QuantConnect / QuantConnect/Lean

Order Serialization Order Value Multiplier

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#8,447 4 comments 0 reactions 0 assignees View on GitHub

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bug
Dominant language
C#
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Avg merge
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Merged PRs (30d)
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Description

Expected Behavior

The "value" field has the value from Order.GetValue method.

Actual Behavior

The multiplier is not taken into account for option:

Time,Symbol,Price,Quantity,Type,Status,Value,Tag
2021-01-08T20:30:00Z,SPXW 210115C03870000,9.1,-5,Market,Filled,-45.5,"CreateIronCondor: Short Call Order placed with strike 3870 at the current SPX of 3816.93."

"orders": {
    "1": {
        ...
        "symbol": {
            "value": "SPXW  210115C03870000",
            "id": "SPXW XL80P536WOB2|SPX 31",
            "permtick": "SPXW  210115C03870000",
            "underlying": {
                "value": "SPX",
                "id": "SPX 31",
                "permtick": "SPX"
            }
        },
        "price": 9.1,
        ...
        "quantity": -5.0,
        ...
        "value": -45.5,
Checklist
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  • 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 tracing the order serialization path and the Order.GetValue method using the provided order data, focusing on how the value field is calculated for options. Reproduce the mismatch with an option order whose quantity and multiplier differ, then verify that serialized value matches Order.GetValue after the multiplier is applied.

Written by the indexing model from the issue text.

Assessment

Tech stack
csharp
Domain
api, backend
Issue type
Bug
Difficulty
3/5
Estimated time
1-2 days
Activity status
Quiet
Clarity
Mostly clear
Newbie friendliness
48/100

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