Feature: Implementation Trade Station Brokerage (#8031)

* refactor: make public futuresMonth Collection

* feat: TradeStation brokerage

* feat: PositionSide for Option in TradeStationOrderProperties

* feat: missed market TradeStation name

* feat: missed config TradeStation

* remove: extra TradeStation code

* remove: pragrma warning

* feat: implement TradeStationFeeModel

Common/Brokerages/BrokerageName.cs

@@ -167,6 +167,11 @@ public enum BrokerageName
         /// <summary>
         /// Transaction and submit/execution rules will use Coinbase broker's model
         /// </summary>
-        Coinbase
+        Coinbase,
+
+        /// <summary>
+        /// Transaction and submit/execution rules will use TradeStation models
+        /// </summary>
+        TradeStation
     }
 }

Common/Brokerages/IBrokerageModel.cs

@@ -272,6 +272,9 @@ public static IBrokerageModel Create(IOrderProvider orderProvider, BrokerageName
                 case BrokerageName.Eze:
                     return new EzeBrokerageModel(accountType);
 
+                case BrokerageName.TradeStation:
+                    return new TradeStationBrokerageModel(accountType);
+
                 default:
                     throw new ArgumentOutOfRangeException(nameof(brokerage), brokerage, null);
             }
@@ -363,6 +366,9 @@ public static BrokerageName GetBrokerageName(IBrokerageModel brokerageModel)
                 case EzeBrokerageModel _:
                     return BrokerageName.Eze;
 
+                case TradeStationBrokerageModel _:
+                    return BrokerageName.TradeStation;
+
                 case DefaultBrokerageModel _:
                     return BrokerageName.Default;
 

Common/Brokerages/TradeStationBrokerageModel.cs

@@ -0,0 +1,119 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ *
+*/
+
+using QuantConnect.Orders;
+using QuantConnect.Securities;
+using QuantConnect.Orders.Fees;
+using System.Collections.Generic;
+
+namespace QuantConnect.Brokerages
+{
+    /// <summary>
+    /// Represents a brokerage model specific to TradeStation.
+    /// </summary>
+    public class TradeStationBrokerageModel : DefaultBrokerageModel
+    {
+        /// <summary>
+        /// HashSet containing the security types supported by TradeStation.
+        /// </summary>
+        private readonly HashSet<SecurityType> _supportSecurityTypes = new(
+            new[]
+            {
+                SecurityType.Equity,
+                SecurityType.Option,
+                SecurityType.Future
+            });
+
+        /// <summary>
+        /// HashSet containing the order types supported by TradeStation.
+        /// </summary>
+        private readonly HashSet<OrderType> _supportOrderTypes = new(
+            new[]
+            {
+                OrderType.Market,
+                OrderType.Limit,
+                OrderType.StopMarket,
+                OrderType.StopLimit
+            });
+
+        /// <summary>
+        /// Constructor for TradeStation brokerage model
+        /// </summary>
+        /// <param name="accountType">Cash or Margin</param>
+        public TradeStationBrokerageModel(AccountType accountType = AccountType.Margin)
+            : base(accountType)
+        {
+        }
+
+        /// <summary>
+        /// Provides TradeStation fee model
+        /// </summary>
+        /// <param name="security">Security</param>
+        /// <returns>TradeStation fee model</returns>
+        public override IFeeModel GetFeeModel(Security security)
+        {
+            return new TradeStationFeeModel();
+        }
+
+        /// <summary>
+        /// Returns true if the brokerage could accept this order. This takes into account
+        /// order type, security type, and order size limits.
+        /// </summary>
+        /// <remarks>
+        /// For example, a brokerage may have no connectivity at certain times, or an order rate/size limit
+        /// </remarks>
+        /// <param name="security">The security of the order</param>
+        /// <param name="order">The order to be processed</param>
+        /// <param name="message">If this function returns false, a brokerage message detailing why the order may not be submitted</param>
+        /// <returns>True if the brokerage could process the order, false otherwise</returns>
+        public override bool CanSubmitOrder(Security security, Order order, out BrokerageMessageEvent message)
+        {
+            message = default;
+
+            if (!_supportSecurityTypes.Contains(security.Type))
+            {
+                message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
+                    Messages.DefaultBrokerageModel.UnsupportedSecurityType(this, security));
+
+                return false;
+            }
+
+            if (!_supportOrderTypes.Contains(order.Type))
+            {
+                message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
+                    Messages.DefaultBrokerageModel.UnsupportedOrderType(this, order, _supportOrderTypes));
+
+                return false;
+            }
+
+            return base.CanSubmitOrder(security, order, out message);
+        }
+
+        /// <summary>
+        /// TradeStation support Update Order
+        /// </summary>
+        /// <param name="security">Security</param>
+        /// <param name="order">Order that should be updated</param>
+        /// <param name="request">Update request</param>
+        /// <param name="message">Outgoing message</param>
+        /// <returns>True if the brokerage would allow updating the order, false otherwise</returns>
+        public override bool CanUpdateOrder(Security security, Order order, UpdateOrderRequest request, out BrokerageMessageEvent message)
+        {
+            message = null;
+            return true;
+        }
+    }
+}

Common/Orders/Fees/TradeStationFeeModel.cs

@@ -0,0 +1,83 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ *
+*/
+
+using System;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Orders.Fees
+{
+    /// <summary>
+    /// Represents a fee model specific to TradeStation.
+    /// </summary>
+    /// <see href="https://www.tradestation.com/pricing"/>
+    /// <remarks>
+    /// It is $0 for domestic and $5 for international clients for normal equities trades up to 10,000 shares, then $0.005 per share after.
+    /// Options are $0.60 per contract, per side, and an extra $1 for index options
+    /// </remarks>
+    public class TradeStationFeeModel : FeeModel
+    {
+        /// <summary>
+        /// Represents the fee associated with equity options transactions (per contract).
+        /// </summary>
+        private const decimal _equityOptionFee = 0.6m;
+
+        /// <summary>
+        /// Represents the fee associated with futures transactions (per contract, per side).
+        /// </summary>
+        private const decimal _futuresFee = 1.5m;
+
+        /// <summary>
+        /// Gets the commission per trade based on the residency status of the entity or person.
+        /// </summary>
+        private decimal CommissionPerTrade => USResident ? 0m : 5.0m;
+
+        /// <summary>
+        /// Gets or sets a value indicating whether the entity or person is a resident of the United States.
+        /// </summary>
+        /// <value>
+        /// <c>true</c> if the entity or person is a US resident; otherwise, <c>false</c>.
+        /// </value>
+        public bool USResident { get; set; } = true;
+
+        /// <summary>
+        /// Calculates the order fee based on the security type and order parameters.
+        /// </summary>
+        /// <param name="parameters">The parameters for the order fee calculation, which include security and order details.</param>
+        /// <returns>
+        /// An <see cref="OrderFee"/> instance representing the calculated order fee.
+        /// </returns>
+        /// <exception cref="ArgumentNullException">
+        /// Thrown when <paramref name="parameters"/> is <c>null</c>.
+        /// </exception>
+        public override OrderFee GetOrderFee(OrderFeeParameters parameters)
+        {
+            if (parameters == null)
+            {
+                throw new ArgumentNullException(nameof(parameters), "Order fee parameters cannot be null.");
+            }
+
+            switch (parameters.Security.Type)
+            {
+                case SecurityType.Option:
+                    return new OrderFee(new CashAmount(CommissionPerTrade + parameters.Order.AbsoluteQuantity * _equityOptionFee, Currencies.USD));
+                case SecurityType.Future:
+                    return new OrderFee(new CashAmount(parameters.Order.AbsoluteQuantity * _futuresFee, Currencies.USD));
+                default:
+                    return new OrderFee(new CashAmount(CommissionPerTrade, Currencies.USD));
+            }
+        }
+    }
+}

Common/Orders/TradeStationOrderProperties.cs

@@ -0,0 +1,24 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ *
+*/
+
+namespace QuantConnect.Orders
+{
+    /// <summary>
+    /// Represents the properties of an order in TradeStation.
+    /// </summary>
+    public class TradeStationOrderProperties : OrderProperties
+    { }
+}

Common/SymbolRepresentation.cs

@@ -127,12 +127,12 @@ public static FutureTickerProperties ParseFutureTicker(string ticker)
                 return null;
             }
 
-            if (!_futuresMonthCodeLookup.ContainsKey(expirationMonthString))
+            if (!FuturesMonthCodeLookup.ContainsKey(expirationMonthString))
             {
                 return null;
             }
 
-            var expirationMonth = _futuresMonthCodeLookup[expirationMonthString];
+            var expirationMonth = FuturesMonthCodeLookup[expirationMonthString];
 
             return new FutureTickerProperties
             {
@@ -283,7 +283,7 @@ public static string GenerateFutureTicker(string underlying, DateTime expiration
 
             var expirationDay = includeExpirationDate ? $"{expiration.Day:00}" : string.Empty;
 
-            return $"{underlying}{expirationDay}{_futuresMonthLookup[month]}{year}";
+            return $"{underlying}{expirationDay}{FuturesMonthLookup[month]}{year}";
         }
 
         /// <summary>
@@ -463,23 +463,29 @@ public static OptionTickerProperties ParseOptionTickerIQFeed(string ticker)
                         };
 
 
-        private static IReadOnlyDictionary<string, int> _futuresMonthCodeLookup = new Dictionary<string, int>
-                        {
-                            { "F", 1 },
-                            { "G", 2 },
-                            { "H", 3 },
-                            { "J", 4 },
-                            { "K", 5 },
-                            { "M", 6 },
-                            { "N", 7 },
-                            { "Q", 8 },
-                            { "U", 9 },
-                            { "V", 10 },
-                            { "X", 11 },
-                            { "Z", 12 }
-                        };
+        /// <summary>
+        /// Provides a lookup dictionary for mapping futures month codes to their corresponding numeric values.
+        /// </summary>
+        public static IReadOnlyDictionary<string, int> FuturesMonthCodeLookup { get; } = new Dictionary<string, int>
+        {
+            { "F", 1 }, // January
+            { "G", 2 }, // February
+            { "H", 3 }, // March
+            { "J", 4 }, // April
+            { "K", 5 }, // May
+            { "M", 6 }, // June
+            { "N", 7 }, // July
+            { "Q", 8 }, // August
+            { "U", 9 }, // September
+            { "V", 10 }, // October
+            { "X", 11 }, // November
+            { "Z", 12 } // December
+        };
 
-        private static IReadOnlyDictionary<int, string> _futuresMonthLookup = _futuresMonthCodeLookup.ToDictionary(kv => kv.Value, kv => kv.Key);
+        /// <summary>
+        /// Provides a lookup dictionary for mapping numeric values to their corresponding futures month codes.
+        /// </summary>
+        public static IReadOnlyDictionary<int, string> FuturesMonthLookup { get; } = FuturesMonthCodeLookup.ToDictionary(kv => kv.Value, kv => kv.Key);
 
         /// <summary>
         /// Get the expiration year from short year (two-digit integer).

Launcher/config.json

@@ -207,6 +207,20 @@
   "tt-order-routing-port": "",
   "tt-log-fix-messages": false,
 
+  // Trade Station configuration
+  "trade-station-api-key": "",
+  "trade-station-api-secret": "",
+  "trade-station-code-from-url": "",
+  "trade-station-redirect-url": "http://localhost",
+  "trade-station-refresh-token": "",
+  "trade-station-api-url": "https://sim-api.tradestation.com",
+  "trade-station-account-type": "Cash|Margin|Futures",
+  // [Optional] Trade Station Proxy Settings
+  "trade-station-use-proxy": false,
+  "trade-station-proxy-address-port": "",
+  "trade-station-proxy-username": "",
+  "trade-station-proxy-password": "",
+
   // Exante trading configuration
   // client-id, application-id, shared-key are required to access Exante REST API
   // Exante generates them at https://exante.eu/clientsarea/dashboard/ after adding an application