QuantConnect / QuantConnect/Lean
Finish Adding Guaranteed VWAP Order Type
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- Dominant language
- C#
- Stars
- 21.7k
- Forks
- 5.3k
- Avg merge
- 2d 22h
- Merged PRs (30d)
- 34
Description
Description
There's work remaining on from PR #2000 but due to IB's api we can't finish it right now.
Here's the notes from the PR regarding what's left to be finished:
Sadly, when we started live testing Guaranteed VWAP orders with LEAN, we discovered that there is incomplete support for this order type in the IB API.
IB has acknowledged the problem and we are waiting for an IB API update.
Todo list for when we have complete IB API support for Guaranteed VWAP orders:
- Implement the new VwapTime order setting (currently missing)
- Verify VWAP order events are received correctly: PreSubmitted -> Submitted -> Filled
- Verify margin requirements for active VWAP orders
Checklist
- I have completely filled out this template
- I have confirmed that this issue exists on the current
masterbranch - I have confirmed that this is not a duplicate issue by searching issues
Contributor guide
First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
Research direction
Start by reviewing PR #2000 and the existing Guaranteed VWAP order implementation. This work depends on complete Interactive Brokers API support; once available, implement the missing VwapTime setting and verify the PreSubmitted → Submitted → Filled events and margin requirements for active VWAP orders.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- csharp
- Domain
- fintech-quant
- Issue type
- Feature
- Difficulty
- 4/5
- Estimated time
- 3-5 days
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 25/100