Lean

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#### Expected Behavior UPI Reported in the portfolio summary statistics at the end of the backtest. #### Actual Behavior Not included in our summary statistics. #### Potential Solution Calculate and...

jaredbroad

#### Expected Behavior Key statistics values have 3 decimal places. #### Actual Behavior They vary from 0 to 1.  #### Proposed Solution Move format from...

AlexCatarino

Order Serialization Order Value Multiplier

1

#### Expected Behavior The "value" field has the value from Order.GetValue method. #### Actual Behavior The multiplier is not taken into account for option: > Time,Symbol,Price,Quantity,Type,Status,Value,Tag 2021-01-08T20:30:00Z,SPXW 210115C03870000,9.1,-5,Market,Filled,-45.5,"CreateIronCondor: Short Call...

AlexCatarino

#### Expected Behavior - We can retrieve historical (precalculated) intraday greeks and implied vol #### Actual Behavior - We currently support daily historical (preprocessed) greeks and implied vol only ####...

Martin-Molinero

Adds Futures Fill Model

1

#### 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...

AlexCatarino

Explore Operators on Python Indicators

4

#### Expected Behavior All operators work in comparing indicators. `+`, `-`, `*`, `/`. #### Actual Behavior Only `` work. The other operators require referencing `Current.Value` #### Potential Solution Explore and...

jaredbroad

Inconsistent indicator property types

2

Most indicator properties are of `IndicatorBase` or `IndicatorBase` type, such as `PercentB` for BB. It would be nice if all properties of all indicators would be consistent and constructed in...

superichmann

#### Expected Behavior Consolidators have a built-in rolling window as Indicators. ```python self.ten_minute_trade = TradeBarConsolidator(10) previous = self.ten_minute_trade[1] self.ten_minute_trade.window.size = 10 first_in_range = self.ten_minute_trade[9] ``` #### Actual Behavior Not supported....

AlexCatarino

#### Expected Behavior We can simply calculate factor scores for each asset in a universe, where LEAN manages the required dataset and rebalancing for us. ``` class FactorAlgorithm(QCAlgorithm): def __init__(self):...

DerekMelchin

Support parameters change in real-time for live algorithms

3

#### Expected Behavior User is able to change parameters for an algorithm running on live mode and that may be handled by the algorithm to change it's state. For example,...

yul