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.