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TradeStationBrokerageModel rejects extended-hours limit orders on equity options

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Dal 20/10/2026.

  • #9928 di @AlexCatarino — aperta

Valutazione

Difficoltà
2/5
Tempo stimato
1-3 ore
Idoneità per principianti
78/100
Tipo di issue
Bug
Chiarezza
Specificata chiaramente
Stato di attività
Attiva
Stack tecnologico
csharp
Ambito
api, backend

Direzione di ricerca

Inizia da Common/Brokerages/TradeStationBrokerageModel.cs, in corrispondenza del controllo CanSubmitOrder descritto nell’issue. Leggi le proprietà degli ordini TradeStation e la mappatura della validità temporale per confermare quali tipi di ordine e di titolo sono accettati. Aggiorna il controllo di idoneità e il testo dell’avviso come proposto, continuando a rifiutare le opzioni su indici; il lavoro è concluso quando gli ordini limit su azioni e opzioni su azioni con il flag passano, mentre i tipi non supportati continuano a essere rifiutati.

Scritto dal modello di indicizzazione a partire dal testo della issue.

Descrizione

bug

Expected Behavior

With the TradeStation brokerage model, a limit order on an equity option carrying TradeStationOrderProperties.OutsideRegularTradingHours = true should pass CanSubmitOrder and reach the brokerage with the extended-hours duration (DYP / GCP / GDP).

TradeStation opened extended-hours options trading on 2026-10-19 (Cboe sessions 07:30-09:25 ET and 16:00-16:15 ET, limit orders only, Day+ / GTC+ / GTD+ durations, options on a set of single stocks and ETFs): https://www.tradestation.com/insights/extended-hours-options-trading/

Actual Behavior

TradeStationBrokerageModel.CanSubmitOrder rejects every order with the flag set unless it is a limit order on an equity, so an extended-hours option limit order is marked Invalid before it reaches the brokerage, in backtesting and in live trading alike:

BrokerageModel declared unable to submit order: [1] Warning - Code: NotSupportedOutsideRegularMarketHours - To place an order outside regular trading hours, please use a limit order and ensure the security is an equity.

Common/Brokerages/TradeStationBrokerageModel.cs (master, lines 132-138):

var supportsOutsideTradingHours = (order.Properties as TradeStationOrderProperties)?.OutsideRegularTradingHours ?? false;
if (supportsOutsideTradingHours && (order.Type != OrderType.Limit || order.SecurityType != SecurityType.Equity))
{
    message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupportedOutsideRegularMarketHours",
        "To place an order outside regular trading hours, please use a limit order and ensure the security is an equity.");
    return false;
}

The brokerage plugin itself does not restrict by asset class: TradeStationExtensions.GetBrokerageTimeInForce maps Day / GTC / GTD to DayPlus / GoodTillCanceledPlus / GoodThroughDatePlus whenever the flag is set, for any security type, and TradeStationApiClient.CreatePlaceOrderRequest passes that duration through. Only the engine-side model stands in the way.

Reproduce

QC Cloud, LEAN 2.5.0.0.18194, project 38117137, backtest 1be63f12c2f791724afe25fd9ea34d4a. One option limit order and one equity limit order, both with the flag set, under the TradeStation model:

from AlgorithmImports import *


class TradeStationExtendedHoursOptionOrderRepro(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2024, 1, 2)
        self.set_end_date(2024, 1, 3)
        self.set_cash(100000)
        self.set_brokerage_model(BrokerageName.TRADE_STATION, AccountType.MARGIN)
        self._equity = self.add_equity("SPY", Resolution.MINUTE).symbol
        option = self.add_option("SPY", Resolution.MINUTE)
        option.set_filter(-2, 2, 0, 30)
        self._option = option.symbol
        self._done = False

    def on_data(self, slice: Slice) -> None:
        if self._done:
            return
        chain = slice.option_chains.get(self._option)
        if not chain:
            return
        contract = sorted(chain, key=lambda c: abs(c.strike - chain.underlying.price))[0]

        props = TradeStationOrderProperties()
        props.outside_regular_trading_hours = True
        props.time_in_force = TimeInForce.DAY

        limit = contract.bid_price if contract.bid_price > 0 else 0.5
        option_ticket = self.limit_order(contract.symbol, 1, limit, order_properties=props)
        self.log(f"OPTION limit order {option_ticket.order_id} on {contract.symbol.value}: status={option_ticket.status}")

        equity_price = self.securities[self._equity].price
        equity_ticket = self.limit_order(self._equity, 1, round(equity_price * 0.99, 2), order_properties=props)
        self.log(f"EQUITY limit order {equity_ticket.order_id} on SPY: status={equity_ticket.status}")
        self._done = True

    def on_order_event(self, order_event: OrderEvent) -> None:
        self.log(f"ORDER EVENT: {order_event}")

Output:

2024-01-02 09:31:00 BrokerageModel declared unable to submit order: [1] Warning - Code: NotSupportedOutsideRegularMarketHours - To place an order outside regular trading hours, please use a limit order and ensure the security is an equity.
2024-01-02 09:31:00 OPTION limit order 1 on SPY   240102C00474000: status=INVALID
2024-01-02 09:31:00 EQUITY limit order 2 on SPY: status=SUBMITTED

Proposed change

Accept SecurityType.Option alongside SecurityType.Equity in that check (the order type must stay Limit, which matches TradeStation's rule), and update the message accordingly. TradeStation then applies its own eligibility rules (which option classes, which session) and rejects what it does not accept, as it does for equities today.

Open question: whether SecurityType.IndexOption should be included. TradeStation's announcement covers options on select stocks and ETFs; Cboe's index options (SPX, VIX) trade in their own global trading hours session, and we have not confirmed whether TradeStation routes DYP / GCP / GDP index option orders. The fix here leaves index options rejected.

Checklist

  • I have completely filled out this template
  • I have confirmed that this issue exists on the current master branch
  • I have confirmed that this is not a duplicate issue by searching issues
  • I have provided detailed steps to reproduce the issue

Intercom conversation 215476463234198.

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