QuantConnect / QuantConnect/Lean

Seed security prices by default

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#8,255 3 comments 1 reaction 0 assignees View on GitHub

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depth feature
Dominant language
C#
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Forks
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Avg merge
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Merged PRs (30d)
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Description

Expected Behavior
  • Add new algorithm setting, enabled by default, for security seed. If enabled after a security is added we should seed an initial historical price to them
Actual Behavior
  • Security currently do not have an initial price set
Potential Solution
  • After universe selection, for all security additions changes, we can run them through a history request to see their initial price.
    See related GetLastKnownPrices, currently supports a single asset, we want to run history requests in parallel -> universe selection of 500 assets can't seed sequentially
Reproducing the Problem

N/A

System Information

N/A

Checklist
  • I have completely filled out this template
  • I have confirmed that this issue exists on the current master branch
  • I have confirmed that this is not a duplicate issue by searching issues
  • I have provided detailed steps to reproduce the issue

Contributor guide

Open the contributing guide

First steps

  1. Read the whole issue, then the project's contributing guide.
  2. Comment on the issue to say you are picking it up — it saves two people doing the same work.
  3. Fork the repository and make your change on a branch.
  4. Open a pull request that references the issue number.

Research direction

Start by reading the existing GetLastKnownPrices implementation and the universe-selection path where security additions are handled. Trace how an initial historical price could be requested for newly added securities, including parallel requests for large selections. Done means a default-enabled setting seeds an initial price for each added security without sequentially processing a 500-asset universe.

Written by the indexing model from the issue text.

Assessment

Tech stack
csharp
Domain
data
Issue type
Feature
Difficulty
4/5
Estimated time
3-5 days
Activity status
Stale
Clarity
Mostly clear
Newbie friendliness
35/100

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