QuantConnect/Lean

Add Option and Future performance benchmark

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#4381 opened on May 6, 2020

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 (1 comment) (0 reactions) (0 assignees)C# (18,979 stars) (4,772 forks)batch import
consistencyfeaturegood first issueperformancetesting

Description

Expected Behavior

  • There is a Futures and Options performance algorithm benchmark

Actual Behavior

Potential Solution

Implement

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 master branch
  • I have confirmed that this is not a duplicate issue by searching issues
  • I have provided detailed steps to reproduce the issue

Contributor guide

Tech stack
csharppython
Domain
performancebackend
Issue type
feature
DifficultyEstimated implementation difficulty for a new contributor, from 1 for very small changes to 5 for expert-level work.
3
Estimated timeA rough time range for an experienced contributor to investigate, implement, test, and prepare a pull request.
half day
Activity statusHow available the issue appears right now: fresh, active, stale, blocked, or waiting on maintainer input.
stale
ClarityHow clearly the issue explains the expected change, acceptance criteria, and next step.
clear
Prerequisites
familiarity with Lean algorithm structureunderstanding of Options and FuturesC# or Python programming
Newbie friendlinessA 1-100 score estimating how approachable this issue is for first-time contributors.
30
Research direction
Review existing benchmark algorithms in the Algorithm.CSharp/Benchmarks directory to understand the pattern. Implement a new benchmark algorithm for Options and Futures, following the same structure. Consider performance metrics such as execution time, memory usage, and throughput. Verify the implementation against the Lean framework documentation and ensure it can be run on the QuantConnect platform.