QuantConnect/Lean

Adds Futures Fill Model

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#4,605 opened on Jul 31, 2020

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 (1 comment) (0 reactions) (0 assignees)C# (4,772 forks)batch import
depthfeaturegood first issue

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Description

Expected Behavior

Futures' orders should fill with prices that respect the minimum price variation.

Actual Behavior

Futures' orders should fill with the available price data.

Potential Solution

Add FuturesFillModel that ensures that orders are filled with realistic prices.

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

Research direction
Study the existing FillModel for equities, then create a FuturesFillModel that applies minimum price variation to fill prices.
Tech stack
csharppython
Domain
backendfintech quant
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.
Active
ClarityHow clearly the issue explains the expected change, acceptance criteria, and next step.
Mostly clear
Prerequisites
C#Pythonfinance
Newbie friendlinessA 1-100 score estimating how approachable this issue is for first-time contributors.
50