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RomazesRomazes
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feature: add webull brokerage core integration (#9362)
* feature: add webull brokerage core integration - add BrokerageName.Webull enum value - add WebullBrokerageModel supporting Equity, Option, IndexOption - add WebullFeeModel with zero commission for equity/option, tiered index option fees (SPX, SPXW, VIX/VIXW, XSP, DJX, NDX/NDXP), 0.6% crypto fee - register Webull in IBrokerageModel factory switch and GetBrokerageName - add webull config keys and live-webull environment to Launcher/config.json - add WebullBrokerageModelTests (CanSubmitOrder, GetFeeModel) - add WebullFeeModelTests covering all index option tiers and crypto * refactor: split webull supported order types per security type - replace flat _supportSecurityTypes/_supportOrderTypes with _supportedOrderTypesBySecurityType dictionary - options and index options: Limit, StopMarket, StopLimit only - equity, future, crypto: Market, Limit, StopMarket, StopLimit, TrailingStop - add WebullOrderProperties with OutsideRegularTradingHours flag - add messages for unsupported order type validation * fix: add market order type to option and index option supported orders * chore: add webull crypto symbols to symbol-properties-database * test: consolidate webull fee model and brokerage model tests - merge per-tier and per-symbol [Test] methods into [TestCase]/[TestCaseSource] parameterized tests in WebullFeeModelTests - replace CreateIndexOptionSecurity/CreateOptionSecurity/CreateCryptoSecurity with single CreateSecurity(SecurityType, decimal, string) helper - rename test methods to PascalCase (drop underscores) in WebullBrokerageModelTests - remove section-separator comments from WebullBrokerageModelTests - update Launcher/config.json for local Webull UAT environment * remove: restriction GTC for Option and Buy side only * refactor: limit webull to equity and options - remove crypto and future support from order types and tests - remove crypto fee logic and crypto symbol-properties rows - reject market orders with outsideRth on equity - log info when market order uses non-day tif
1 parent 96a670a commit 24afc50

10 files changed

Lines changed: 968 additions & 2 deletions

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‎Common/Brokerages/BrokerageName.cs‎

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@@ -197,6 +197,11 @@ public enum BrokerageName
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/// <summary>
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/// Transaction and submit/execution rules will use dYdX models
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/// </summary>
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DYDX
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DYDX,
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/// <summary>
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/// Transaction and submit/execution rules will use Webull models
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/// </summary>
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Webull
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}
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}

‎Common/Brokerages/IBrokerageModel.cs‎

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@@ -291,6 +291,9 @@ public static IBrokerageModel Create(IOrderProvider orderProvider, BrokerageName
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case BrokerageName.DYDX:
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return new dYdXBrokerageModel(accountType);
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case BrokerageName.Webull:
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return new WebullBrokerageModel(accountType);
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default:
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throw new ArgumentOutOfRangeException(nameof(brokerage), brokerage, null);
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}
@@ -394,6 +397,9 @@ public static BrokerageName GetBrokerageName(IBrokerageModel brokerageModel)
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case TastytradeBrokerageModel:
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return BrokerageName.Tastytrade;
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case WebullBrokerageModel:
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return BrokerageName.Webull;
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case DefaultBrokerageModel _:
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return BrokerageName.Default;
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‎Common/Brokerages/WebullBrokerageModel.cs‎

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@@ -0,0 +1,158 @@
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System.Collections.Generic;
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using QuantConnect.Logging;
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using QuantConnect.Orders;
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using QuantConnect.Orders.Fees;
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using QuantConnect.Orders.TimeInForces;
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using QuantConnect.Securities;
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namespace QuantConnect.Brokerages
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{
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/// <summary>
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/// Represents a brokerage model specific to Webull.
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/// </summary>
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public class WebullBrokerageModel : DefaultBrokerageModel
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{
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/// <summary>
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/// Flag to track if we've already logged a message about market orders only supporting Day TIF. We only want to log this once to avoid spamming the logs.
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/// </summary>
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private bool _marketOrderDayTimeInForceLogged;
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/// <summary>
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/// Maps each supported security type to the order types Webull allows for it.
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/// </summary>
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private static readonly Dictionary<SecurityType, HashSet<OrderType>> _supportedOrderTypesBySecurityType =
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new Dictionary<SecurityType, HashSet<OrderType>>
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{
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{
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SecurityType.Equity, new HashSet<OrderType>
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{
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OrderType.Market,
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OrderType.Limit,
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OrderType.StopMarket,
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OrderType.StopLimit,
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OrderType.TrailingStop
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}
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},
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{
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SecurityType.Option, new HashSet<OrderType>
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{
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OrderType.Market,
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OrderType.Limit,
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OrderType.StopMarket,
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OrderType.StopLimit
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}
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},
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{
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SecurityType.IndexOption, new HashSet<OrderType>
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{
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OrderType.Market,
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OrderType.Limit,
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OrderType.StopMarket,
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OrderType.StopLimit
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}
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}
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};
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/// <summary>
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/// Constructor for Webull brokerage model.
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/// </summary>
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/// <param name="accountType">Cash or Margin</param>
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public WebullBrokerageModel(AccountType accountType = AccountType.Margin)
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: base(accountType)
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{
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}
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/// <summary>
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/// Provides the Webull fee model.
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/// </summary>
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/// <param name="security">Security</param>
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/// <returns>Webull fee model</returns>
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public override IFeeModel GetFeeModel(Security security)
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{
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return new WebullFeeModel();
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}
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/// <summary>
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/// Returns true if the brokerage could accept this order. This takes into account
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/// order type, security type, and order size limits.
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/// </summary>
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/// <remarks>
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/// For example, a brokerage may have no connectivity at certain times, or an order rate/size limit.
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/// </remarks>
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/// <param name="security">The security of the order</param>
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/// <param name="order">The order to be processed</param>
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/// <param name="message">If this function returns false, a brokerage message detailing why the order may not be submitted</param>
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/// <returns>True if the brokerage could process the order, false otherwise</returns>
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public override bool CanSubmitOrder(Security security, Order order, out BrokerageMessageEvent message)
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{
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message = default;
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if (!_supportedOrderTypesBySecurityType.TryGetValue(security.Type, out var supportedOrderTypes))
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{
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message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
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Messages.DefaultBrokerageModel.UnsupportedSecurityType(this, security));
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return false;
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}
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if (!supportedOrderTypes.Contains(order.Type))
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{
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message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
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Messages.DefaultBrokerageModel.UnsupportedOrderType(this, order, supportedOrderTypes));
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return false;
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}
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if (!_marketOrderDayTimeInForceLogged && order.Type == OrderType.Market && order.TimeInForce is not DayTimeInForce)
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{
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_marketOrderDayTimeInForceLogged = true;
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Log.Trace("WebullBrokerageModel.CanSubmitOrder: Market orders support only Day TIF, which is set automatically by the brokerage.");
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}
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// Options and IndexOptions have per-direction TimeInForce restrictions.
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// https://developer.webull.com/apis/docs/trade-api/options#time-in-force
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// - Sell orders: Day only
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if (security.Type == SecurityType.Option || security.Type == SecurityType.IndexOption)
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{
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if (order.Direction == OrderDirection.Sell && order.TimeInForce is not DayTimeInForce)
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{
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message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
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Messages.WebullBrokerageModel.InvalidTimeInForceForOptionSellOrder(order));
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return false;
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}
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}
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if (order.Properties is WebullOrderProperties { OutsideRegularTradingHours: true })
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{
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if (security.Type is not SecurityType.Equity)
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{
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message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
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Messages.WebullBrokerageModel.OutsideRegularTradingHoursNotSupportedForSecurityType(security));
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return false;
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}
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if (order.Type == OrderType.Market)
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{
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message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
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Messages.WebullBrokerageModel.MarketOrdersNotSupportedOutsideRegularTradingHours());
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return false;
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}
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}
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return base.CanSubmitOrder(security, order, out message);
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}
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}
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}

‎Common/Messages/Messages.Brokerages.cs‎

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Original file line numberDiff line numberDiff line change
@@ -595,6 +595,39 @@ public static string UnsupportedOrderType(Orders.Order order)
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}
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}
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/// <summary>
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/// Provides user-facing messages for the <see cref="Brokerages.WebullBrokerageModel"/> class and its consumers or related classes
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/// </summary>
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public static class WebullBrokerageModel
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{
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/// <summary>
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/// Returns a message explaining that Options and IndexOptions sell orders only support Day time in force.
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static string InvalidTimeInForceForOptionSellOrder(Orders.Order order)
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{
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return Invariant($"{order.Symbol.SecurityType} sell orders only support {nameof(DayTimeInForce)} time in force, but {order.TimeInForce.GetType().Name} was specified.");
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}
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/// <summary>
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/// Returns a message explaining that OutsideRegularTradingHours is only supported for Equity orders.
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static string OutsideRegularTradingHoursNotSupportedForSecurityType(Securities.Security security)
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{
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return Invariant($"{nameof(WebullOrderProperties.OutsideRegularTradingHours)} is only supported for {nameof(SecurityType.Equity)} orders, but {security.Type} was specified.");
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}
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/// <summary>
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/// Returns a message explaining that Market orders are not supported outside regular trading hours.
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static string MarketOrdersNotSupportedOutsideRegularTradingHours()
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{
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return Invariant($"Market orders are not supported outside regular trading hours.");
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}
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}
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/// <summary>
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/// Provides user-facing messages for the <see cref="Brokerages.RBIBrokerageModel"/> class and its consumers or related classes
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/// </summary>

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