Category: LEAN Engine

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.

$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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