Feature:Alpaca: support MarketOnOpen and MarketOnClose (#8341)

* feat: missed Alpaca config in Launcher * feature: support of new OrderTypes for Equtity in AlpacaBrokerage model
QuantConnect · Sep 25, 2024 · a1bb907 · a1bb907
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commit a1bb907
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Showing 2 changed files with 22 additions and 1 deletion.
diff --git a/Common/Brokerages/AlpacaBrokerageModel.cs b/Common/Brokerages/AlpacaBrokerageModel.cs
@@ -30,7 +30,8 @@ public class AlpacaBrokerageModel : DefaultBrokerageModel
         /// </summary>
         private readonly Dictionary<SecurityType, HashSet<OrderType>> _supportOrderTypeBySecurityType = new()
         {
-            { SecurityType.Equity, new HashSet<OrderType> { OrderType.Market, OrderType.Limit, OrderType.StopMarket, OrderType.StopLimit, OrderType.TrailingStop } },
+            { SecurityType.Equity, new HashSet<OrderType> { OrderType.Market, OrderType.Limit, OrderType.StopMarket, OrderType.StopLimit,
+                OrderType.TrailingStop, OrderType.MarketOnOpen, OrderType.MarketOnClose } },
             // Market and limit order types see https://docs.alpaca.markets/docs/options-trading-overview
             { SecurityType.Option, new HashSet<OrderType> { OrderType.Market, OrderType.Limit } },
             { SecurityType.Crypto, new HashSet<OrderType> { OrderType.Market, OrderType.Limit, OrderType.StopLimit }}

diff --git a/Launcher/config.json b/Launcher/config.json
@@ -216,6 +216,12 @@
   "trade-station-account-type": "Cash|Margin|Futures",
   "trade-station-account-id": "",
 
+  // Alpaca configuration
+  "alpaca-api-key": "",
+  "alpaca-api-secret": "",
+  "alpaca-access-token": "",
+  "alpaca-paper-trading": true,
+
   // Exante trading configuration
   // client-id, application-id, shared-key are required to access Exante REST API
   // Exante generates them at https://exante.eu/clientsarea/dashboard/ after adding an application
@@ -541,6 +547,20 @@
       "history-provider": [ "BrokerageHistoryProvider", "SubscriptionDataReaderHistoryProvider" ]
     },
 
+    "live-alpaca": {
+      "live-mode": true,
+
+      // real brokerage implementations require the BrokerageTransactionHandler
+      "live-mode-brokerage": "AlpacaBrokerage",
+      "data-queue-handler": [ "AlpacaBrokerage" ],
+      "setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
+      "result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
+      "data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
+      "real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
+      "transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler",
+      "history-provider": [ "BrokerageHistoryProvider", "SubscriptionDataReaderHistoryProvider" ]
+    },
+
     "live-futures-bybit": {
       "live-mode": true,