QuantConnect / QuantConnect/Lean
Missing Option Strategies
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
We have an OptionStrategy definition for each Option strategy.
Actual Behavior
We are missing the following Option strategies:
- Call back spread
- Put back spread
- Call front spread
- Put back spread
- Diagonal call spread
- Diagonal put spread
- Double diagonal spread
- Synthetic long
- Synthetic short
- Call condor spread
- Put condor spread
- Christmas tree call spread
- Christmas tree put spread
- Skip Strike butterfly with calls
- Skip strike butterfly with puts
- Inverse Skip Strike butterfly with calls
- Inverse Skip strike butterfly with puts
- Risk reversal
- Fig leaf
- Jelly roll
Potential Solution
Add the missing Option strategies
System Information
N/A
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
The issue names no files, tests, or entry points. Start by locating the existing OptionStrategy definitions and comparing them with the listed missing strategies; done means every strategy in the list has been addressed.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- csharp
- Domain
- fintech-quant
- Issue type
- Feature
- Difficulty
- 5/5
- Estimated time
- Over a week
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 30/100