QuantConnect / QuantConnect/Lean
Support Options Late Close Exceptions
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feature
- Dominant language
- C#
- Stars
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Description
Expected Behavior
Be able to trade options during the "late close" period (15 minutes after the regular close).
See Late Close Exceptions at https://www.nyse.com/markets/american-options/market-info
Actual Behavior
Lean does not model late close exceptions: all options stop trading at 4 pm EST.
Potential Solution
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
- 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 Lean’s option market-hours and exchange-calendar handling, then compare it with the NYSE Late Close Exceptions information linked in the issue. Done means applicable options remain tradable during their documented late-close periods instead of all stopping at 4 pm EST, with coverage verifying those exceptions.
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
- 35/100