QuantConnect / QuantConnect/Lean
Implement Combo Order Type in Cross Zero Order
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- Dominant language
- C#
- Stars
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- Avg merge
- 2d 22h
- Merged PRs (30d)
- 34
Description
Expected Behavior
CrossZeroOrder should support placing and managing Combo order types seamlessly, similar to how it handles other order types.
Actual Behavior
Currently, CrossZeroOrder does not recognize or process Combo orders, which limits its usability for multi-leg strategies (e.g., spreads, straddles).
Orders fail when a ComboOrder is CanSubmitted(...) in class <BrokerageName>BrokerageModel.
Potential Solution
- Extend
CrossZeroOrderlogic to include handling for:ComboMarketComboLimitComboLegLimit
- Add tests for execution and lifecycle management of Combo orders.
Brokerage which support CrossZeroOrder and Combo Order types
Related PRs
- https://github.com/QuantConnect/Lean/pull/8051
- https://github.com/QuantConnect/Lean.Brokerages.TradeStation/pull/24
- https://github.com/QuantConnect/Lean/pull/8959
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 CrossZeroOrder and the CanSubmitted(...) handling in the brokerage models, then review related PRs #8051, #24, and #8959 for existing context. Done means ComboMarket, ComboLimit, and ComboLegLimit orders are supported through execution and lifecycle management, with tests covering those paths.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- csharp
- Domain
- backend
- Issue type
- Feature
- Difficulty
- 4/5
- Estimated time
- 3-5 days
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 45/100