QuantConnect / QuantConnect/Lean
Future Options Greeks Support
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
- Add greeks/ImpliedVolatility for future options universe files, aiming for feature parity with equity/index options: history/selection using FOPs greeks/etc
Actual Behavior
- Not supported
Potential Solution
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
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 reviewing the dependency in issue 6861, then compare the existing equity/index options Greeks behavior with the future-options universe. Determine the relevant implementation and tests from that comparison. Done means future options support greeks/ImpliedVolatility with parity for history and selection using FOP Greeks.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- csharp
- Domain
- fintech-quant
- Issue type
- Feature
- Difficulty
- 5/5
- Estimated time
- Over a week
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 25/100