Add Tradovate brokerage model and fee model #9137
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Add support for Tradovate futures brokerage: - TradovateBrokerageModel: Validates order types (Market, Limit, Stop, StopLimit, TrailingStop) and security types (Future, FutureOption) - TradovateFeeModel: Per-contract fees based on contract type - Micro futures: $0.79/contract (MYM, MES, MNQ, M2K, MCL, MGC, etc.) - E-mini futures: $1.29/contract (YM, ES, NQ, RTY) - Standard futures: $1.79/contract (ZB, ZN, CL, GC, etc.) - BrokerageName.Tradovate enum value Includes 30 unit tests for both models. The brokerage implementation itself will be in a separate Lean.Brokerages.Tradovate repository.
Author
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Note: The tradovate brokerage implementation is here: https://github.com/adamoverton/qc-tradovate-brokerage |
- Update all projects to target net10.0 - Add Demonstration.cs for testing DataBento data provider - Add DataLibraries/ to .gitignore (build artifacts) 🤖 Generated with [Claude Code](https://claude.com/claude-code) Co-Authored-By: Claude Opus 4.5 <noreply@anthropic.com>
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Summary
Closes #9136
I'd like to contribute Tradovate brokerage support to LEAN. Tradovate is a popular futures broker, especially among prop firm traders using platforms like Apex Trader Funding, TopStep, and others that are backed by Tradovate infrastructure.
What's Included
This PR to LEAN (models only):
TradovateBrokerageModel- Order type and security type validationTradovateFeeModel- Per-contract fee structure (micro/e-mini/standard)BrokerageName.Tradovateenum valueSeparate brokerage implementation repository:
Supported Features
Market orders
Limit orders
Stop orders
Stop-limit orders
Trailing stop orders (native Tradovate support)
Order modifications
Order cancellation
Partial fill handling
Multiple sub-accounts
Demo & Live environments
Known Limitations
Execution-only brokerage - No market data streaming or historical data.
Reason: CME requires a sub-vendor license ($290-375/month per exchange) for API market data distribution. Since Tradovate is popular with budget-conscious prop firm traders, this cost is prohibitive for most users. The brokerage is designed to work with separate data feeds (IQFeed, Databento, QuantConnect Cloud data, etc.).
Fee Structure
Based on Tradovate's published commission schedule:
Testing
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