Category: Release Notes

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.

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.

Release Notes – LEAN v2.3.0.0

This release made significant changes to the core of LEAN. Options and futures asset classes were added, and the datafeed extended to support their datatype. Hundreds of bugs were fixed and additional converter tools were added to help port the raw data provider files into LEAN format. MorningStar fundamental analysis was also added.

This release had breaking changes. Algorithms dependent on the items below should be reviewed carefully.

Features

  • Beta: Added options and futures asset class support for backtesting and live trading.
  • Added fine fundamental to filter stock universe by MorningStar corporate fundamentals.
  • Added IQFeed, FXCM and OANDA history provider implementations.
  • Implemented IQFeed option datafeed source.
  • Upgraded Forex and CFD modeling to use quotes for accurate spread accounting.
  • Added AlgoSeek futures and options data converter.
  • Added LEAN Docker file for Ubuntu.
  • Added data file provider. Source data files from the QC API.
  • Asset datafeed type (trade or quote) now configurable.
  • Implemented API v2 capable of building, backtesting and deploying live algorithms.
  • Create factor files from Yahoo finance API.
  • Streaming backtest and live desktop charting support.
  • Dozens of new indicators added.

Bug Fixes

  • Rolling window of n-samples now ready after n-samples.
  • Fixed consolidator issue live mode;also fixes indicators who depend on consolidators.
  • Seed securities on initializing algorithm to prevent margin calls on launching algorithm.
  • Disable margin call modeling by default in live trading and rely on the brokerage.
  • Fixed issue where requesting multiple resolutions updated consolidators incorrectly.
  • Fixed Interactive Brokers start up script issues.
  • Cloud log link no longer displayed for local backtests.
  • Fix indeterminate order cancellation status in backtesting.
  • Fixed incorrect market-open status during half trading days.
  • Ensure symbol limits removed in local trading.
  • Fixed numerous bugs by refactoring IB implementation to use IB open-source implementation.
  • Fixed rounding bugs by configurable order rounding, lot-size and pip-size by symbol.
  • Refactor live and file-system datafeed to be powered by enumerators.
  • Fix numerous errors in FXCM brokerage implementation.

Thank you to all the community contributors since the last release! jameschch, kaffeebrauer, naicigam, devalkeralia, mattmast, espirulina, Phoenix1271, bryanwang107, richardcurteis, AnObfuscator, mblouin02, Cylindrix, robcodes and QANTau!

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.

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