Add Tradovate brokerage model and fee model

.gitignore

@@ -281,3 +281,4 @@ Research/Notebooks
 #Docker result files
 Results/
 QuantConnect.Lean.sln.DotSettings
+DataLibraries/

Algorithm.CSharp/Demonstration.cs

@@ -0,0 +1,94 @@
+/*
+ * 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 QuantConnect.Algorithm;
+using QuantConnect.Data.Market;
+using QuantConnect.Interfaces;
+using QuantConnect;
+using QuantConnect.Data;
+using QuantConnect.Securities.Future;
+using QuantConnect.Util;
+using System;
+using System.Linq;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    public class DatabentoFuturesTestAlgorithm : QCAlgorithm
+    {
+        private Future _es;
+
+        public override void Initialize()
+        {
+            Log("Algorithm Initialize");
+
+            SetStartDate(2025, 10, 1);
+            SetEndDate(2025, 10, 16);
+            SetCash(100000);
+
+            var exp = new DateTime(2025, 12, 19);
+            var symbol = QuantConnect.Symbol.CreateFuture("ES", Market.CME, exp);
+            //_es = AddFutureContract(symbol, Resolution.Tick, true, 1, true);
+            _es = AddFutureContract(symbol, Resolution.Second, true, 1, true);
+            Log($"_es: {_es}");
+
+            var history = History<TradeBar>(_es.Symbol, 10, Resolution.Minute).ToList();
+
+            Log($"History returned {history.Count} bars");
+
+            foreach (var bar in history)
+            {
+                Log($"History Bar: {bar.Time} - O:{bar.Open} H:{bar.High} L:{bar.Low} C:{bar.Close} V:{bar.Volume}");
+            }
+
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (!slice.HasData)
+            {
+                Log("Slice has no data");
+                return;
+            }
+
+            Log($"OnData: Slice has {slice.Count} data points");
+
+            // For Tick resolution, check Ticks collection
+            if (slice.Ticks.ContainsKey(_es.Symbol))
+            {
+                var ticks = slice.Ticks[_es.Symbol];
+                Log($"Received {ticks.Count} ticks for {_es.Symbol}");
+
+                foreach (var tick in ticks)
+                {
+                    if (tick.TickType == TickType.Trade)
+                    {
+                        Log($"Trade Tick - Price: {tick.Price}, Quantity: {tick.Quantity}, Time: {tick.Time}");
+                    }
+                    else if (tick.TickType == TickType.Quote)
+                    {
+                        Log($"Quote Tick - Bid: {tick.BidPrice}x{tick.BidSize}, Ask: {tick.AskPrice}x{tick.AskSize}, Time: {tick.Time}");
+                    }
+                }
+            }
+
+            // Access OHLCV bars
+            foreach (var bar in slice.Bars.Values)
+            {
+                Log($"OHLCV BAR: {bar.Symbol.Value} - O: {bar.Open}, H: {bar.High}, L: {bar.Low}, C: {bar.Close}, V: {bar.Volume}");
+            }
+        }
+    }
+}

Algorithm.CSharp/QuantConnect.Algorithm.CSharp.csproj

@@ -4,7 +4,7 @@
     <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
     <RootNamespace>QuantConnect.Algorithm.CSharp</RootNamespace>
     <AssemblyName>QuantConnect.Algorithm.CSharp</AssemblyName>
-    <TargetFramework>net9.0</TargetFramework>
+    <TargetFramework>net10.0</TargetFramework>
     <GenerateAssemblyInfo>false</GenerateAssemblyInfo>
     <OutputPath>bin\$(Configuration)\</OutputPath>
     <AnalysisMode>AllEnabledByDefault</AnalysisMode>

Algorithm.Framework/QuantConnect.Algorithm.Framework.csproj

@@ -4,7 +4,7 @@
     <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
     <RootNamespace>QuantConnect.Algorithm.Framework</RootNamespace>
     <AssemblyName>QuantConnect.Algorithm.Framework</AssemblyName>
-    <TargetFramework>net9.0</TargetFramework>
+    <TargetFramework>net10.0</TargetFramework>
     <GenerateAssemblyInfo>false</GenerateAssemblyInfo>
     <OutputPath>bin\$(Configuration)\</OutputPath>
     <AnalysisMode>AllEnabledByDefault</AnalysisMode>

Algorithm.Python/QuantConnect.Algorithm.Python.csproj

@@ -4,7 +4,7 @@
     <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
     <RootNamespace>QuantConnect.Algorithm.Python</RootNamespace>
     <AssemblyName>QuantConnect.Algorithm.Python</AssemblyName>
-    <TargetFramework>net9.0</TargetFramework>
+    <TargetFramework>net10.0</TargetFramework>
     <AnalysisMode>AllEnabledByDefault</AnalysisMode>
     <OutputPath>bin\$(Configuration)\</OutputPath>
     <GenerateAssemblyInfo>false</GenerateAssemblyInfo>

Algorithm/QuantConnect.Algorithm.csproj

@@ -4,7 +4,7 @@
     <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
     <RootNamespace>QuantConnect.Algorithm</RootNamespace>
     <AssemblyName>QuantConnect.Algorithm</AssemblyName>
-    <TargetFramework>net9.0</TargetFramework>
+    <TargetFramework>net10.0</TargetFramework>
     <SolutionDir Condition="$(SolutionDir) == '' Or $(SolutionDir) == '*Undefined*'">..\</SolutionDir>
     <GenerateAssemblyInfo>false</GenerateAssemblyInfo>
     <AnalysisMode>AllEnabledByDefault</AnalysisMode>

AlgorithmFactory/QuantConnect.AlgorithmFactory.csproj

@@ -4,7 +4,7 @@
     <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
     <RootNamespace>QuantConnect.AlgorithmFactory</RootNamespace>
     <AssemblyName>QuantConnect.AlgorithmFactory</AssemblyName>
-    <TargetFramework>net9.0</TargetFramework>
+    <TargetFramework>net10.0</TargetFramework>
     <GenerateAssemblyInfo>false</GenerateAssemblyInfo>
     <OutputPath>bin\$(Configuration)\</OutputPath>
     <AnalysisMode>AllEnabledByDefault</AnalysisMode>

Api/QuantConnect.Api.csproj

@@ -4,7 +4,7 @@
     <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
     <RootNamespace>QuantConnect.Api</RootNamespace>
     <AssemblyName>QuantConnect.Api</AssemblyName>
-    <TargetFramework>net9.0</TargetFramework>
+    <TargetFramework>net10.0</TargetFramework>
     <SolutionDir Condition="$(SolutionDir) == '' Or $(SolutionDir) == '*Undefined*'">..\</SolutionDir>
     <RestorePackages>true</RestorePackages>
     <AnalysisMode>AllEnabledByDefault</AnalysisMode>

Brokerages/QuantConnect.Brokerages.csproj

@@ -4,7 +4,7 @@
     <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
     <RootNamespace>QuantConnect.Brokerages</RootNamespace>
     <AssemblyName>QuantConnect.Brokerages</AssemblyName>
-    <TargetFramework>net9.0</TargetFramework>
+    <TargetFramework>net10.0</TargetFramework>
     <AnalysisMode>AllEnabledByDefault</AnalysisMode>
     <GenerateAssemblyInfo>false</GenerateAssemblyInfo>
     <OutputPath>bin\$(Configuration)\</OutputPath>

Common/Brokerages/BrokerageName.cs

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

Common/Brokerages/TradovateBrokerageModel.cs

@@ -0,0 +1,161 @@
+/*
+ * 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.Orders.Fees;
+using QuantConnect.Orders.TimeInForces;
+using QuantConnect.Securities;
+using QuantConnect.Util;
+
+namespace QuantConnect.Brokerages
+{
+    /// <summary>
+    /// Provides an implementation of <see cref="IBrokerageModel"/> specific to Tradovate brokerage.
+    /// Tradovate is a futures-focused brokerage supporting CME Group products.
+    /// </summary>
+    public class TradovateBrokerageModel : DefaultBrokerageModel
+    {
+        /// <summary>
+        /// The default markets for Tradovate brokerage
+        /// </summary>
+        public new static readonly IReadOnlyDictionary<SecurityType, string> DefaultMarketMap = new Dictionary<SecurityType, string>
+        {
+            { SecurityType.Future, Market.CME },
+            { SecurityType.FutureOption, Market.CME }
+        }.ToReadOnlyDictionary();
+
+        /// <summary>
+        /// Order types supported by Tradovate
+        /// </summary>
+        protected virtual HashSet<OrderType> SupportedOrderTypes { get; } = new HashSet<OrderType>
+        {
+            OrderType.Market,
+            OrderType.Limit,
+            OrderType.StopMarket,
+            OrderType.StopLimit,
+            OrderType.TrailingStop
+        };
+
+        /// <summary>
+        /// Time in force types supported by Tradovate
+        /// </summary>
+        protected virtual Type[] SupportedTimeInForces { get; } =
+        {
+            typeof(GoodTilCanceledTimeInForce),
+            typeof(DayTimeInForce)
+        };
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="TradovateBrokerageModel"/> class
+        /// </summary>
+        /// <param name="accountType">The type of account to be modeled, defaults to <see cref="AccountType.Margin"/></param>
+        public TradovateBrokerageModel(AccountType accountType = AccountType.Margin)
+            : base(accountType)
+        {
+        }
+
+        /// <summary>
+        /// Gets a map of the default markets to be used for each security type
+        /// </summary>
+        public override IReadOnlyDictionary<SecurityType, string> DefaultMarkets => DefaultMarketMap;
+
+        /// <summary>
+        /// Returns true if the brokerage could accept this order. This takes into account
+        /// order type, security type, and order size limits.
+        /// </summary>
+        /// <param name="security">The security being ordered</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>
+        /// <returns>True if the brokerage could process the order, false otherwise</returns>
+        public override bool CanSubmitOrder(Security security, Order order, out BrokerageMessageEvent message)
+        {
+            message = null;
+
+            // Validate security type - Tradovate only supports futures
+            if (security.Type != SecurityType.Future && security.Type != SecurityType.FutureOption)
+            {
+                message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
+                    $"Tradovate does not support {security.Type} security type. Only Future and FutureOption are supported.");
+                return false;
+            }
+
+            // Validate order type
+            if (!SupportedOrderTypes.Contains(order.Type))
+            {
+                message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
+                    $"Tradovate does not support {order.Type} order type. " +
+                    $"Supported order types are: {string.Join(", ", SupportedOrderTypes)}");
+                return false;
+            }
+
+            // Validate time in force
+            if (!IsValidTimeInForce(order.TimeInForce))
+            {
+                message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported",
+                    $"Tradovate does not support {order.TimeInForce.GetType().Name} time in force. " +
+                    "Supported time in force types are: Day, GoodTilCanceled");
+                return false;
+            }
+
+            return base.CanSubmitOrder(security, order, out message);
+        }
+
+        /// <summary>
+        /// Returns true if the brokerage would allow updating the order as specified by the request.
+        /// Tradovate supports order modifications via the order/modifyorder endpoint.
+        /// </summary>
+        /// <param name="security">The security of the order</param>
+        /// <param name="order">The order to be updated</param>
+        /// <param name="request">The requested update to be made to the order</param>
+        /// <param name="message">If this function returns false, a brokerage message detailing why the order may not be updated</param>
+        /// <returns>True if the brokerage would allow updating the order, false otherwise</returns>
+        public override bool CanUpdateOrder(Security security, Order order, UpdateOrderRequest request, out BrokerageMessageEvent message)
+        {
+            message = null;
+
+            // Tradovate supports order modifications
+            // Note: When modifying orders, the timeInForce must match the existing order's setting
+            return true;
+        }
+
+        /// <summary>
+        /// Gets a new fee model that represents Tradovate's fee structure
+        /// </summary>
+        /// <param name="security">The security to get a fee model for</param>
+        /// <returns>The new fee model for this brokerage</returns>
+        public override IFeeModel GetFeeModel(Security security)
+        {
+            return new TradovateFeeModel();
+        }
+
+        /// <summary>
+        /// Validates that the time in force is supported by Tradovate
+        /// </summary>
+        private bool IsValidTimeInForce(TimeInForce timeInForce)
+        {
+            var timeInForceType = timeInForce.GetType();
+            foreach (var supportedType in SupportedTimeInForces)
+            {
+                if (supportedType == timeInForceType)
+                {
+                    return true;
+                }
+            }
+            return false;
+        }
+    }
+}