Category: Company Developments (page 1 of 4)

Introducing The Co-Pilot: Your Coding Companion

We’re happy to announce the release of the Co-Pilot; a rich automated documentation generator built to give you relevant hints while you’re building your strategy. With deep API’s it is impossible to memorize all the methods available; and time consuming to constantly search the documentation. As a coding companion, the co-pilot can inspect the types you’re working on and provide the properties that are available.

The methods of the API are shown by the tables of code blocks, and detailed properties of the working variables are also available. We generate documentation from the reference text but also from the code API. These different documentation types are noted by the icons next to the results.

There are multiple documentation result types; text and code results.

Free Streaming Live Data with IEX – LEAN Release Notes v2.3.0.3

This releaseadds the IEXDataQueueHandler allowing LEAN users to stream free US equity trades to their strategy; along with numerous bug fixes to the OANDA and FXCM brokerage implementations. Additional regression algorithms were added to automate testing of daily data algorithms. The Interactive Brokersconnection logic was also made more intelligent to fail quickly when thereis an existing TWS connection open.There were no breaking changes in regression tests or the API of LEAN.

Download this release from GitHub.

Features

  • Added IEX IDataQueueHandler for a free live US equity datafeed.
  • Added DailyBasicTemplate regression test algorithm.
  • Dramatically speed up Interactive Brokers connection speed.
  • Scan IBController logs for connection failures and handle them in LEAN.
  • Added FilteredIdentity indicator to filter tick trades and quotes.
  • Created Lean.TryParsePath() to create symbols from a file path.
  • Added ApiFileProvider to download data directly from the API.
  • Upgrade Oanda HistoryProvider to return QuoteBars instead of TradeBars.

Bug Fixes

  • Fix duplicate sampling bug in daily data backtesting.
  • Remove time from daily sample points in backtesting.
  • Properly load existing short positions when launching Interactive Brokers algorithm.
  • Fix issue with indicators that require a quote subscription.
  • Check for valid symbols when getting OANDA or FXCM history request.
  • Ensure logs are only savedonce.

Notes

  • We upgraded LEAN to use JSON.NET v9.0.1. This library is used extensively through LEAN.

Thank you to the community contributors in this release buybackoff andJay-Jay-D!

About LEAN

LEAN aims to empower investors to invest with confidence by using cutting edge algorithmic trading technology. Through the power of open source we are building the world’s best algorithmic trading platform, capable of accurately modeling global markets to give you insight into your strategy. Your trading algorithms can be seamlessly deployed from backtesting into production with no changes or even moved between brokerages. The LEAN user community reaches over 29,000 quants from all over the world.

LEAN supports C#, F#, VB, Java and Python programming languages and can be used in Equity, Forex, CFD, Options and Futures markets. It currently supports live paper trading, or execution by Interactive Brokers, FXCM and Oanda Brokerage.

For more information join the LEAN Community on GitHub.

Generic Data Sourcing and Caching – Release Notes v2.3.0.2

This release adds a generic data sourcing feature along with abstraction of the data caching. This allows different configurations to be setup independent of physical files. In addition there were dozens ofbugs fixes in LEAN to improve its stability and consistency across backtesting and live trading. There were no breaking changes in regression tests or the API of LEAN.

Features

  • Added IDataProvider and IDataCacheProvider – a redesign of the bottom of the LEAN enumerator stack so the data sourcing and caching is pluggable. This helps track memory issues and abstract away the concept of data files.
  • Local desktop charting now supports custom charts.
  • Apply backtest control limits in backtest initialization.
  • Added handling for “INF” factor files where splits make adjusted pricing impossible.
  • Backtestingodd-hour scheduled events now behaves closerto live trading.
  • Added SystemDebug packet to distiguish between user debug and system debug messages.
  • Add start-date parameter to CoarseUniverseGenerator

Bug Fixes

  • Fixed issue double sampling and sampling when no data for daily data.
  • Fixed Linux log corruption from unicode characters.
  • Set IDataConsolidator period to fixing issueconsolidating ticks.
  • Changed GUI UserInterface project path to Debug from Release.
  • Fixed Forex and CFD assets not receiving ticks because they were added as tradedata.
  • Fixed issue where equity sampling timezone dependent on the host computer.
  • Fixed different timezones between custom and equity charts.
  • Fixed bug in finefundamental data selection not annoucingselected securities if they already existed.
  • Removed APIDataProvider temporarily as it doesn’t fit new IDataProvider pattern.
  • Fixed incorrectsecurity type when seeding a security.
  • Fixed incorrect bar type in Forex history requests (QuoteBar required).
  • Fixed bug in Interactive Brokers caching”No security definition found for this request”.
  • Added additional data file to fixdata not found error messages.
  • Fix crash in backtesting after an out of memoryerror.
  • Remove rate limiting on debug messaging in local LEAN.
  • Fix Interactive Brokers Brokerage “Pacing violation” error.
  • Ensured logs would be uploaded in the event of an initialization failure.
  • Fixed issue with CFD and OANDAdata where portfolio was always $0.
  • Remove hacky Environment.Exit solution to a temporary threading issue.

Notes

  • We have disabled options and futures price seeding to reduce logging noise.
  • History() methods without a T-type specified are not recommended as the return type is ambigous.

Thank you to the community contributors in this release –mushketyk, mchandschuh!

About LEAN

LEAN aims to empower investors to invest with confidence by using cutting edge algorithmic trading technology. Through the power of open source we are building the world’s best algorithmic trading platform, capable of accurately modeling global markets to give you insight into your strategy. Trading algorithms can be seamlessly deployed from backtesting into production with no changes or moved between brokerages. The LEAN user community reaches over 28,000 quants from all over the world.

LEAN supports C#, F#, VB, Java and Python programming languages and can be used in Equity, Forex, CFD, Options and Futures markets. It currently supports live paper trading, or execution by Interactive Brokers, FXCM and Oanda Brokerage.

For more information join the LEAN Community on GitHub.

Release Notes – LEAN v2.3.0.1

This release fixed minor bugs in LEAN to improve its stability and consistency across backtesting and live trading. There were no breaking changes in regression tests or the API of LEAN.

Features

  • Update AlgoSeek data converter to accept input file mask to only convert specific source files.
  • Added IsAssignable to detect assignment orders in backtesting*.
  • Added demonstration algorithm for consolidating futures data.
  • Simplified the basic template options algorithm to demonstrate other tickers.

Bug Fixes

  • Fixed race condition creating fill-forward subscriptions incorrectly resulting in different statistics.
  • Fixed bug in AlgoSeek options data converter when processing massive files.
  • Fixed issue where Interactive Brokers was not connected before making history requests.
  • Updated default history provider for OANDA and FXCM configurations to be the brokerage.
  • Fixed issue where CFD datatype defaulted to Quote; preventing algorithms from receiving data.
  • Fix issue in live trading where multiple threads accessing cashbook killed algorithms.
  • Upgraded FXCM account holdings logic to handle multiple positions of the same ticker.
  • Additional logging in scheduled event manager to help debugging time issues.
  • Refactored options exercise logic.

 

Thank you for the continuing bug reports and assistance from the community! A special shout out to h2o, Denny Caldwell and James Reily for helping us work through some issues!

* Note: Assignment events are not generated by IB in live trading. We are looking into heuristic ways to detect this but currently assignments are not handled in live trading.

About LEAN

LEAN aims to empower investors to invest with confidence by using cutting edge algorithmic trading technology. Through the power of open source we are building the world’s best algorithmic trading platform, capable of accurately modeling global markets to give you insight into your strategy. Trading algorithms can be seamlessly deployed from backtesting into production with no changes or moved between brokerages. The LEAN user community reaches over 28,000 quants from all over the world.

LEAN supports C#, F#, VB, Java and Python programming languages and can be used in Equity, Forex, CFD, Options and Futures markets. It currently supports live paper trading, or execution by Interactive Brokers, FXCM and Oanda Brokerage.

For more information join the LEAN Community on GitHub.

Options and Futures Trading on QuantConnect

We are very excited to announce the beta launch of options and futures trading on QuantConnect! Through the open-source platform LEAN, algorithmic trading has never been so accessible to investors.

The new asset classes tie into our existing offering of Equities, FOREX and CFD products bringing us to a total of five asset classes. We can now simultaneously trade multiple asset classes when used with a supporting brokerage. You write strategies in C#, Python and F#.

Options and futures are highly requested features from the community so we are happy to be shipping this feature. Like our other asset classes, all data is event driven manner to avoid look ahead bias.

Starting today you can also live trade your options and futures strategies on Interactive Brokers! (An accompanying options data subscription from Interactive Brokers required). If you’re an options/futures wizz get in touch!

Data and Period Available

Option data is available at minute resolution from January 2014-December 2016. Because of its sheer size we’re processing dates in reverse order backwards through time. When processing is complete the library will start January 2007. The data is survivorship bias free, and delivered as trades, quotes and open interest information. We cover all symbols in the OPRA feed. You can see a full example of an option algorithm in the BasicTemplateOptionsFilterUniverseAlgorithm.cs.

//Add Option Base 
var option = AddOption("SPY");

//Filter down to what we want.
option.SetFilter(universe => 
		from symbol in universe
		      .WeeklysOnly().Expiration(TimeSpan.Zero, TimeSpan.FromDays(10))
		where symbol.ID.OptionRight != OptionRight.Put
		select symbol);

// Search option chain:
if (slice.OptionChains.TryGetValue(OptionSymbol, out chain))
{
	// find the second call strike under market price expiring today
	var contract = (
		from optionContract in chain.OrderByDescending(x => x.Strike)
		where optionContract.Right == OptionRight.Call
		where optionContract.Expiry == Time.Date
		where optionContract.Strike < chain.Underlying.Price
		select optionContract
		).Skip(2).FirstOrDefault();

	if (contract != null)
	{
		MarketOrder(contract.Symbol, 1);
	}
}

Futures trading is available in tick, second and minute resolutions from January 2009 – December 2016. Our futures library covers all symbols from CME, NYMEX, CBOT and COMEX exchanges. You can see an example of a future algorithm in the BasicTemplateFutureAlgorithm.cs.

//Add Future Contract
var futureGold = AddFuture(Futures.Metals.Gold);

// What contracts do you want?
futureGold.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(182)); 

// Search future chain for specific contracts to trade.
foreach(var chain in slice.FutureChains) 
{
	// find the front contract expiring no earlier than in 90 days
	var contract = (
		from futuresContract in chain.Value.OrderBy(x => x.Expiry)
		where futuresContract.Expiry > Time.Date.AddDays(90)
		select futuresContract
		).FirstOrDefault();

	// if found, trade it
	if (contract != null)
	{
		MarketOrder(contract.Symbol, 1);
	}
}

Options and futures trading also introduces the concept of QuoteBars to QuantConnect – a representation of the quote movements over time. QuoteBars have a Bid (OHLC) and Ask (OHLC) Bar. This allows us to better model spread for low volume assets such as option contracts. QuoteBars are limited to Options and Futures now, but will be extended to FX and CFD soon.

Data Provider

We’d like to give a special thank you to our data provider AlgoSeek. AlgoSeek shares the QuantConnect vision and has generously sponsored data for the QuantConnect community. You can download more data for LEAN from https://www.algoseek.com.

AlgoSeek is a leading provider of historical intraday US market data to banks, hedge funds, academia and individuals worldwide.

Thank you for supporting $1 trading

We’re incredibly grateful to have the loyal support and attention of so many highly intelligent and passionate users. Every day we met incredible new people from all over the world, designing sophisticated strategies and it humbles us. Thank you for making QuantConnect awesome!

We have been blown away by the response in the last few weeks.Since launching the $1 Per Trade offer we’ve seen a 300% increase in all our user engagement signals: traffic, coding and backtesting.

Thank you for your trust and time!You have our promise we will continue working day and night to make QuantConnect better for you.

The Future of Quant Trading

We’re often asked what the differences are between QuantConnect and Quantopian and so we decided to address this question here transparently.

At QuantConnect we have a vision for the future of quant trading. We believe quantitative trading will be the primary investment vehicle of the future. We plan to be the open source, community driven vehicle which makes this future a reality.

Our community is building the most powerful, flexible and encompassing algorithmic platform in the world. Our system is fast, extensible and can support any asset class or market. It can work on a single desktop or as part of a massive cloud cluster. For us, this is incredibly exciting and we imagine a financial future powered by Lean. Hedge-funds, mutual funds, brokerages and individual traders can use our open source Lean platform to power their automated research and trading. Do you want to be part of the future?

The folks at Quantopian have built an interesting hedge-fund, and it looks like a pretty good service. We’re looking to show the facts here without opinion and let you choose for yourself.

Data Support
As a user, what assets can you backtest and trade, in what markets? What data resolutions are natively supported?
US Equities and Forex
Tick, Second, Minute, Hourly, Daily
US Equities, Fundamentals.
Minute, Daily Only
Backtest Processing Speed
How long did it take to run a 10 year backtest; 1 minute, 5 symbol algorithm?
63 Seconds 17 Minutes 8 Seconds
Development Environment
How easily can I create a real strategy?
Full Project IDE
Parallel Backtesting
Typesafe Compiler
Auto-complete
We empower you to backtest locally, so you can work in Visual Studio. Our local backtesting Getting Started guide takes about 23 seconds!
Scripts Only
Single Backtest Only
Auto-complete
Brokerage Support
Interactive Brokers and Tradier Brokerage
Trade Live On Web+Desktop
Interactive: $1 min, 0.5% max.
Tradier: $1 per trade flat rate. Currently for QuantConnect users only.
Interactive and ETrade
Trade Live Web Only
Interactive: $1 min, 0.5% max.
E-Trade: $8 per trade.

Objectively our data, technology and development environment out perform Quantopian. But what about the business? How do we stack up? These intangibles impact your experience as a user.

Staff / Company Team Size
How many people has it taken to build this community and technology? What is the output/person ratio?
3 People
You communicate directly with founders.
Approx. 31 People
Community Size
What are the officially reported community sizes?
12,000 Quants
Bootstrapped, organic, word of mouth growth
30,000 Quants
Funding
How much funding was required to achieve this? How much money have we taken from external investors? How capital efficient is the company?
Built On Only $200k Angel Funding
We’re funded by individual quant angels, who love what we do.
$24M Venture Funding
Business Focus
Infrastructure As A Service, White-Labeling
We host your strategies; you are our client. We chose a business model where our interests are aligned with you, and you can be sure we’ll be here in 10 years. Our primary motivation is aspirational; we are building the world’s best algorithmic trading platform to be the infrastructure of the future.
Hedge-fund
Recently Quantopian seems to be building a crowd-sourced hedgefund.

We’re proud to be maturing as a company; the open source community is growing, backtests and active coding is higher than its ever been. Its incredibly rewarding to see how people love QuantConnect! Join us to truly revolutionize and democratize quant finance.

The future of investment will be quantitative and we believe QuantConnect is the only company with the vision and technical ability to execute.

Best,
Jared
Founder @ QuantConnect

$1 Per Trade, It’s a Quant Revolution

We’re proud to announce live trading with Tradier Brokerage is now public!

In a special offer to QuantConnect users, Tradier Brokerage is offering a limited release of 100 accounts with a flat fee of $1 per trade* with the promo code Quant1. Fees this low on a retail-accessible platform are unparalleled.

Robust Modern API

In our experience Tradier Brokerage has a robust, stateful API with rapid millisecond turn around on order fills giving your algorithm powerful execution. The connection is available in our open source algorithmic trading platform, LEAN.

$1 Per Trade Unlocks Powerful Strategies

Have you ever wanted to explore more active execution strategies? Or trade on sub-$2 shares but been worried fees will eat up your gains? Fees this low can unlock strategies and ideas previously not possible.

Low Account Minimums

To open an account is incredibly simple and only requires a $1,000 account minimum! This dramatically lowers the barrier to launching your live algorithmic trading strategy.

Free Live Trading

If you open and fund an account with Tradier Brokerage you’ll be provided with free live trading on QuantConnect! This gives you all the power of a dedicated 512MB VPS, mobile friendly algorithm command center and SMS notification support for only $1 per trade! This offer is open to all existing QuantConnect clients as well.

Open a Tradier Brokerage Account to Launch your Algorithmic Trading!

Use Promo Code “Quant1” To Open An Account Today
Start your Algorithmic Trading!

 

QuantConnect in combination with Tradier Brokerage $1/trading truly democratizes algorithmic trading. We’re excited about this offer and would love to hear your feedback.

 


November 2016: The $1 trading offerexpired in November 2015 and the Tradier brokerage integration was removedpending the Tradier implementation of a socket based API for improved stability.

Live Trading with Interactive Brokers

We’re very proud to announce our public release of live trading with Interactive Brokers! Now you can seamlessly design and trade your algorithm within QuantConnect.

Automated live trading is one of the most challenging engineering problems in financial technology. It involves controlling large financial resources, while pushing computational power to its limits!

Starting today, you can deploy your algorithms to your Interactive Brokers accounts, using minute, second or tick resolution data for Equities and FOREX. All powered by our open source algorithmic trading platform, LEAN.

Live Trading GUI

QuantConnect live trading comes packed with some impressive functionality to help your trading!

SMS and Email Notifications

Trigger sending emails, web hooks or SMS messages on key events with a single line of code. It is as simple as:
Notify.Sms(phone,message);
Notify.Email(email,subject,message);

Custom Live Data Sources

Using QuantConnect you can connect your algorithm to external data sources and stream updates to your algorithm events. Check out our demo using a Bitcoin REST API.

Runtime Statistics

With runtime statistics you can display custom information in the header of your live GUI to track your key indicators and asset values.

SetRuntimeStatistic("EURUSD", price);
Runtime Statistics

Mobile Control Interface

Control your algorithm on the road with our mobile friendly, HTML5 GUI. You can see full running algorithm charts and trades, or just a summary of your algorithm performance.

Live Mobile Controller

Live Options

Upgrade to Start Live Trading Today with QuantConnect

Open Source Updates

Its been an awesome month for the open-source project with contributions from people all around the world. We love working with the community and seeing LEAN used in ways we can barely imagine!

@kaffeebrauer contributed the Stochastic and OnBalance Indicators
@AlexCatarino implemented the ROC, ROCP and WILR Indicators
@QANTau started implementation of an OANDA Brokerage
@bizcad created a Weighted Moving Average Indicator
@mattmast created the Money Flow Index(MFI) Indicator
@bdilber started working on futures support

Additionally thanks to @ammachado, and @dpallone for documentation fixes, and @willniu for working out our consolidator logic 🙂 The LEAN Engine is growing more powerful by the week.

We’re Raising Capital

We’ve been experiencing some incredible growth and have bold plans for the next 12 months! We are opening an investment round and talking to investors to continue our growth plan.

Open Source Future of Algorithmic Trading

We’re proud to announce, thanks to the support of the community, the LEAN Algorithmic Trading Engine is now 100% open source. You have the freedom to connect any data source, execute through any brokerage and design any algorithm 100% locally.

Moment of our Open Sourcing, Jan 12th 2015

It’s an exciting new frontier for algorithmic trading; through open source QuantConnect is breaking open the traditionally secretive world of algorithmic trading to give you the same powerful tools as major hedge-funds.

Lean is “plug and play“. Running your first backtest takes about 23 seconds.

1. Star/Fork and Download the QuantConnect/LEAN Repo* from GitHub
2. Open Lean Project in Visual Studio (let Nuget download all dependencies)
3. Press F5 to Run Project

Presto - you’ve run your first backtest! Here is a step by step guide for building your first algorithm. You can also design custom indicators, import data for international stock markets and connect with any brokerage. We even ship some data with the repo so you can get started instantly.

Clone LEAN Today to Start Your Journey

Clone LEAN Today to Start Your Journey

We’re incredibly grateful to the QuantConnect pioneers for making this possible. With your support we can build the best algorithmic trading platform in the world. Sustainable, independent and community driven.

More Raw Power

To be profitable you need to iterate quickly. Last week we upgraded our backtest processing servers: you can now run a 10 year, event driven backtest in 33 seconds. Your algorithms are running on beautiful i7x3930’s with 6 cores/12 threads/64GB ram. We are the world’s first cloud-desktop hybrid algorithmic trading platform aiming to give you the best of both worlds; ease of local development and horse power of the cloud.

Dynamic Indicator System

Thanks to some long hours by Michael H we launched an elegant, powerful and dynamic new indicator library. It lets you implement designs quickly and avoids reinventing the wheel. Creating an indicator is only a single line of code! Get started with the sample algorithm.

var rsi = RSI("SPY", 14);
var bb = BB(_symbol, 20, 1, MovingAverageType.Simple, Resolution.Daily);
if (rsi > 80) {
    SetHoldings("SPY", 1);
} else if (rsi < 20) {
    SetHoldings("SPY", -1);
}
Plot("BB", bb.UpperBand, bb.MiddleBand, bb.LowerBand);
Clone the sample algorithm which implements 15+ indicators.

Bollinger Bands Implementation – Clone the sample algorithm which implements 15+ indicators.

 

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