QuantConnect / QuantConnect/Lean
Adds Futures Fill Model
Open
Nobody has claimed this yet.
depth
feature
good first issue
- Dominant language
- C#
- Stars
- 21.7k
- Forks
- 5.3k
- Avg merge
- 2d 22h
- Merged PRs (30d)
- 34
Description
Expected Behavior
Futures' orders should fill with prices that respect the minimum price variation.
Actual Behavior
Futures' orders should fill with the available price data.
Potential Solution
Add FuturesFillModel that ensures that orders are filled with realistic prices.
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 by locating the existing order fill models and the code path that supplies futures price data. Compare how minimum price variation is represented and used, then define the behavior for a FuturesFillModel; done means futures orders fill only at realistic prices respecting that variation, with coverage for the reported case.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- csharp
- Domain
- fintech-quant
- Issue type
- Bug
- Difficulty
- 4/5
- Estimated time
- 3-5 days
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 35/100