QuantConnect / QuantConnect/Lean
Precalculated intraday greeks and implied vol 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
- We can retrieve historical (precalculated) intraday greeks and implied vol
Actual Behavior
- We currently support daily historical (preprocessed) greeks and implied vol only
Potential Solution
N/A
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 locating Lean’s existing daily historical greeks and implied-volatility retrieval path, since the issue names no files, entry points, or tests. Define the required intraday coverage and retrieval behavior for both precalculated greeks and implied volatility, then establish acceptance criteria for the new support.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- csharp
- Domain
- data, fintech-quant
- Issue type
- Feature
- Difficulty
- 5/5
- Estimated time
- Over a week
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 25/100