Lean

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Adds Support to Future Options for MES and MNQ

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#### Expected Behavior LEAN supports MES and MNQ FOPs. #### Actual Behavior Not supported. #### Potential Solution N/A #### Checklist - [x] I have completely filled out this template -...

AlexCatarino

The Schedule runs before the Consolidator's Callback regardless of the time

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#### Expected Behavior The scheduled event at 1 AM should execute after the RSI indicator update, which occurs at midnight (12 AM) #### Actual Behavior The scheduled event at 1...

JosueNina

`WarmUpIndicator` does not work for `RelativeDailyVolume`

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#### Expected Behavior The indicator `RelativeDailyVolume` can be warmed up using `WarmUpIndicator`. #### Actual Behavior It doesn't work and we get the following warning: > Warning: the 'WarmUpIndicator' feature only...

ArthurAsenheimer

#### Expected Behavior Create flexible `DefaultSettlementDays` depending on Securities. For instance: Run algo before `May 28, 2024` the DefaultSettlementDays for Equites => 2 days. #### Actual Behavior Use the DefaultSettlementDays...

Romazes

#### Expected Behavior The user should receive a warning when using `DataMappingMode.OPEN_INTEREST` or `DataMappingMode.OPEN_INTEREST_ANNUAL` for a continuous future, if the selected future instrument doesn't have open interest data available. ####...

ArthurAsenheimer

Improve Future Intraday Margin

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#### Expected Behavior Models intraday margin correctly. #### Actual Behavior If the database doesn't have the intraday margin, it assumes 40% of overnight. At the moment, MES, for example, is...

AlexCatarino

Suggestions for Improvements to `PortfolioConstructionModel`

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#### Expected Behavior 1. The method `GetTargetInsights` should correctly handle insights emitted simultaneously from multiple Alpha Models. 2. The method `DetermineTargetPercent` should provide target portfolio weights per symbol instead of...

ArthurAsenheimer

#### Expected Behavior - Since a cash account is defined in the basic algorithm below, there should be no trades when there isn't any buying power - There should be...

tommedema

#### Actual Behavior In 2022-05-01 the data scale is incorrect asyou can see in the attached image. The escale is 10 times less that the market is. The market data...

neovicent

#### Expected Behavior We are able to get an intraday preview of an indicator without distorting its internal state. #### Actual Behavior This is currently not possible. Calling the `Update`...

ArthurAsenheimer