Problems with custom unsupported broker

Hello, I have several questions about creating a custom brokerage. I have already completed my custom brokerage (dYdX), but I am encountering errors during initialization.

Here is my algorithm's initialization:

public override void Initialize()
	{
	     const string market = "dydx";
	     Transactions.MarketOrderFillTimeout = TimeSpan.FromMinutes(15);
	     SetBrokerageModel(new DydxBrokerageModel());
	     var marketHoursDatabase = QuantConnect.Securities.MarketHoursDatabase.FromDataFolder();
	     var alwaysOpen = QuantConnect.Securities.SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc);
	     marketHoursDatabase.SetEntry(market, "[*]", SecurityType.CryptoFuture, alwaysOpen);
	     _symbol = AddCryptoFuture("BTCUSD", Resolution.Tick, market).Symbol;
	     Portfolio.CashBook.Add("BTC", 0, 0);
	     //Portfolio.CashBook["BTC"].SetAmount(30000);
	     SetBenchmark(_symbol);
	}
+ Expand
- Collapse

Here is my live mode config:

"live-dydx": {
	  "live-mode": true,
	  "live-mode-brokerage": "DydxBrokerage",
	  "setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
	  "result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
	  "data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
	  //"data-queue-handler": [ "DydxBrokerageDataQueue" ],
	  "data-queue-handler": [ "DydxBrokerage" ],
	  "real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
	  //"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BacktestingTransactionHandler",
	  "transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.DydxBrokerageTransactionHandler"
	}

No tradable pair was found for currency BTC. The conversion rate to the account currency (USD) will be set to zero. Markets: [Forex:OANDA, CFD:OANDA, Crypto:Coinbase]

Even if this issue is resolved, it seems my custom broker is not as flexible as the supported brokers. Maybe I'm missing some implementation details, or perhaps it's not possible to fully integrate a custom brokerage without modifying the Lean engine source code.

Why is Lean trying to use Coinbase or OANDA when I've specified my custom broker?

Based on the information gathered, here is a step-by-step guide to help you troubleshoot and debug your custom dYdX brokerage implementation:

Custom Brokerage Debugging Checklist

Brokerage Model Implementation:
- Verify that your custom brokerage class correctly implements all required methods (connect, disconnect, is_connected, etc.).
- Ensure error/exception handling is implemented for all critical API calls.
- Confirm that order events and fill handling logic are fully tested.
Market Hours Configuration:
- Confirm that the securities' Market Hours Database entries are correct for the brokerage's exchange.
- Adjust the trading times if the brokerage has special sessions or different holidays.
Cashbook Setup:
- Verify that the initialization logic correctly updates the cashbook with the starting cash amounts.
- Ensure conversions between currencies are handled properly during algorithm setup.
Initializing and Configuring the Brokerage:
- Confirm that the correct environment (paper trading vs. live trading) is set.
- Double-check login credentials and connectivity parameters.
- Make sure the data feed endpoints match the brokerage's live data or paper feed.
Testing Within Lean Engine:
- Build and run Lean locally with your custom brokerage to confirm no missing dependencies.
- Check for errors in the logs during startup, such as missing DLLs or configuration keys.
- Ensure the BrokerageFactory and the relevant configuration reference your custom brokerage class.
Foreign Exchange Errors with Cryptocurrencies:
- Ensure the brokerage supports the cryptocurrency pairs you want.
- Update the currency conversion setup for crypto. Confirm the correct pairs (e.g., BTCUSD, ETHUSD) exist.
- Verify the data feed is properly subscribed. This is crucial if your brokerage requires a direct feed.
Logging and Diagnostics:
- Use extensive logging for debugging. Log all REST/websocket calls in the brokerage implementation.
- Check order creation and response details in the live logs.
- Investigate any exceptions or disconnection warnings.
Final Steps:
- Confirm trades are placed and filled as expected. Compare with the brokerage UI/trading platform.
- Verify that no timeouts or disconnection issues exist in both local and cloud deployments.
- Once stable, thoroughly test edge-cases (market closure, reconnect, partial fills, etc.).

By following these steps, you should be able to address any issues with your custom brokerage implementation and ensure it works seamlessly within the QuantConnect ecosystem. If the problem persists, you may need to check for updates or modifications required in the Lean engine source code to fully support your custom brokerage features.

Sources: Brokerages - QuantConnect.com, Key Concepts - QuantConnect.com, Brokerage Model Algorithm, Custom Brokerage Model Regression Algorithm, Brokerage Activity Event Handling Algorithm

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.

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