QuantConnect / QuantConnect/Lean
Support SOFR Futures
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- Dominant language
- C#
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Description
Expected Behavior
QuantConnect/Lean supports Secured Overnight Financing Rate (SOFR) Futures. SOFR is a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities. CME SOFR futures are the leading source of SOFR price discovery, trading alongside deeply liquid Eurodollar, Fed Fund and Treasury futures to offer seamless spread trading and unmatched capital efficiencies through margin offsets.
| GLOBEX | PRODUCT NAME | EXCHANGE | SUBGROUP | VOLUME | OPEN INTEREST |
|---|---|---|---|---|---|
| SR3 | Options on Three-Month SOFR Futures | CME | Stirs | 1,488,655 | 20,538,540 |
| SR3 | Three-Month SOFR Futures | CME | Stirs | 2,622,845 | 8,819,841 |
| S0 | One-Year Mid-Curve Options on Three-Month SOFR Futures | CME | Stirs | 314,397 | 2,894,808 |
| S2 | Two-Year Mid-Curve Options on Three-Month SOFR Futures | CME | Stirs | 54,722 | 838,054 |
| SR1 | One-Month SOFR Futures | CME | Stirs | 92,787 | 650,298 |
| S3 | Three-Year Mid-Curve Options on Three-Month SOFR Futures | CME | Stirs | 20,600 | 508,594 |
Actual Behavior
QuantConnect/Lean does not support SOFR Futures, and USD LIBOR scheduled to cease to be provided or representative from end-June 2023:
Transitioning from Eurodollar futures and options to SOFR - FAQ
Potential Solution
Add SOFT to Lean database.
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
The issue requests adding SOFT to the Lean database and links the relevant CME SOFR products, but names no implementation file or test. Start by locating existing futures definitions and their coverage tests, then compare the SOFR symbols and contracts with the CME references. Done means supported SOFR futures are represented and covered by the relevant tests.
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