QuantConnect/Lean

Adds Futures Fill Model

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#4,605 创建于 2020年7月31日

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 (1 评论) (0 反应) (0 负责人)C# (18,979 star) (4,772 fork)batch import
depthfeaturegood first issue

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

贡献者指南

技术栈
csharp
领域
backend
议题类型
feature
难度面向新贡献者的预计实现难度，1 表示很小改动，5 表示专家级工作。
3
预计时间有经验贡献者完成调查、实现、测试并准备 pull request 的粗略时间范围。
half day
活动状态议题当前的可参与程度：新鲜、活跃、陈旧、阻塞或等待维护者输入。
stale
清晰度议题是否清楚说明期望改动、验收标准和下一步。
clear
前置要求
C# programmingunderstanding of futures tradingfamiliarity with Lean codebase
新手友好度1-100 的估计分数，表示该议题对首次贡献者的友好程度。
60
研究方向
Investigate existing fill models like EquityFillModel in the Lean codebase (e.g., in Common or Engine directories). Look for the IFillModel interface and implement FuturesFillModel that respects minimum price variation. Ensure compatibility with existing order types and backtesting. Check the issue comments for any additional context.