Share your input to our roadmap for the coming months, and shape the future of QuantConnect.
The issue at hand is to create a Walk Forward Optimization API in the LEAN project. This involves utilizing existing parameters and optimization controller technology to implement scheduled optimizations. The... See more
The issue at hand is to create a Walk Forward Optimization API in the LEAN project. This involves utilizing existing parameters and optimization controller technology to implement scheduled optimizations. The... See more
The issue at hand is the lack of an automatic contract rollover feature in the LEAN open-source project. Currently, when contracts expire, positions are liquidated, which is not desirable for... See more
The issue is that currently, there are no fees being paid for short positions on a hard to borrow stock. The potential solution is to obtain a hard to borrow... See more
The issue is a request to implement cTrader OpenAPI for broker access in the LEAN open-source project. The user suggests that by interfacing with spotware's API, which is used by... See more
The issue is that the daily history requests in the LEAN open-source project do not include partial bars for intraday requests. Currently, the requests only provide data up to the... See more
The issue is that the current behavior of the LEAN project requires all data to be processed in Python, even if an algorithm only cares about a small portion of... See more
The issue is to add support for Immediate Or Cancel (IOC) TimeInForce in the LEAN open-source project. Currently, there are brokerages like IB and Atreyu that support this feature, and... See more
The issue is that there is currently no indicator manager in the LEAN open-source project to keep track of all created and registered indicators. This lack of global awareness means... See more
The issue is that the LEAN project does not currently support VIX Mini Futures. The expected behavior is to add support for these futures, but the actual behavior is that... See more
The issue is that the Average Leverage Utilization is not available in the Algorithm Statistics and Report in the LEAN open-source project. The proposed solution is to add the Average... See more
The issue is that the `ExecutionModel` class in the LEAN open-source project does not have an `OnOrderEvent` method. This method is needed to manage the orders placed by the `ExecutionModel.Execute`... See more
The `Backtest.TotalPerformance.PortfolioStatistics` in LEAN is missing several important summary statistics such as Calmar Ratio, Stability, Omega Ratio, Skew, Kurtosis, Tail Ratio, Common Sense Ratio, and Gross Leverage. This is not... See more
The issue is that the universe settings are not being respected when using the AddOption/AddFuture/AddFutureOption/AddIndexOption methods in the derivative universes. The expected behavior is that the settings set before calling... See more
The issue is that the LEAN open-source project currently does not support Futures' weeklies. The expected behavior is to support these weeklies, as specified in the Weekly Equity Index Options... See more
The issue is that the current implementation of the LEAN project only supports custom statistics for C# and not for Python. The expected behavior is to be able to exclude... See more
The issue at hand is that there is currently no built-in support for tax calculations in the LEAN open-source project. The proposal is to add a Tax Model that would... See more
The issue is that the Liquidate API currently liquidates multi-asset position groups using individual market orders, which can cause insufficient buying power issues. The potential solution is to use combo... See more
The issue reported is that the Bachelier option pricing model is missing in the LEAN open-source project. The member has noticed that the `CrankNicolsonFD` option pricing model matches Interactive Brokers'... See more
The issue in the AlgorithmManager of the LEAN open-source project is that the Scheduled Events are triggered before the consolidators/indicators are updated, whereas the expected behavior is for the Scheduled... See more
The potential solution is to add native support for bracket orders in the LEAN open-source project. Currently, users have to use workarounds to emulate bracket orders, which can be cumbersome... See more
The issue is that there is currently no support for easily setting portfolio targets for strategies in the LEAN open-source project. The expected behavior is to add support for `SetHoldings(strategy,... See more
The issue is that the current implementation of the LEAN open-source project only supports running a single algorithm instance. However, the expected behavior is to be able to run multiple... See more
The issue is that when using `PortfolioTarget.Percent` in the LEAN open-source project, the actual portfolio weight far exceeds the target percentage at the time of order fill. This is likely... See more
The current version of LEAN does not include a feature to track the open, high, low, and volume of the current trading day. This is a highly requested feature by... See more
The issue is to add the ability to execute trades on multiple brokerages in the LEAN open-source project. This involves creating a method called SetOrderRouter() in the API, which takes... See more
The issue is that the security prices in the LEAN open-source project are not seeded with an initial price by default. The expected behavior is to add a new algorithm... See more
The issue is that the charts in the LEAN open-source project, including the `Strategy Equity` chart, currently only support linear scale. The expected behavior is for the charts to have... See more
The issue is that currently, in the open-source project LEAN, there is no way to handle runtime exceptions and take appropriate actions. When a runtime error occurs, we are unable... See more
The issue is that the Lean Algorithm currently does not support the Penny Pilot Program for options pricing. When attempting to update an order on an option, the system throws... See more
The issue in LEAN is that it is not correctly matching options legs to find the combination that requires the lowest margin. Instead, it is matching options legs that do... See more
The issue is that when calling the OptionStrategies functions, if the selected contracts cannot be found in the OptionChain, no error message is thrown. The error message is only displayed... See more
The issue is that the current behavior of the LEAN project is that it receives brokerage error messages that are not user-friendly. For example, it receives a message like "No... See more
The issue is that when removing and then re-adding security in the LEAN project, the assets do not reset properly and end up in an undesirable state. Specifically, removing option... See more
The issue is that the open-source project LEAN does not currently support XSP and XND mini/micro index options. The expected behavior is for LEAN to support these assets, but currently,... See more
The current implementation of the Exercise-Settlement Function in the LEAN project for SPX options uses the close of the underlying instead of the "opening sales price" as specified in the... See more
There is an issue in the LEAN open-source project where the market-hours-database.json file does not have a section to add special trading sessions on weekends. While timings can be added... See more
The issue is that the current implementation of smart custom data in the LEAN open-source project requires users to define the Reader. However, most data is in a simple CSV... See more
The issue with the TimeSlice Factory in the LEAN open-source project is that it is not as efficient and lazy as expected. Currently, it creates collections, pushes data into the... See more
The current behavior of the LEAN open-source project does not support the ability to restart a live algorithm while holding custom data. This is unexpected as the project already supports... See more
The issue is that LEAN currently relies on QLNet for option pricing models. However, it would be more beneficial to implement these models directly in LEAN to make debugging and... See more
The issue with the LEAN project is that the Unexpected Order Event handling always shuts down the strategy, regardless of the user's desired behavior. A potential solution could be to... See more
The issue at hand is to create reports for each framework module in the LEAN project. These reports should include analysis and should be presented in the form of plotly... See more
The issue with the support for fractional equities in the LEAN open-source project is that currently, it depends on the asset type instead of the account. The expected behavior is... See more
The issue is that the open-source project LEAN currently uses a null margin interest rate model by default, instead of having a default `IMarginInterestRateModel` that accounts for costs associated with... See more
The issue is related to the handling of dictionaries and enumerables in Python within the LEAN open-source project. The expected behavior is to have informative and helpful error messages, as... See more
The issue is that the open-source project LEAN does not support Secured Overnight Financing Rate (SOFR) Futures, despite the fact that SOFR futures are a leading source of SOFR price... See more
Based on the given information, the issue is that the `WarmUpIndicator` method in the `LEAN` open-source project does not support passing an arbitrary consolidator as an argument. This is inconsistent... See more
The issue with the LEAN open-source project is that there is no access to the price factor being applied to the data feed. This is problematic because it prevents the... See more
The current functionality of `OptionStrategy` in the LEAN open-source project is limited. Users can only buy or sell option strategies, which is not very helpful when using the Algorithm Framework... See more
The `Symbol` property of `OptionLegData` is not functioning as expected and is always returning `None` when used in option strategies.
The issue is that when placing orders for two futures contracts to create a spread, the margin is not being reduced like it is for options. This applies to three... See more
The issue is that there is no exception thrown when setting the start date after the end date in a notebook, but an exception is thrown when doing the same... See more
The issue at hand is that the current version of LEAN does not support several new crypto-currencies, including APEUSD, AXSUSD, CCDUSD, GALAUSD, HIUSD, JASMYUSD, LUNA2USD, MATICUSD, ROSEUSD, SHIBUSD, WAVESUSD, XRDUSD,... See more
The issue is that the open-source project LEAN does not provide an example of the `IndicatorVolatilityModel` feature in its documentation. The potential solution is to add an example and/or unit... See more
The issue is that the RollingWindow class in the LEAN open-source project currently only accepts native and C# types. This means that it cannot be used with other types of... See more
The issue in the LEAN open-source project is that it is missing a feature to handle stock suspensions and halts correctly. This means that when trading activity is halted by... See more
The issue in the LEAN open-source project is that there are only `ConstantSlippageModel` available, but the expected behavior is to have additional built-in models called `FixedSlippageModel` and `VolumeShareSlippageModel`. The potential... See more
N/A
To include options in the universe when they are first issued, we can modify the code to add contracts with zero prices. These contracts will only have the symbol, allowing... See more
The issue is that when a market order doesn't fill within five seconds and times out, the order tag should be updated to "timed out" and the order status should... See more
The issue is related to the performance of filtering options and futures filter universes in the LEAN open-source project. The current behavior involves enumerating and filtering the data multiple times,... See more
The issue is that when working with future options in the LEAN open-source project, the option chain is empty and requires the user to define a filter for the underlying... See more
The issue is that the IndicatorHistory in the LEAN open-source project does not support IndicatorExtensions. This means that users are unable to use IndicatorExtensions with IndicatorHistory, which limits their ability... See more
The issue is with the definition of the WinRate in the PortfolioStatistics class in the LEAN open-source project. The current definition calculates the WinRate as the ratio of the number... See more
The issue is related to the precise daily end times for Oanda in the LEAN open-source project. The expected behavior is that Oanda CFD & Forex support precise daily end... See more
The issue is related to the python debugger in the LEAN open-source project. The expected behavior is to present only relevant and accurate data to the user during debugging. However,... See more
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The issue at hand is that the `DownloaderDataProvider` launcher program needs to be expanded to handle canonical symbols. The potential solution provided suggests adding a check to see if the... See more
The issue with the rolling window statistics in LEAN is that the start of a period does not match the end of the previous period. LEAN uses one data point... See more
The issue is that the Alpaca crypto symbol properties are not accurate. The Alpaca crypto brokerage is using coinbase market and its SPDB properties, but the Alpaca symbol properties are... See more
The potential solution is to implement the new indicators `CrossOver`, `CrossAny`, and `CrossDir` in the LEAN open-source project. These indicators are already implemented in the Tulip indicators library and can... See more
The issue is about refactoring the code in the LEAN open-source project. The goal is to avoid repeating code. The TrueRange.cs and AverageTrueRange.cs files in the project have similar code.... See more
The issue is that the DonchianChannel tests in the LEAN project do not catch errors when the calculated mean value is different from the "Donchian Channels 50 Mean" column value... See more
The issue is related to the lack of automatic code linting and formatting in the LEAN open-source project. Currently, developers have to manually take care of code formatting, which could... See more
The issue is about the review of indicator tests' relative error rate in the LEAN open-source project. The expected behavior is to have a lower error rate, currently set at... See more
The issue at hand is to implement the Yang Zhang Volatility indicator in the LEAN open-source project. The expected behavior is for LEAN to support this indicator, which is described... See more
The issue is that the LEAN project needs to implement support for SFX, an indicator that is currently implemented in the talipp library. The expected behavior is that LEAN should... See more
The issue is to implement the Know Sure Thing indicator in the LEAN open-source project. The expected behavior is to have support for the Know Sure Thing indicator, similar to... See more
The issue is to implement the Klinger Volume Oscillator in the LEAN open-source project. The expected behavior is to support the Klinger Volume Oscillator, with a reference to the talipp... See more
The issue is related to the open-source project LEAN. The expected behavior is to add an alias for the Chaikin Oscillator, which is currently implemented as the AccumulationDistributionOscillator in LEAN.... See more
The issue is that trailing stop orders for futures are not being filled outside of market hours. A potential solution is to overwrite the `TrailingStopFill` method in the `FutureFillModel` similar... See more
The issue is that LEAN currently supports some micro futures contracts, but it does not support micro versions of popular contracts. For example, it supports MES but not MGH (Micro... See more
The issue is to add Saxobank Brokerage integration to the LEAN open-source project. The integration will use the Saxobank OpenAPI for QuantConnect. The issue has been confirmed to exist on... See more
The issue is that when exercising options in the open-source project LEAN, the underlying price is different depending on whether we subscribe to extended hours or not. The expected behavior... See more
The issue is that the crisis events in the algorithm are pre-defined and cannot be user-defined. The expected behavior is to be able to define a crisis event period using... See more
The issue is that when creating a custom chart in the LEAN open-source project, the y-axis label is automatically assigned as one of the series names, instead of allowing users... See more
The issue is that the LEAN project does not support margin rollover fees. The expected behavior is for LEAN to support these fees, as they are applied every 4 hours... See more
The issue is that in live mode, the `Statistics.Summary` is empty, specifically on the deployment day. One potential solution is to check if the benchmark has been sampled before generating... See more
There is a bug in the History request for Tick data of Future in the LEAN open-source project. The expected behavior is that three different History requests should return the... See more
The issue is that the margin calculation and order size calculation in the LEAN open-source project are not correct when using the Bybit crypto exchange. The default margin rate used... See more
The issue is that custom data types in the LEAN open-source project are unable to update security OHLC (Open, High, Low, Close) properties if they contain user-defined OHLC fields that... See more
The issue in the LEAN open-source project is that the DownloaderDataProvider class can only take a single downloader instance. However, it would be more beneficial if it could take an... See more
The issue is that the CandlestickPatterns class in the LEAN open-source project has not been updated in the past 8 years, and there is a desire to incorporate innovative technical... See more
The issue is that the currency data feed in LEAN is not handling illiquid crypto futures properly. When there is no underlying asset for a crypto future, the conversion rate... See more
The issue with the LEAN open-source project is that when a split happens, it is currently liquidating option positions with market-on-close orders, which are not supported by IB (Interactive Brokers).... See more
The issue with the CryptoFutureMarginModel in LEAN is that the GetInitialMarginRequirement method does not consider the order type when calculating the margin required to open a position. Currently, it calculates... See more
The issue is that the `OpenInterestFutureUniverseSelectionModel` in the LEAN open-source project fails to get historical open interest when used in C# code, resulting in the error message "Failed to get... See more
The Rachev Ratio indicator is currently not implemented in the Lean open-source project. The expected behavior is for Lean to have a built-in indicator that can compute the Rachev Ratio.... See more
The issue is that when adding a cryptocurrency future with different leverage values in the LEAN open-source project, the initial margin changes accordingly but the TotalMarginUsed remains the same. The... See more
The issue is related to the Mean Variance PCM (Portfolio Construction Model) in the LEAN open-source project. The problem is that the Mean Variance PCM is currently only working on... See more
The issue is that the ReturnsSymbolData instance in the Black Litterman PCM is only using forecasted data from the Insight.Magnitude value, instead of using actual asset data. This results in... See more
The issue with LEAN is that the Reader of Custom Data Types sometimes fails to display errors to the user. A potential solution is to ensure that TextSubscriptionDataSourceReader.ReaderError is not... See more
The issue is that the Live IBKR OptionChainProvider and AddFutureOption in the LEAN open-source project are not including daily expirations for Futures options in live trading. The expected behavior is... See more
The potential solution to this issue is to modify the `SecurityPortfilioManager.TryCreatePositionGroup` and `OptionStrategyPositionGroupResolver.TryGroup` methods in the LEAN project. These methods should be updated to properly handle the scenario where multiple... See more
The issue is that the PearsonCorrelationPairsTradingAlphaModel in the LEAN open-source project does not currently use ScaledRaw data as expected. Instead, it requests historical data with the data normalization of the... See more
The issue with the MeanVarianceOptimizationPortfolioConstructionModel in the LEAN open-source project is that it currently uses adjusted data instead of ScaledRaw data, and it also doesn't reset or warm-up indicators when... See more
The issue is that the current version of LEAN does not support Market-to-Limit (MTL) orders. A MTL order is initially submitted as a market order to execute at the current... See more
The issue is to add support for a trailing stop limit order in the LEAN open-source project. A trailing stop limit order allows an investor to set a limit on... See more
The issue is about adding support for Limit-on-Open (LOO) orders in the LEAN open-source project. A LOO order combines a limit order with the OPG time in force to create... See more
The issue is that the open-source project LEAN currently does not have support for Limit-on-Close (LOC) orders. A LOC order is submitted at the close and will only execute if... See more
The issue is that the `QCAlgorithm.History` method in the LEAN open-source project is missing certain method overloads. Specifically, it is missing overloads that include a `DataNormalizationMode` parameter for requesting scaled... See more
The `BasePairsTradingAlphaModel` in the LEAN open-source project does not remove the consolidator when the security is removed and does not recalculate indicators on a split/dividend event. The potential solution is... See more
The issue is with the `EmaCrossAlphaModel` in the LEAN open-source project. The expected behavior is that the consolidator should be removed when the security is removed and indicators should be... See more
The issue with the `HistoricalReturnsAlphaModel` in the LEAN open-source project is that it does not remove the consolidator when the security is removed and does not recalculate indicators on a... See more
The issue is that the LEAN open-source project currently only supports one continuous contract per future, but there is a need to support multiple continuous contracts for a future, such... See more
The issue is that when redeploying a live algorithm, the initial equity and profit from trades are lost. Restarting the algorithm does not consider the initial cash from the first... See more
The issue at hand is regarding the need to refactor the long-short exposure to online algorithms in the LEAN open-source project. The expected behavior is for the exposure math to... See more
The issue is that the current implementation of the LEAN project's Universe Selection Models does not support chaining of universes. The `CompositeUniverseSelectionModel` allows adding multiple Universe Selection Models, but they... See more
The issue is about implementing a generic button rendering tool in the LEAN open-source project. The tool should be able to call back to functions in the code. One potential... See more
The issue at hand is the lack of support for the Parabolic SAR - Extended (SAREXT) indicator in the LEAN open-source project. The expected behavior is for LEAN to include... See more
The issue is with the current implementation of the LeastSquaresMovingAverage indicator in the LEAN open-source project. The indicator assumes a constant slope, which is not always the case in real-world... See more
The issue is that the Covariance as a Lean Indicator is not currently supported in the LEAN open-source project. The expected behavior is for Lean to support this indicator, which... See more
The issue is that when warming up an indicator in the LEAN project, a history request is executed without providing the required data type. This causes LEAN to fetch all... See more
The issue is with the `FillModel.StopLimitFill` method in the LEAN open-source project. Currently, it uses quote data to trigger the order, but it should be using trade data instead. The... See more
The issue is that the default margin models in the LEAN open-source project do not enforce the Pattern Day Trading (PDT) rule. The expected behavior is for the margin models... See more
The issue is that the automatic option assignment in the LEAN project does not take upcoming dividends into account. This is because LEAN does not currently model upcoming dividends. The... See more
The issue is that the order response error messages in the LEAN open-source project do not have links to the documentation. The expected behavior is for the error messages to... See more
The issue is related to the open-source project LEAN and the need to add OptionChain helpers. The expected behavior is to be able to select contracts with helper methods such... See more
The issue is with the `DataConsolidator.DataConsolidated` event in the LEAN open-source project. The event is of type `IBaseData`, which causes problems for inheriting classes like `PeriodCountConsolidatorBase`. These classes have to... See more
The issue is that user-facing messages are currently located in multiple locations within the code base of the LEAN project. This makes it difficult to update and maintain these messages,... See more
The issue is that the `Consolidate()` method in the LEAN project does not currently accept `RenkoBar`, `ClassicalRenkoBar`, and `VolumeRenkoBar` types as arguments. The expected behavior is for the `Consolidate()` method... See more
The issue is related to the margin 'source' base abstraction for buying power models in the LEAN open-source project. Currently, the Crypto/CryptoFuture/CashBuyingPowerModel use their collateral as the source of margin/buying... See more
The issue is that the LEAN open-source project does not support trading options during the "late close" period, which is 15 minutes after the regular close. Currently, all options stop... See more
The issue is that when an algorithm is restarted in live mode, it loads the open `Insight`s from the previous deployment instead of starting fresh. The potential solution is to... See more
The issue is that the LEAN project currently does not support OANDA's CFDs for cryptocurrencies. The expected behavior is to add support for these CFDs by adding new entries to... See more
The issue is that during backtesting in the LEAN open-source project, the logs are currently being held entirely in memory, which can lead to memory issues. The expected behavior is... See more
The issue is that the open-source project LEAN does not have a concept of trade management. Currently, users have to manage separate orders with a portfolio focus, resulting in users... See more
The issue is that the LEAN open-source project is missing several Option strategies, including call back spread, put back spread, call front spread, diagonal call spread, diagonal put spread, double... See more
The issue is to implement the TD Sequential Candlestick Indicator in the LEAN open-source project. The expected behavior is for the indicator to be implemented and functional within the LEAN... See more
The issue is that after a FOP (Future Option) is delisted and the underlying security is removed from the universes, the `CapacityEstimate` still tries to update the market capacity by... See more
The issue is with the `AddFutureOption` API in the LEAN open-source project. The expected behavior is for `AddFutureOption` to follow the same pattern as other `AddSecurity` methods. However, the current... See more
The issue at hand is that there is currently no universe selection model for future options (FOP) in the LEAN open-source project. The expected behavior is to have a universe... See more
The issue is regarding the implementation of the WaveTrend Oscillator indicator in the LEAN open-source project. Currently, there is no support for this indicator. A potential solution would be to... See more
The issue is that the LEAN project currently does not support the "Limit On Open" and "Limit On Close" order types. The potential solution is to implement these order types... See more
The issue at hand is that the Coarse Fundamental in the LEAN open-source project only provides information on the closing price, while it should also include the open, high, and... See more
To add a maximum order size check, we can introduce a new parameter in our code that defines the maximum order quantity allowed by the brokerage for the specific cryptocurrency.... See more
The current implementation of the PandasConverter in the LEAN project is inefficient and memory-intensive. It stores all the information/dataframes in memory by Symbol and then concatenates them, which can be... See more
The issue is that the LEAN project is receiving an 8-digit CUSIP from a data vendor instead of the expected 9-digit CUSIP with the 9th digit being the checksum. The... See more
The issue is that the LEAN open-source project currently does not have the capability to generate a report for live trading or optimization, similar to the existing functionality for generating... See more
The issue is that the API SDK for the LEAN open-source project does not include coverage of the command endpoint. The expected behavior is for the SDK to have this... See more
The issue is that the Interactive Brokers brokerage connection in the LEAN open-source project only performs one cash sync at 7:45 am EST, which means that if live algorithms place... See more
The issue is that the Rithmic exchange is not currently supported in the LEAN open-source project. The expected behavior is for LEAN to support Rithmic exchange, but currently, it does... See more
Unfortunately, I am not familiar with the specific plans or roadmap of the LEAN project regarding the implementation of a brokerage facade for Etoro. Additionally, I cannot provide any information... See more
The issue in the LEAN open-source project is that when an algorithm is restarted in live mode and there are open orders with custom tags, the tags are not restored... See more
The issue is that the LEAN project currently does not support adding CBOE Indexes that are not already supported by QuantConnect to a live algorithm using the Interactive Brokers data... See more
The issue is that some Python regression tests in the LEAN project are being run as individual unit tests instead of using the `IRegressionDefinition` classes. This means that these tests... See more
The issue is that we are unable to pull data for the security PTGI using a `History` request in a backtest or in a notebook. The Data Explorer shows that... See more
The issue is that the current implementation of the LEAN project only supports REST calls when adding custom data from the web. The expected behavior is to be able to... See more
The issue with the `DefaultMarginCallModel` in the LEAN open-source project is that it can call the `GetMaximumLotsForDeltaBuyingPower` function with a `deltaBuyingPower` value greater than 1. This causes the `FutureMarginModel` to... See more
The issue is that the AlgorithmManager in the LEAN open-source project currently handles the removal of delisted securities from the universes by looping through the algorithm's universes and removing them.... See more
The issue is that the DataFrame returned by the `qb.History(qb.Securities.Keys, 10)` call in the LEAN project is a special wrapper object, causing problems with pickling in parallel processing libraries like... See more
The issue at hand is the lack of support for IG API in existing trading engines. Despite IG offering an API for automated trading, there are currently no engines available... See more
The issue with the single day regression algorithm stats in the LEAN open-source project is that they are getting a bunch of `0` stats due to having only a single... See more
The issue is related to refactoring the `BuyingPowerModel.RequiredFreeBuyingPowerPercent` in the LEAN open-source project. The current implementation of this setting is at the security level, but it should actually be at... See more
The issue is that currently in the LEAN open-source project, there is no option to access greeks and implied volatility directly from the `Option` object. Instead, the algorithm needs to... See more
The issue is that when a limit order is placed, the amounts of the currency being sold are not frozen or subtracted. This behavior is not ideal for user experience.... See more
The issue is with the `AlgorithmManager` in the LEAN open-source project. The current behavior is that the `AlgorithmManager.HandleDelistedSymbols` method manually removes delisted securities from all universes. This is not the... See more
The issue is that securities selected in the Coarse/FineFundamental have a market price of zero, which requires algorithms to implement initialization logic in order to place orders. A potential solution... See more
The issue is that internal subscription data updates are not directly reaching the QCAlgorithm, but rather only updating the SecurityCache instances. This can cause side effects if the algorithm requested... See more
The issue is that there are multiple components in the LEAN project that handle internal subscriptions, which leads to confusion and potential bugs. The expected behavior is to have a... See more
The issue is related to the behavior of futures orders in the LEAN open-source project. Currently, futures orders are being filled with available price data, rather than respecting the minimum... See more
The issue is that there are no statistics on the maximum recovery time for funds in the LEAN open-source project. The expected behavior is for funds to understand the importance... See more
The issue is that the daily closing price of a forex symbol differs when changing the symbol resolution in the LEAN open-source project. Additionally, the indicator values at the end... See more
The issue is about adding a performance benchmark for Futures and Options algorithms in the open-source project LEAN. Currently, there is no benchmark available, but it is suggested to implement... See more
The issue is that there is a missing implementation for the `AddCompositePortfolioConstructionModel` in the LEAN open-source project. The expected behavior is to have an `IPortfolioConstructionModel` that allocates the same portfolio... See more
The issue is that the current implementation of the `PortfolioConstructionModel` in the LEAN open-source project does not take into account leverage for equities and forex. The expected behavior is for... See more
The issue is that the current default fill model in the LEAN open-source project only allows orders to be filled during regular market hours (RTH). However, the expected behavior is... See more
The issue is that not all framework components in the LEAN open-source project have a Name property. Currently, only alpha models have a name. The expected behavior is that all... See more
The current behavior of the LEAN project only allows for the removal of securities from a User-Defined Universe. However, there is a request to implement the ability to remove securities... See more
The issue is that the chaining of indicators using the IndicatorExtensions capabilities is not working in QuantBook (Jupyter). The expected behavior is for the indicators to be chained together, but... See more
The issue is that the `SwissArmyKnife` indicator does not have all the `SwissArmyKnifeTool` as sub-indicators. Currently, if we want to use more than one `SwissArmyKnifeTool`, we need to create one... See more
The issue is that not all operators work in comparing indicators in Python. Only the `<` and `>` operators work, while the `+`, `-`, `*`, and `/` operators require referencing... See more
To address the issue, a new consolidator can be created in QuantBook that can handle OHLC data. This consolidator should also allow for the registration of indicators at the desired... See more
The issue at hand is that there is incomplete support for the Guaranteed VWAP order type in the Interactive Brokers (IB) API. This was discovered during live testing with LEAN.... See more
Yes, it is possible to add the feature of including volumes in the QuoteBar data type in Lean. Since Oanda provides volumes for instruments, the QuoteBar can be modified to... See more
The issue is related to the addition of market/limit if touched orders in the LEAN/QC open-source project. The goal is to catch small mean reversion movements and avoid price fall-through... See more
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