feature: add bloomberg fix brokerage model

- supports Equity, Option, Future
- Market, Limit, StopMarket, StopLimit order types
- margin-only account type

Author: Romazes

Common/Brokerages/BloombergFixBrokerageModel.cs

@@ -0,0 +1,97 @@
+/*
+ * 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 System.Collections.Generic;
+using QuantConnect.Orders;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Brokerages
+{
+    /// <summary>
+    /// Provides Bloomberg FixNet HUB specific properties.
+    /// </summary>
+    public class BloombergFixBrokerageModel : DefaultBrokerageModel
+    {
+        private readonly HashSet<SecurityType> _supportedSecurityTypes = new()
+        {
+            SecurityType.Equity,
+            SecurityType.Option,
+            SecurityType.Future,
+        };
+
+        private readonly HashSet<OrderType> _supportedOrderTypes = new()
+        {
+            OrderType.Market,
+            OrderType.Limit,
+            OrderType.StopMarket,
+            OrderType.StopLimit,
+        };
+
+        /// <summary>
+        /// Constructor for Bloomberg FIX brokerage model.
+        /// </summary>
+        /// <param name="accountType">Cash or Margin</param>
+        public BloombergFixBrokerageModel(AccountType accountType = AccountType.Margin) : base(accountType)
+        {
+            if (accountType == AccountType.Cash)
+            {
+                throw new NotSupportedException($"Bloomberg FIX brokerage can only be used with a {AccountType.Margin} account type");
+            }
+        }
+
+        /// <summary>
+        /// Returns true if the brokerage could accept this order.
+        /// </summary>
+        /// <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>
+        public override bool CanSubmitOrder(Security security, Order order, out BrokerageMessageEvent message)
+        {
+            if (!_supportedSecurityTypes.Contains(security.Type))
+            {
+                message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
+                    Messages.DefaultBrokerageModel.UnsupportedSecurityType(this, security));
+                return false;
+            }
+
+            if (!_supportedOrderTypes.Contains(order.Type))
+            {
+                message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
+                    Messages.DefaultBrokerageModel.UnsupportedOrderType(this, order, _supportedOrderTypes));
+                return false;
+            }
+
+            if (order.AbsoluteQuantity % 1 != 0)
+            {
+                message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
+                    $"Order Quantity must be Integer, but provided {order.AbsoluteQuantity}.");
+                return false;
+            }
+
+            return base.CanSubmitOrder(security, order, out message);
+        }
+
+        /// <summary>
+        /// Bloomberg FixNet HUB supports cancel/replace (35=G) on order quantity, price, stop price,
+        /// order type and time in force.
+        /// </summary>
+        public override bool CanUpdateOrder(Security security, Order order, UpdateOrderRequest request, out BrokerageMessageEvent message)
+        {
+            message = null;
+            return true;
+        }
+    }
+}