Supported Models
SSC Eze
Introduction
This page explains the EzeBrokerageModel, including the asset classes it supports, its default security-level models, and its default markets.
SetBrokerageModel(BrokerageName.Eze, AccountType.Margin);
self.set_brokerage_model(BrokerageName.EZE, AccountType.MARGIN)
To view the implementation of this model, see the LEAN GitHub repository.
Orders
The EzeBrokerageModel 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 EzeBrokerageModel supports:
| Order Type | Equity | Equity Options | Futures | Future Options | Index Options |
|---|---|---|---|---|---|
| Market |  | | | | |
| Limit | | | | | |
| Stop market | | | | | |
| Stop limit | | | | | |
| Market on Open | | ||||
| Market on Close | |
Order Properties
The EzeBrokerageModel supports custom order properties. The following table describes the members of the EzeOrderProperties object that you can set to customize order execution.
| Property | Data Type | Description | Default Value |
|---|---|---|---|
TimeInForcetime_in_force | TimeInForce | A TimeInForce instruction to apply to the order. The following instructions are supported:
| TimeInForce.GoodTilCanceledTimeInForce.GOOD_TIL_CANCELED |
Routeroute | stringstr | Sets the route name as shown in SS&C Eze EMS. | |
Accountaccount | stringstr | Sets a semi-colon separated list of trade or neutral accounts the user has permission for, e.g., "TAL;TEST;USER1;TRADE" or "TAL;TEST;USER2;NEUTRAL". | |
Notesnotes | stringstr | Sets the user message or notes. |
public override void Initialize()
{
// Set the default order properties
DefaultOrderProperties = new EzeOrderProperties
{
TimeInForce = TimeInForce.GoodTilCanceled,
Notes = "Default order properties"
};
}
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 EzeOrderProperties
{
TimeInForce = TimeInForce.Day,
Notes = "Default order properties"
});
} def initialize(self) -> None:
# Set the default order properties
self.default_order_properties = EzeOrderProperties()
self.default_order_properties.time_in_force = TimeInForce.GOOD_TIL_CANCELED
self.default_order_properties.notes = "Default order properties"
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 = EzeOrderProperties()
order_properties.time_in_force = TimeInForce.DAY
order_properties.notes = "Default order properties"
self.limit_order(self._symbol, quantity, limit_price, order_properties=order_properties)
Updates
The EzeBrokerageModel 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 EzeBrokerageModel uses for each SecurityType:
SecurityType | Fill Model |
|---|---|
Equity | EquityFillModel |
Future | FutureFillModel |
FutureOption | FutureOptionFillModel |
Remaining SecurityType values | ImmediateFillModel |
Slippage
The EzeBrokerageModel uses the NullSlippageModel.
Fees
The EzeBrokerageModel uses the EzeFeeModel which extends the ConstantFeeModel with with zero as fee for all assets.
Buying Power
The EzeBrokerageModel 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 Class | Model |
|---|---|
| Equities | SecurityMarginModel |
| Futures | FutureMarginModel |
| All Options Types | OptionMarginModel |
If you have a margin account, the EzeBrokerageModel allows 2x leverage for Equities. The remaining asset classes are derivatives.
Settlement
The following table shows which settlement model the EzeBrokerageModel uses based on the security type and your account type:
| Security Type | Account Type | Settlement Model |
|---|---|---|
| Equity | Cash | DelayedSettlementModel with the default settlement rules |
| Option | Cash | DelayedSettlementModel with the default settlement rules |
| Future | Any | FutureSettlementModel |
For all other cases, the EzeBrokerageModel 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 EzeBrokerageModel uses the NullMarginInterestRateModel.
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