AlpacaBrokerageModel refuses extended-hours limit orders with the GTC time in force, which Alpaca accepts

Common/Brokerages/AlpacaBrokerageModel.csの170～176行付近と、Tests/Common/Brokerages/AlpacaBrokerageModelTests.csの対応するケースを確認してください。ルールとテストを更新し、延長取引時間中の指値注文ではDayまたはGoodTilCanceledを受け付け、その他の注文タイプとGoodTilDateは引き続き拒否するようにしてください。Common/Messages/Messages.Brokerages.csのメッセージと、Documentation/Resources/brokerages/alpaca/orders.phpのOutsideRegularTradingHours行も更新してください。テストが受け付ける両方の有効期間値をカバーし、文書化された制限が一致したら完了です。

Summary

AlpacaBrokerageModel.CanSubmitOrder refuses every order flagged OutsideRegularTradingHours = true unless it is a Limit order with the Day time in force. Alpaca's Trading API accepts extended_hours: true on limit orders with time_in_force day or gtc (their API reference for POST /v2/orders: "Only works with type limit and time_in_force set to either day or gtc"; the Orders guide: "Only limit orders with time_in_force set to day or gtc orders are accepted as extended hours eligible"). The model is therefore narrower than the brokerage: a GTC extended-hours limit order, which Alpaca would hold across pre-market, regular and after-hours sessions until it fills or is cancelled, is invalidated by Lean before it reaches the brokerage, and the only route an algorithm has is to re-place a Day extended-hours order every session.

Reproduce

Cloud backtest b1cd13d0c2758e53bce69ef4e36c2303 on LEAN 2.5.0.0.18178 (2024-06-03, SPY minute with extended hours, SetBrokerageModel(BrokerageName.Alpaca)), placing two limit orders at the first bar with AlpacaOrderProperties { OutsideRegularTradingHours = true }, one Day and one GoodTilCanceled:

2024-06-03 04:01:00 order event: OrderID: 1 Status: Submitted Quantity: 1 LimitPrice: $461.23
2024-06-03 04:01:00 DAY: ticket 1 status=SUBMITTED error_code=NONE
2024-06-03 04:01:00 order event: OrderID: 2 Status: Invalid Quantity: 1 LimitPrice: $461.23 Message: BrokerageModel declared unable to submit order: [2] Warning - Code: NotSupported - The AlpacaBrokerageModel does not support Limit orders with QuantConnect.Orders.TimeInForces.GoodTilCanceledTimeInForce TIF outside regular hours. Only Limit orders with QuantConnect.Orders.TimeInForces.DayTimeInForce TIF are supported outside regular trading hours.
2024-06-03 04:01:00 GTC: ticket 2 status=INVALID error_code=BROKERAGE_MODEL_REFUSED_TO_SUBMIT_ORDER

from AlgorithmImports import *

class AlpacaExtendedHoursGtcRepro(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2024, 6, 3)
        self.set_end_date(2024, 6, 4)
        self.set_cash(100000)
        self.set_brokerage_model(BrokerageName.ALPACA)
        self._spy = self.add_equity("SPY", Resolution.MINUTE, extended_market_hours=True).symbol
        self._done = False

    def on_data(self, slice):
        if self._done or not slice.contains_key(self._spy):
            return
        self._done = True
        price = self.securities[self._spy].price
        for name, tif in (("DAY", TimeInForce.DAY), ("GTC", TimeInForce.GOOD_TIL_CANCELED)):
            props = AlpacaOrderProperties()
            props.outside_regular_trading_hours = True
            props.time_in_force = tif
            ticket = self.limit_order(self._spy, 1, round(price * 0.9, 2), tag=f"extended-hours {name}", order_properties=props)
            response = ticket.submit_request.response
            self.log(f"{name}: ticket {ticket.order_id} status={ticket.status} error_code={response.error_code if response else None}")

    def on_order_event(self, order_event):
        self.log(f"order event: {order_event}")

Where it happens

• Common/Brokerages/AlpacaBrokerageModel.cs lines 170-176: if (supportsOutsideTradingHours && (order.Type != OrderType.Limit || order.TimeInForce is not DayTimeInForce)) returns false with Messages.AlpacaBrokerageModel.TradingOutsideRegularHoursNotSupported.
• Common/Messages/Messages.Brokerages.cs lines 218-222: the message says "Only Limit orders with Day TIF are supported outside regular trading hours."
• Tests/Common/Brokerages/AlpacaBrokerageModelTests.cs line 47-49: (OrderType.Limit, TimeInForce.GoodTilCanceled, false) with the comment "The only supported case" on the Day row.
• The brokerage plugin forwards whatever it is given: Lean.Brokerages.Alpaca/QuantConnect.AlpacaBrokerage/AlpacaBrokerageExtensions.cs lines 66-70 (WithDuration(...) then WithExtendedHours(...)), and GoodTilCanceledTimeInForce maps to TimeInForce.Gtc (line 338). Nothing in the plugin needs to change.
• The docs snippet Documentation/Resources/brokerages/alpaca/orders.php (the OutsideRegularTradingHours row: "Only limit orders with the Day time in force support it") would need the same update.

Proposed change

Accept Limit orders with Day or GoodTilCanceled time in force when OutsideRegularTradingHours is set; keep refusing every other order type and GoodTilDate (Alpaca has no gtd). Update the message and the test case source accordingly.

Open question

Alpaca's gtc extended-hours eligibility covers the overnight session as well. Whether a Lean order with OutsideRegularTradingHours = true should also be considered eligible for the overnight session in the brokerage model's own market-hours checks is a separate question; this issue is only about the time-in-force restriction.

Raised from Intercom conversation 215476336073303.