QuantConnect / QuantConnect/Lean

Implement Combo Order Type in Cross Zero Order

Open
#9,005 0 comments 1 reaction 0 assignees View on GitHub

Nobody has claimed this yet.

Dominant language
C#
Stars
21.7k
Forks
5.3k
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 CrossZeroOrder logic to include handling for:
    • ComboMarket
    • ComboLimit
    • ComboLegLimit
  • Add tests for execution and lifecycle management of Combo orders.
Brokerage which support CrossZeroOrder and Combo Order types
Related PRs
Checklist
  • I have completely filled out this template
  • I have confirmed that this issue exists on the current master branch
  • I have confirmed that this is not a duplicate issue by searching issues

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 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

Get new issues in your inbox

A short digest of beginner-friendly GitHub issues.