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.