QuantConnect / QuantConnect/Lean
Process Split Cannot Place MOC Orders For Options
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bug
- Dominant language
- C#
- Stars
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- Avg merge
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- Merged PRs (30d)
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Description
Expected Behavior
When a split happens, LEAN liquidates option positions with market (with the last bid/ask of the day) or market-on-open orders.
Actual Behavior
LEAN liquidates option positions with market-on-close orders which are not supported by IB. (see #7725)
Potential Solution
N/A
Reproducing the Problem
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 with the linked embedded backtest and trace how a process split chooses liquidation order types for option positions. The fix is done when split handling uses market orders with the last bid/ask of the day or market-on-open orders instead of market-on-close orders, and the behavior is verified against IB support.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- csharp
- Domain
- fintech-quant
- Issue type
- Bug
- Difficulty
- 4/5
- Estimated time
- 3-5 days
- Activity status
- Stale
- Clarity
- Needs clarification
- Newbie friendliness
- 35/100