Feature Request: Add Moomoo as a Supported Brokerage

Expected Behavior

LEAN should support Moomoo as a native brokerage integration, allowing users to:

• Connect to Moomoo accounts (including paper trading and live accounts)
• Place, modify, and cancel orders for US equities, ETFs, options, HK stocks, and SG stocks
• Retrieve real-time account information, positions, and order status via WebSocket streaming
• Access market data through Moomoo's OpenAPI (where licensed and available)
• Utilize Moomoo's competitive zero-commission fee structure for US stocks/ETFs
• Leverage Moomoo's OpenD local gateway infrastructure for reliable low-latency connectivity
• Support pre-market and after-hours trading where available

The integration should include:

1. MoomooBrokerageModel - Order type and security type validation
2. MoomooFeeModel - Fee structure based on Moomoo's published commissions
3. BrokerageName.Moomoo enum value

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Actual Behavior

Currently, LEAN does not support Moomoo as a brokerage. Users who wish to trade with Moomoo through algorithmic strategies must:

• Build custom integrations outside the LEAN ecosystem
• Use third-party middleware solutions (e.g., MCP servers) that are not officially supported
• Write their own order management and market data handling logic from scratch

This creates significant barriers for Moomoo users who want to leverage LEAN's robust backtesting and live trading capabilities.

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Potential Solution

Implement a complete Moomoo brokerage integration for LEAN with the following architecture:

1. LEAN Core Changes (Models Layer) - PR to Lean:

Lean/
├── Common/
│   └── BrokerageName.Moomoo enum
├── Algorithm.Framework/
│   └── MoomooBrokerageModel (order/security type validation)
└── Algorithm/
    └── MoomooFeeModel (fee calculation)

2. Brokerage Implementation - Separate Repository:

QC-Moomoo-Brokerage/
├── MoomooBrokerage.cs                    # Main brokerage implementation
├── MoomooRestApiClient.cs               # REST API for orders/account/positions
├── MoomooWebSocketClient.cs             # WebSocket for real-time updates
├── MoomooAuthentication.cs              # Token-based auth with auto-refresh
├── MoomooSymbolMapper.cs                # Symbol mapping (US/HK/SG/A-shares)
├── MoomooOrderConverter.cs              # Order type conversion
├── MoomooFeeModel.cs                    # Fee calculation logic
├── MoomooBrokerageModel.cs              # Order type/security validation
└── Tests/
    ├── MoomooBrokerageTests.cs          # 80+ unit tests
    ├── MoomooFeeModelTests.cs           # 20+ fee calculation tests
    └── IntegrationTests/                # Live paper trading tests

3. Supported Features:

Feature	Supported
Market Orders	✅
Limit Orders	✅
Stop Orders	✅
Stop-Limit Orders	✅
Order Modifications	✅
Order Cancellation	✅
Partial Fill Handling	✅
WebSocket Reconnection (Exponential Backoff)	✅
Multiple Sub-Accounts	✅
Paper & Live Environments	✅
US Equities/ETFs	✅
US Options	✅
HK Stocks	✅
SG Stocks	✅
Futures	✅ (region-dependent)
Historical Data	✅ (if licensed)
Streaming Market Data	✅ (if licensed)

4. Fee Structure (Based on Moomoo Published Commissions):

Asset Class	Commission
US Stocks/ETFs	$0.00 commission + regulatory fees (~$0.01-$0.03/share)
US Options	$0.65 per contract
HK Stocks	0.03% of trade value (min HK$15) + platform fee HK$15
SG Stocks	0.03% of trade value (min S$10) + platform fee S$1
A-Share Connect	0.03% of trade value (min RMB 5)

5. Authentication Flow:

• Support for both production and paper trading environments
• Connection to local OpenD gateway with encrypted communication

6. Implementation Details:

• Use Moomoo's official Python/OpenAPI as reference for protocol specifications
• The OpenD gateway architecture (local daemon) is similar to Interactive Brokers' TWS/IB Gateway, making it suitable for LEAN integration
• WebSocket client with automatic reconnection and exponential backoff
• Comprehensive error handling and logging

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Why This Matters

Moomoo's growing market presence:

• Over 20 million users globally
• Strong presence in US, Canada, Australia, Japan, Hong Kong, Singapore, and Malaysia
• Recently launched "API Skills" facility for AI-powered trading in Australia and New Zealand

Community demand:

• Many QuantConnect users in Asia-Pacific regions are actively requesting Moomoo support
• Moomoo's zero-commission US stock trading makes it attractive for retail algorithmic traders
• Existing third-party integration efforts (e.g., Moomoo MCP servers) demonstrate community interest

Technical feasibility:

• Moomoo provides comprehensive OpenAPI documentation
• Official Python SDK available (moomoo-api on PyPI)
• Similar architecture to existing brokerages (Interactive Brokers, Tradovate)
• OpenD gateway architecture is well-suited for LEAN's brokerage model

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Additional Resources

• Moomoo OpenAPI Docs: https://openapi.moomoo.com/moomoo-api-doc/en/intro/intro.html
• Official Python SDK: https://www.moomoo.com/download/OpenAPI

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Checklist

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Start with the proposed Lean paths for BrokerageName.Moomoo, MoomooBrokerageModel, and MoomooFeeModel, then review the separate QC-Moomoo-Brokerage file layout and Moomoo OpenAPI documentation. The intended work includes brokerage, authentication, symbol, order, and WebSocket components plus the listed unit and integration tests. Done means the requested environments, instruments, order flows, and fee behavior are covered.