QuantConnect / QuantConnect/Lean
Refactor Long-Short Exposure to Online Algorithms
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depth
feature
refactor
- Dominant language
- C#
- Stars
- 21.7k
- Forks
- 5.3k
- Avg merge
- 2d 22h
- Merged PRs (30d)
- 34
Description
Expected Behavior
Ideally exposure math is computationally cheaper and calculated online as the portfolio changes. Enabling higher resolution intraday sampling.
Actual Behavior
Daily samples in batch by the result handler.
Potential Solution
- Bind to Process Fill events in the Portfolio Model
- Create a Portfolio.ShortExposure, Portfolio.LongExposure properties that hold underlying exposures.
- On new fill events update the running total of exposure.
- Process the initial exposure in batch on loading the portfolio holdings.
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
Start by tracing the current exposure calculation in the result handler and the Portfolio Model's Process Fill events, then inspect how initial portfolio holdings are loaded. Define the running long and short exposure state and verify that fill updates and initial loading produce the same values as the existing daily batch calculation, including higher-resolution intraday changes.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- csharp
- Domain
- backend
- Issue type
- Refactor
- Difficulty
- 4/5
- Estimated time
- 3-5 days
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 35/100