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

* feat: missed Alpaca config in Launcher

* feature: support of new OrderTypes for Equtity in AlpacaBrokerage model

Algorithm/Selection/OptionContractUniverse.cs

@@ -35,7 +35,7 @@ namespace QuantConnect.Algorithm.Selection
         /// <param name="configuration">The universe configuration to use</param>
         /// <param name="universeSettings">The universe settings to use</param>
         public OptionContractUniverse(SubscriptionDataConfig configuration, UniverseSettings universeSettings)
-            : base(configuration, universeSettings, Time.EndOfTimeTimeSpan,
+            : base(AdjustUniverseConfiguration(configuration), universeSettings, Time.EndOfTimeTimeSpan,
                 // Argument isn't used since we override 'SelectSymbols'
                 Enumerable.Empty<Symbol>())
         {
@@ -95,5 +95,13 @@ namespace QuantConnect.Algorithm.Selection
 
             return new Symbol(sid, ticker);
         }
+
+        /// <summary>
+        /// Make sure the configuration of the universe is what we want
+        /// </summary>
+        private static SubscriptionDataConfig AdjustUniverseConfiguration(SubscriptionDataConfig input)
+        {
+            return new SubscriptionDataConfig(input, fillForward: false);
+        }
     }
 }

Common/Brokerages/AlpacaBrokerageModel.cs

@@ -30,7 +30,8 @@ namespace QuantConnect.Brokerages
         /// </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 }}

Common/Brokerages/TradeStationBrokerageModel.cs

@@ -50,6 +50,8 @@ namespace QuantConnect.Brokerages
                 OrderType.StopLimit,
                 OrderType.ComboMarket,
                 OrderType.ComboLimit,
+                OrderType.MarketOnOpen,
+                OrderType.MarketOnClose
             });
 
         /// <summary>

Common/Data/DataMonitor.cs

@@ -85,7 +85,7 @@ namespace QuantConnect.Data
             var isUniverseData = path.Contains("coarse", StringComparison.OrdinalIgnoreCase) ||
                 path.Contains("universe", StringComparison.OrdinalIgnoreCase);
 
-            if (e.Succeded)
+            if (e.Succeeded)
             {
                 WriteLineToFile(_succeededDataRequestsWriter, path, _succeededDataRequestsFileName);
                 Interlocked.Increment(ref _succeededDataRequestsCount);
@@ -105,7 +105,7 @@ namespace QuantConnect.Data
 
                 if (Logging.Log.DebuggingEnabled)
                 {
-                    Logging.Log.Debug($"DataMonitor.OnNewDataRequest(): Data from {path} could not be fetched");
+                    Logging.Log.Debug($"DataMonitor.OnNewDataRequest(): Data from {path} could not be fetched, error: {e.ErrorMessage}");
                 }
             }
         }

Common/Interfaces/DataProviderDataFetchedEventArgs.cs

@@ -30,17 +30,24 @@ namespace QuantConnect.Interfaces
         /// <summary>
         /// Whether the data was fetched successfully
         /// </summary>
-        public bool Succeded { get; }
+        public bool Succeeded { get; }
+
+        /// <summary>
+        /// Any error message that occurred during the fetch
+        /// </summary>
+        public string ErrorMessage  { get; }
 
         /// <summary>
         /// Initializes a new instance of the <see cref="DataProviderNewDataRequestEventArgs"/> class
         /// </summary>
         /// <param name="path">The path to the fetched data</param>
-        /// <param name="succeded">Whether the data was fetched successfully</param>
-        public DataProviderNewDataRequestEventArgs(string path, bool succeded)
+        /// <param name="succeeded">Whether the data was fetched successfully</param>
+        /// <param name="errorMessage">Any error message that occured during the fetch</param>
+        public DataProviderNewDataRequestEventArgs(string path, bool succeeded, string  errorMessage)
         {
             Path = path;
-            Succeded = succeded;
+            Succeeded = succeeded;
+            ErrorMessage = errorMessage;
         }
     }
 }

Engine/AlgorithmManager.cs

@@ -48,6 +48,7 @@ namespace QuantConnect.Lean.Engine
         private IAlgorithm _algorithm;
         private readonly object _lock;
         private readonly bool _liveMode;
+        private bool _cancelRequested;
         private CancellationTokenSource _cancellationTokenSource;
 
         /// <summary>
@@ -612,13 +613,20 @@ namespace QuantConnect.Lean.Engine
                     _algorithm.SetStatus(state);
                 }
 
-                if (state == AlgorithmStatus.Deleted)
+                if (_cancellationTokenSource != null && !_cancellationTokenSource.IsCancellationRequested && !_cancelRequested)
                 {
-                    if (!_cancellationTokenSource.IsCancellationRequested)
+                    if (state == AlgorithmStatus.Deleted)
                     {
-                        // if the algorithm was deleted or stopped, let's give the algorithm a few seconds to shutdown and cancel it out
+                        _cancelRequested = true;
+                        // if the algorithm was deleted, let's give the algorithm a few seconds to shutdown and cancel it out
                         _cancellationTokenSource.CancelAfter(TimeSpan.FromSeconds(5));
                     }
+                    else if (state == AlgorithmStatus.Stopped)
+                    {
+                        _cancelRequested = true;
+                        // if the algorithm was stopped, let's give the algorithm a few seconds to shutdown and cancel it out
+                        _cancellationTokenSource.CancelAfter(TimeSpan.FromMinutes(1));
+                    }
                 }
             }
         }

Engine/DataFeeds/DefaultDataProvider.cs

@@ -24,6 +24,8 @@ namespace QuantConnect.Lean.Engine.DataFeeds
     /// </summary>
     public class DefaultDataProvider : IDataProvider, IDisposable
     {
+        private bool _oneTimeWarningLog;
+
         /// <summary>
         /// Event raised each time data fetch is finished (successfully or not)
         /// </summary>
@@ -37,6 +39,7 @@ namespace QuantConnect.Lean.Engine.DataFeeds
         public virtual Stream Fetch(string key)
         {
             var success = true;
+            var errorMessage = string.Empty;
             try
             {
                 return new FileStream(FileExtension.ToNormalizedPath(key), FileMode.Open, FileAccess.Read, FileShare.Read);
@@ -44,8 +47,17 @@ namespace QuantConnect.Lean.Engine.DataFeeds
             catch (Exception exception)
             {
                 success = false;
-                if (exception is DirectoryNotFoundException
-                    || exception is FileNotFoundException)
+                errorMessage = exception.Message;
+                if (exception is DirectoryNotFoundException)
+                {
+                    if (!_oneTimeWarningLog)
+                    {
+                        _oneTimeWarningLog = true;
+                        Logging.Log.Debug($"DefaultDataProvider.Fetch(): DirectoryNotFoundException: please review data paths, current 'Globals.DataFolder': {Globals.DataFolder}");
+                    }
+                    return null;
+                }
+                else if (exception is FileNotFoundException)
                 {
                     return null;
                 }
@@ -54,7 +66,7 @@ namespace QuantConnect.Lean.Engine.DataFeeds
             }
             finally
             {
-                OnNewDataRequest(new DataProviderNewDataRequestEventArgs(key, success));
+                OnNewDataRequest(new DataProviderNewDataRequestEventArgs(key, success, errorMessage));
             }
         }
 

Engine/DataFeeds/FileSystemDataFeed.cs

@@ -196,11 +196,6 @@ namespace QuantConnect.Lean.Engine.DataFeeds
                 factory = new TimeTriggeredUniverseSubscriptionEnumeratorFactory(request.Universe as ITimeTriggeredUniverse,
                     _marketHoursDatabase,
                     _timeProvider);
-
-                if (request.Universe is UserDefinedUniverse)
-                {
-                    return factory.CreateEnumerator(request, _dataProvider);
-                }
             }
             else if (request.Configuration.Type == typeof(FundamentalUniverse))
             {

Engine/RealTime/LiveTradingRealTimeHandler.cs

@@ -209,7 +209,7 @@ namespace QuantConnect.Lean.Engine.RealTime
         /// </summary>
         public override void Exit()
         {
-            _realTimeThread.StopSafely(TimeSpan.FromMinutes(5), _cancellationTokenSource);
+            _realTimeThread.StopSafely(TimeSpan.FromMinutes(1), _cancellationTokenSource);
             _cancellationTokenSource.DisposeSafely();
             base.Exit();
         }

Launcher/config.json

@@ -208,18 +208,19 @@
   "tt-log-fix-messages": false,
 
   // Trade Station configuration
-  "trade-station-api-key": "",
-  "trade-station-api-secret": "",
-  "trade-station-code-from-url": "",
+  "trade-station-client-id": "",
+  "trade-station-client-secret": "",
   "trade-station-redirect-url": "http://localhost",
   "trade-station-refresh-token": "",
   "trade-station-api-url": "https://sim-api.tradestation.com",
   "trade-station-account-type": "Cash|Margin|Futures",
-  // [Optional] Trade Station Proxy Settings
-  "trade-station-use-proxy": false,
-  "trade-station-proxy-address-port": "",
-  "trade-station-proxy-username": "",
-  "trade-station-proxy-password": "",
+  "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
@@ -532,6 +533,34 @@
       "history-provider": [ "BrokerageHistoryProvider", "SubscriptionDataReaderHistoryProvider" ]
     },
 
+    "live-trade-station": {
+      "live-mode": true,
+
+      // real brokerage implementations require the BrokerageTransactionHandler
+      "live-mode-brokerage": "TradeStationBrokerage",
+      "data-queue-handler": [ "TradeStationBrokerage" ],
+      "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-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,