Supported Models

TradeStation

Introduction

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

SetBrokerageModel(BrokerageName.TradeStation, AccountType.Cash);
SetBrokerageModel(BrokerageName.TradeStation, AccountType.Margin);
self.set_brokerage_model(BrokerageName.TRADE_STATION, AccountType.CASH)
self.set_brokerage_model(BrokerageName.TRADE_STATION, AccountType.MARGIN)

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

Asset Classes

The TradeStationBrokerageModel supports trading the following asset classes:

Orders

The TradeStationBrokerageModel 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 TradeStationBrokerageModel supports:

Order TypeEquityEquity OptionsIndex OptionsFutures
Marketgreen checkgreen checkgreen checkgreen check
Limitgreen checkgreen checkgreen checkgreen check
Stop marketgreen checkgreen checkgreen checkgreen check
Stop limitgreen checkgreen checkgreen checkgreen check
Market on Opengreen check
Market on Closegreen check
Combo marketgreen checkgreen checkgreen checkgreen check
Combo limitgreen checkgreen checkgreen checkgreen check

Time In Force

The TradeStationBrokerageModel supports the following TimeInForce instructions:

  • DayDAY
  • GoodTilCanceledGOOD_TIL_CANCELED
  • GoodTilDategood_til_date
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 TradeStationOrderProperties
               { 
                   TimeInForce = TimeInForce.Day
               });
    LimitOrder(_symbol, quantity, limitPrice, 
               orderProperties: new TradeStationOrderProperties
               { 
                   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 = TradeStationOrderProperties()
    order_properties.time_in_force = TimeInForce.DAY
    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 TradeStationBrokerageModel 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 following table shows the fill model that the TradeStationBrokerageModel uses for each SecurityType:

SecurityTypeFill Model
EquityEquityFillModel
OptionImmediateFillModel
FutureFutureFillModel

Slippage

The TradeStationBrokerageModel uses the NullSlippageModel.

Fees

The TradeStationBrokersBrokerageModel uses the TradeStationFeeModel with the default argument values. We model current TradeStation fees on all assets.

Buying Power

The TradeStationBrokerageModel sets the buying power model based on the asset class of the security. The following table shows the default buying power model of each asset class:

Asset ClassModel
EquitiesSecurityMarginModel
Equity OptionsOptionMarginModel
FuturesFutureMarginModel

If you have a margin account, the TradeStationBrokerageModel allows 2x leverage for Equities and and 1x leverage for Equity Options and Futures.

Settlement

The following table shows which settlement model the TradeStationBrokerageModel uses based on the security type and your account type:

Security TypeAccount TypeSettlement Model
EquityCashDelayedSettlementModel with the default settlement rules
OptionCashDelayedSettlementModel with the default settlement rules
FutureAnyFutureSettlementModel

For all other cases, the TradeStationBrokerageModel uses the ImmediateSettlementModel.

// For US Equities with a cash account:
security.SetSettlementModel(new DelayedSettlementModel(Equity.DefaultSettlementDays, Equity.DefaultSettlementTime));

// For Equity Options with a cash account:
security.SetSettlementModel(new DelayedSettlementModel(Option.DefaultSettlementDays, Option.DefaultSettlementTime));

// For Futures
security.SetSettlementModel(new FutureSettlementModel());

// For remaining cases:
security.SetSettlementModel(new ImmediateSettlementModel());
# For US Equities with a cash account:
security.set_settlement_model(DelayedSettlementModel(Equity.DEFAULT_SETTLEMENT_DAYS, Equity.DEFAULT_SETTLEMENT_TIME))

# For Equity Options with a cash account:
security.set_settlement_model(DelayedSettlementModel(Option.DEFAULT_SETTLEMENT_DAYS, Option.DEFAULT_SETTLEMENT_TIME))

# For Futures
security.set_settlement_model(FutureSettlementModel())

# For remaining cases:
security.set_settlement_model(ImmediateSettlementModel())

Margin Interest Rate

The TradeStationBrokerageModel uses the NullMarginInterestRateModel.

Default Markets

The following table describes the default markets of each SecurityType for the TradeStationBrokerageModel:

SecurityTypeMarket
EquityUSA
OptionUSA
FutureCME

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