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Add Custom Order Properties

Open jaredbroad opened this issue 2 years ago • 1 comments

  • Under the Order section of Trading Technologies, Wolverine, the Bloomberg ESMX, and RBI sections, add Custom Order Properties sections to link to the brokerage models.

  • I appreciate it's also in brokerage modeling, but a short sentence about specific properties that can be customized on each broker platform would help.

  • Update Brokerage Models to include Bloomberg ESMX https://github.com/QuantConnect/Lean/pull/7488/files

  • Update all brokerage model sections to use both the DefaultOrderProperties and order method overloads.

e.g.

# Add a note to every ESMX order.
properties = TerminalLinkOrderProperties()
properties.CustomNotes1 = "QuantConnect/LEAN Routed Order"
self.DefaultOrderProperties = properties

Expected Behavior

Document FIX properties:

Actual Behavior

No docs for order properties

Checklist

  • [x] I have completely filled out this template
  • [x] I have confirmed that this issue exists on the current master branch
  • [x] I have confirmed that this is not a duplicate issue by searching issues

jaredbroad avatar Sep 25 '23 18:09 jaredbroad

Most of points in this issue have been addressed. E.g.: https://www.quantconnect.com/docs/v2/cloud-platform/live-trading/brokerages/bloomberg-emsx#05-Orders

We have decided not to create a Brokerage page for RBI, and its order properties are the same as default.

The missing point is adding the Brokerage Model for Terminal Link (cc @DerekMelchin).

AlexCatarino avatar Dec 15 '23 18:12 AlexCatarino