QuantConnect / QuantConnect/Lean
Cached universe data matrix feature
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- Dominant language
- C#
- Stars
- 21.7k
- Forks
- 5.3k
- Avg merge
- 2d 22h
- Merged PRs (30d)
- 34
Description
Expected Behavior
LEAN automatically maintains a matrix of historical prices for all the assets currently in the universe.
Actual Behavior
Members need to manually maintain the matrix. See https://www.quantconnect.com/docs/v2/writing-algorithms/universes/key-concepts#13-Historical-Asset-Prices
Potential Solution
N/A
Reproducing the Problem
System Information
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 with the historical asset prices documentation linked in the issue and trace how universe membership and historical prices are currently handled. Identify the relevant engine entry points and existing tests before proposing the design. Done means LEAN automatically maintains the historical-price matrix for all assets currently in the universe, with coverage for membership changes.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- csharp
- Domain
- data
- Issue type
- Feature
- Difficulty
- 5/5
- Estimated time
- Over a week
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 30/100