QuantConnect/Lean

Adds Futures Fill Model

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#4,605 创建于 2020年7月31日

 (1 条评论) (0 个反应) (0 位负责人)C# (4,772 个派生)batch import
depthfeaturegood first issue

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描述

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

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