QuantConnect / QuantConnect/Lean
Allow Trading Outside Regular Market Hours in the Default Fill Model
Open
Nobody has claimed this yet.
depth
feature
- Dominant language
- C#
- Stars
- 21.7k
- Forks
- 5.3k
- Avg merge
- 2d 22h
- Merged PRs (30d)
- 34
Description
Expected Behavior
Be able to place orders that can be filled outside RTH.
Actual Behavior
Lean only allows orders to be filled in RTH.
Potential Solution
In FillModel, replace hard-coded parameter false in IsExchangeOpen calls for the security extended market value.
Reproducing the Problem
Use extended market hours in BasicTemplateAlgorithm, a market order should be placed at 4 am.
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
- I have provided detailed steps to reproduce the issue
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 in FillModel and inspect the IsExchangeOpen calls that use the security's extended market value. Reproduce the issue with extended market hours in BasicTemplateAlgorithm, then verify that a market order can be placed at 4 am without preventing regular-hours fills.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- csharp
- Domain
- fintech-quant
- Issue type
- Bug
- Difficulty
- 3/5
- Estimated time
- 1-2 days
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 45/100