Lean

Lean copied to clipboard

#### Expected Behavior Users can define their custom option pricing model. #### Actual Behavior Not supported. We need to select one of the QuantLib models or the "null" model (`CurrentPriceOptionPriceModel`)...

AlexCatarino

Incorrect Monthly FOP in Currency Futures

2

#### Expected Behavior Only quarterly contracts (Mar, Jun, Sep, Dec) has FOP #### Actual Behavior We are FOP for non-quarterly contracts: 2019-01-02 09:31:00 : | 6A14F19 :: 20190104 2019-01-02 09:31:00...

AlexCatarino

Options Greeks and Implied Vol Accessible from Option Object

1

#### Expected Behavior Be able to access greeks and implied volatility at the `Option` object similar to market data: `Securities[symbol].Greeks.Delta`. #### Actual Behavior If the algorithm wants to track an...

AlexCatarino

#### Expected Behavior This notebook returns some data: ``` qb = QuantBook() future = qb.add_future( Futures.Indices.EURO_STOXX_50, extended_market_hours=True, data_mapping_mode=DataMappingMode.LAST_TRADING_DAY, contract_depth_offset=0 ) qb.history(SymbolChangedEvent, future.symbol, datetime(2023, 1, 1), datetime(2024, 12, 31)) ``` ####...

DerekMelchin

#### Expected Behavior Universe history doesn't create a duplicate index #### Actual Behavior Universe history doesn't create a duplicate index because it fills forward data to a date with data....

AlexCatarino

Securities Selected in Coarse/FineFundamental Have Market Price Set

1

#### Expected Behavior Securities selected in Coarse/FineFundamental have the market price set. #### Actual Behavior Price is zero, and algorithms need to implement initialization logic to be able to place...

AlexCatarino

#### Expected Behavior When we set `updated` to a callback method, and update the indicator with `update`, the callback method is called as it happens to LEAN/C# indicators. #### Actual...

AlexCatarino

#### Expected Behavior LEAN only logs the warning "To meet brokerage precision requirements". The text is generic: "Warning: To meet brokerage precision requirements, stop and limit prices are rounded down."...

AlexCatarino

#### Expected Behavior Members know why the option chain is empty. #### Actual Behavior Quants don't expect an empty chain when the set filter is such as ```python opt.set_filter(lambda u:...

AlexCatarino

#### Expected Behavior - Python model wrapper is only used when required #### Actual Behavior - if the user provides a pure C# instance we don't need a wrapper and...

Martin-Molinero