QuantConnect / QuantConnect/Lean
Adds Support to Mini/Micro Index Options
Open
Nobody has claimed this yet.
depth
feature
- Dominant language
- C#
- Stars
- 21.7k
- Forks
- 5.3k
- Avg merge
- 2d 22h
- Merged PRs (30d)
- 34
Description
Expected Behavior
Supports XSP, XND
Actual Behavior
Not supported. LEAN supports SPX and NDX
Potential Solution
Model these assets:
https://www.cboe.com/tradable_products/sp_500/mini_spx_options/specifications/
https://www.nasdaq.com/docs/2023/08/14/XND_FactSheet.pdf
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 the existing SPX and NDX support in the Lean repository and compare their asset models with the linked XSP and XND specifications. Confirm the required contract details and identify the tests covering index options. Done means Lean supports modeling and using both XSP and XND consistently with SPX and NDX.
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