QuantConnect / QuantConnect/Lean
Support Futures Spread Trading
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feature
- Dominant language
- C#
- Stars
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- Forks
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- Avg merge
- 2d 22h
- Merged PRs (30d)
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Description
Expected Behavior
Like options, if we place orders for two futures' contracts to create a spread, the margin will be reduced.
There are 3 cases, according to CME:
- INTRAMARKET SPREADS (same future)
- INTERMARKET SPREADS (different but related future)
- COMMODITY PRODUCT SPREADS (same commodity: Soybean Meal and Soybean Oil)
Actual Behavior
Buying power for futures accounts legs independently.
Potential Solution
Implement Position buying power for futures.
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 reviewing the expected and actual behavior in this issue alongside the linked CME futures-spread overview. Define how position buying power should handle intramarket, intermarket, and commodity product spreads, then establish tests that demonstrate reduced margin for each case.
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
- Needs clarification
- Newbie friendliness
- 25/100