquityFillModel for Equity trades and the ImmediateFillModel for Equity and Index Options trades.

Slippage

The CharlesSchwabBrokerageModel uses the NullSlippageModel.

Fees

The CharlesSchwabBrokerageModel uses the CharlesSchwabFeeModel.

Buying Power

The CharlesSchwabBrokerageModel uses the SecurityMarginModel. If you have a margin account, the CharlesSchwabBrokerageModel allows up to 2x leverage.

Settlement

The CharlesSchwabBrokerageModel uses the ImmediateSettlementModel for margin accounts and the DelayedSettlementModel with the default settlement rules for cash accounts.

// For cash accounts:
security.SetSettlementModel(new DelayedSettlementModel(Equity.DefaultSettlementDays, Equity.DefaultSettlementTime));

// For margin accounts:
security.SetSettlementModel(new ImmediateSettlementModel());
# For cash accounts:
security.set_settlement_model(DelayedSettlementModel(Equity.DEFAULT_SETTLEMENT_DAYS, Equity.DEFAULT_SETTLEMENT_TIME))

# For margin accounts:
security.set_settlement_model(ImmediateSettlementModel())

Margin Interest Rate

The CharlesSchwabBrokerageModel uses the NullMarginInterestRateModel.

Default Markets

The default market of the CharlesSchwabBrokerageModel is Market.USA.

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