QuantConnect / QuantConnect/Lean
Add Orderbook Support to LEAN
Open
Nobody has claimed this yet.
feature
- Dominant language
- C#
- Stars
- 21.7k
- Forks
- 5.3k
- Avg merge
- 2d 22h
- Merged PRs (30d)
- 34
Description
Build a full order book using quote ticks, trades and make it available on the Crypto security type.
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
The issue names no files, tests, or entry points. First map how quote ticks and trades are represented and how the Crypto security type processes them; done means a full order book is built from those inputs and exposed for Crypto, with coverage for the supported behavior.
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
- Needs clarification
- Newbie friendliness
- 25/100