Brokerage models improvements (QuantConnect#5267)

* fix Atreyu brokerage type full name

* improve brokerage models

-AtreyuBrokerageModel
-TradingTechnologiesBrokerageModel

* remove Limit price checks

Common/Brokerages/AtreyuBrokerageModel.cs

@@ -13,10 +13,17 @@
  * limitations under the License.
 */
 
+using System.Linq;
+using System.Collections.Generic;
+using QuantConnect.Benchmarks;
 using QuantConnect.Data.Shortable;
 using QuantConnect.Interfaces;
+using QuantConnect.Orders;
 using QuantConnect.Orders.Fees;
+using QuantConnect.Orders.TimeInForces;
 using QuantConnect.Securities;
+using QuantConnect.Util;
+using static QuantConnect.StringExtensions;
 
 namespace QuantConnect.Brokerages
 {
@@ -26,6 +33,25 @@ namespace QuantConnect.Brokerages
     public class AtreyuBrokerageModel : DefaultBrokerageModel
     {
         private readonly IShortableProvider _shortableProvider;
+        private readonly System.Type[] _supportedTimeInForces =
+        {
+            typeof(DayTimeInForce)
+        };
+
+        private readonly OrderType[] _supportedOrderTypes =
+        {
+            OrderType.Limit,
+            OrderType.Market,
+            OrderType.MarketOnClose
+        };
+
+        /// <summary>
+        /// The default markets for Trading Technologies
+        /// </summary>
+        public new static readonly IReadOnlyDictionary<SecurityType, string> DefaultMarketMap = new Dictionary<SecurityType, string>
+        {
+            {SecurityType.Equity, Market.USA}
+        }.ToReadOnlyDictionary();
 
         /// <summary>
         /// Creates a new instance
@@ -35,6 +61,11 @@ public AtreyuBrokerageModel(AccountType accountType = AccountType.Margin) : base
             _shortableProvider = new AtreyuShortableProvider(SecurityType.Equity, Market.USA);
         }
 
+        /// <summary>
+        /// Gets a map of the default markets to be used for each security type
+        /// </summary>
+        public override IReadOnlyDictionary<SecurityType, string> DefaultMarkets => DefaultMarketMap;
+
         /// <summary>
         /// Provides Atreyu fee model
         /// </summary>
@@ -53,5 +84,85 @@ public override IShortableProvider GetShortableProvider()
         {
             return _shortableProvider;
         }
+
+        /// <summary>
+        /// Get the benchmark for this model
+        /// </summary>
+        /// <param name="securities">SecurityService to create the security with if needed</param>
+        /// <returns>The benchmark for this brokerage</returns>
+        public override IBenchmark GetBenchmark(SecurityManager securities)
+        {
+            // Equivalent to no benchmark
+            return new FuncBenchmark(x => 0);
+        }
+
+        /// <summary>
+        /// Returns true if the brokerage could accept this order.
+        /// </summary>
+        /// <param name="security">The security being ordered</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 = null;
+
+            // validate security type
+            if (!DefaultMarketMap.ContainsKey(security.Type))
+            {
+                message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
+                    Invariant($"The {nameof(AtreyuBrokerageModel)} does not support {security.Type} security type.")
+                );
+
+                return false;
+            }
+
+            // validate order type
+            if (!_supportedOrderTypes.Contains(order.Type))
+            {
+                message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
+                    Invariant($"The {nameof(AtreyuBrokerageModel)} does not support {order.Type} order type.")
+                );
+
+                return false;
+            }
+
+            // validate time in force
+            if (!_supportedTimeInForces.Contains(order.TimeInForce.GetType()))
+            {
+                message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
+                    Invariant($"The {nameof(AtreyuBrokerageModel)} does not support {order.TimeInForce.GetType().Name} time in force.")
+                );
+
+                return false;
+            }
+
+            // validate orders quantity
+            if (order.AbsoluteQuantity % 1 != 0)
+            {
+                message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
+                    Invariant($"Order Quantity must be Integer, but provided {order.Quantity}.")
+                );
+
+                return false;
+            }
+
+            return true;
+        }
+
+        /// <summary>
+        /// Returns true if the brokerage would allow updating the order as specified by the request
+        /// </summary>
+        /// <param name="security">The security of the order</param>
+        /// <param name="order">The order to be updated</param>
+        /// <param name="request">The requested update to be made to the order</param>
+        /// <param name="message">If this function returns false, a brokerage message detailing why the order may not be updated</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/Brokerages/TradingTechnologiesBrokerageModel.cs

@@ -100,7 +100,7 @@ public override bool CanSubmitOrder(Security security, Order order, out Brokerag
             if (security.Type != SecurityType.Future)
             {
                 message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
-                    Invariant($"The {nameof(InteractiveBrokersBrokerageModel)} does not support {security.Type} security type.")
+                    Invariant($"The {nameof(TradingTechnologiesBrokerageModel)} does not support {security.Type} security type.")
                 );
 
                 return false;
@@ -120,19 +120,13 @@ public override bool CanSubmitOrder(Security security, Order order, out Brokerag
             if (!_supportedTimeInForces.Contains(order.TimeInForce.GetType()))
             {
                 message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
-                    Invariant($"The {nameof(InteractiveBrokersBrokerageModel)} does not support {order.TimeInForce.GetType().Name} time in force.")
+                    Invariant($"The {nameof(TradingTechnologiesBrokerageModel)} does not support {order.TimeInForce.GetType().Name} time in force.")
                 );
 
                 return false;
             }
 
-            // validate stop/limit orders prices
-            var limit = order as LimitOrder;
-            if (limit != null)
-            {
-                return IsValidOrderPrices(security, OrderType.Limit, limit.Direction, security.Price, limit.LimitPrice, ref message);
-            }
-
+            // validate stop orders prices
             var stopMarket = order as StopMarketOrder;
             if (stopMarket != null)
             {

Launcher/config.json

@@ -328,7 +328,7 @@
       "live-mode": true,
 
       // real brokerage implementations require the BrokerageTransactionHandler
-      "live-mode-brokerage": "QuantConnect.Brokerages.Atreyu.AtreyuBrokerage",
+      "live-mode-brokerage": "QuantConnect.Atreyu.AtreyuBrokerage",
       "data-queue-handler": "QuantConnect.Lean.Engine.DataFeeds.Queues.LiveDataQueue",
       "setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
       "result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",