Writing Algorithms
API Reference
Adding Data
Adding Data
add_cfd(ticker, resolution=None, market=None, fill_forward=True, leverage=0.0)[source]Creates and adds a new Cfd security to the algorithm
- ticker (str) — The currency pair
- resolution (Resolution, optional)
- market (str, optional)
- fill_forward (bool, optional)
- leverage (float, optional)
The new Cfd security
add_crypto(ticker, resolution=None, market=None, fill_forward=True, leverage=0.0)[source]Creates and adds a new Crypto security to the algorithm
- ticker (str) — The currency pair
- resolution (Resolution, optional)
- market (str, optional)
- fill_forward (bool, optional)
- leverage (float, optional)
The new Crypto security
add_crypto_future(ticker, resolution=None, market=None, fill_forward=True, leverage=0.0)[source]Creates and adds a new CryptoFuture security to the algorithm
- ticker (str) — The currency pair
- resolution (Resolution, optional)
- market (str, optional)
- fill_forward (bool, optional)
- leverage (float, optional)
The new CryptoFuture security
add_data(type, ticker, properties, exchange_hours, resolution, fill_forward, leverage=1.0)[source]AddDataT a new user defined data source, requiring only the minimum config options. The data is added with a default time zone of NewYork (Eastern Daylight Savings Time)
- type (PyObject) — Data source type
- ticker (str) — KeyTicker for data
- properties (SymbolProperties) — The properties of this new custom data
- exchange_hours (SecurityExchangeHours) — The Exchange hours of this symbol
- resolution (0, Culture=neutral, PublicKeyToken=null]]) — Resolution of the Data Required
- fill_forward (bool) — When no data available on a tradebar, return the last data that was generated
- leverage (float, optional) — Custom leverage per security
The new Security
add_data(type, ticker, resolution, time_zone, fill_forward, leverage=1.0)[source]AddDataT a new user defined data source, requiring only the minimum config options. The data is added with a default time zone of NewYork (Eastern Daylight Savings Time)
- type (PyObject) — Data source type
- ticker (str) — KeyTicker for data
- resolution (0, Culture=neutral, PublicKeyToken=null]]) — Resolution of the Data Required
- time_zone (datetimeZone) — Specifies the time zone of the raw data
- fill_forward (bool) — When no data available on a tradebar, return the last data that was generated
- leverage (float, optional) — Custom leverage per security
The new Security
add_data(type, underlying, resolution, time_zone, fill_forward, leverage=1.0)[source]AddDataT a new user defined data source, requiring only the minimum config options. The data is added with a default time zone of NewYork (Eastern Daylight Savings Time)
- type (PyObject) — Data source type
- underlying (Symbol) — The underlying symbol for the custom data
- resolution (0, Culture=neutral, PublicKeyToken=null]]) — Resolution of the Data Required
- time_zone (datetimeZone) — Specifies the time zone of the raw data
- fill_forward (bool) — When no data available on a tradebar, return the last data that was generated
- leverage (float, optional) — Custom leverage per security
The new Security
add_data(data_type, ticker, resolution, time_zone, fill_forward, leverage=1.0)[source]AddDataT a new user defined data source, requiring only the minimum config options. The data is added with a default time zone of NewYork (Eastern Daylight Savings Time)
- data_type (Type) — Data source type
- ticker (str) — KeyTicker for data
- resolution (0, Culture=neutral, PublicKeyToken=null]]) — Resolution of the Data Required
- time_zone (datetimeZone) — Specifies the time zone of the raw data
- fill_forward (bool) — When no data available on a tradebar, return the last data that was generated
- leverage (float, optional) — Custom leverage per security
The new Security
add_data(data_type, underlying, resolution, time_zone, fill_forward, leverage=1.0)[source]AddDataT a new user defined data source, requiring only the minimum config options. The data is added with a default time zone of NewYork (Eastern Daylight Savings Time)
- data_type (Type) — Data source type
- underlying (Symbol)
- resolution (0, Culture=neutral, PublicKeyToken=null]]) — Resolution of the Data Required
- time_zone (datetimeZone) — Specifies the time zone of the raw data
- fill_forward (bool) — When no data available on a tradebar, return the last data that was generated
- leverage (float, optional) — Custom leverage per security
The new Security
add_equity(ticker, resolution=None, market=None, fill_forward=True, leverage=0.0, extended_market_hours=False, data_normalization_mode=None)[source]Creates and adds a new Equity security to the algorithm
- ticker (str) — The equity ticker symbol
- resolution (Resolution, optional)
- market (str, optional)
- fill_forward (bool, optional)
- leverage (float, optional)
- extended_market_hours (bool, optional)
- data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the equity
The new Equity security
add_forex(ticker, resolution=None, market=None, fill_forward=True, leverage=0.0)[source]Creates and adds a new Forex security to the algorithm
- ticker (str) — The currency pair
- resolution (Resolution, optional)
- market (str, optional)
- fill_forward (bool, optional)
- leverage (float, optional)
The new Forex security
add_future(ticker, resolution=None, market=None, fill_forward=True, leverage=0.0, extended_market_hours=False, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=0)[source]Creates and adds a new Future security to the algorithm
- ticker (str) — The future ticker
- resolution (Resolution, optional)
- market (str, optional)
- fill_forward (bool, optional)
- leverage (float, optional)
- extended_market_hours (bool, optional) — Use extended market hours data
- data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the continuous future contract
- data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the continuous future contract
- contract_depth_offset (int, optional) — The continuous future contract desired offset from the current front month. For example, 0 (default) will use the front month, 1 will use the back month contract
The new Future security
add_future_contract(symbol, resolution=None, fill_forward=True, leverage=0.0, extended_market_hours=False)[source]Creates and adds a new single Future contract to the algorithm
- symbol (Symbol) — The futures contract symbol
- resolution (Resolution, optional)
- fill_forward (bool, optional)
- leverage (float, optional)
- extended_market_hours (bool, optional) — Use extended market hours data
The new Future security
add_future_option(future_symbol, option_filter)[source]Creates and adds a new Future Option contract to the algorithm.
- future_symbol (Symbol) — )
- option_filter (PyObject) — Filter to apply to option contracts loaded as part of the universe
add_future_option(symbol, option_filter=None)[source]Creates and adds a new Future Option contract to the algorithm.
- symbol (Symbol) — )
- option_filter (Callable[OptionFilterUniverse, OptionFilterUniverse], optional) — Filter to apply to option contracts loaded as part of the universe
add_future_option_contract(symbol, resolution=None, fill_forward=True, leverage=0.0, extended_market_hours=False)[source]Adds a future option contract to the algorithm.
- symbol (Symbol) — Option contract Symbol
- resolution (Resolution, optional) — Resolution of the option contract, i.e. the granularity of the data
- fill_forward (bool, optional) — If true, this will fill in missing data points with the previous data point
- leverage (float, optional) — The leverage to apply to the option contract
- extended_market_hours (bool, optional) — Use extended market hours data
Option security
add_index(ticker, resolution=None, market=None, fill_forward=True)[source]Creates and adds index options to the algorithm.
- ticker (str) — The currency pair
- resolution (Resolution, optional)
- market (str, optional)
- fill_forward (bool, optional)
The new Index security
add_index_option(ticker, resolution=None, market=usa, fill_forward=True)[source]Creates and adds index options to the algorithm.
- ticker (str) — The ticker of the Index Option
- resolution (Resolution, optional) — Resolution of the index option contracts, i.e. the granularity of the data
- market (str, optional)
- fill_forward (bool, optional) — If true, this will fill in missing data points with the previous data point
Canonical Option security
add_index_option(symbol, target_option, resolution=None, fill_forward=True)[source]Creates and adds index options to the algorithm.
- symbol (Symbol)
- target_option (str) — The target option ticker. This is useful when the option ticker does not match the underlying, e.g. SPX index and the SPXW weekly option. If null is provided will use underlying
- resolution (Resolution, optional) — Resolution of the index option contracts, i.e. the granularity of the data
- fill_forward (bool, optional) — If true, this will fill in missing data points with the previous data point
Canonical Option security
add_index_option_contract(symbol, resolution=None, fill_forward=True)[source]Adds an index option contract to the algorithm.
- symbol (Symbol) — Symbol of the index option contract
- resolution (Resolution, optional) — Resolution of the index option contract, i.e. the granularity of the data
- fill_forward (bool, optional) — If true, this will fill in missing data points with the previous data point
Index Option Contract
add_option(underlying, target_option, resolution=None, market=None, fill_forward=True, leverage=0.0)[source]Creates and adds a new equity Option security to the algorithm
- underlying (str | Symbol) — Underlying asset Symbol to use as the option's underlying
- target_option (str) — The target option ticker. This is useful when the option ticker does not match the underlying, e.g. SPX index and the SPXW weekly option. If null is provided will use underlying
- resolution (Resolution, optional)
- market (str, optional)
- fill_forward (bool, optional) — If true, data will be provided to the algorithm every Second, Minute, Hour, or Day, while the asset is open and depending on the Resolution this option was configured to use.
- leverage (float, optional) — The requested leverage for the
The new option security instance
add_option_contract(symbol, resolution=None, fill_forward=True, leverage=0.0, extended_market_hours=False)[source]Creates and adds a new single Option contract to the algorithm
- symbol (Symbol) — The option contract symbol
- resolution (Resolution, optional)
- fill_forward (bool, optional)
- leverage (float, optional)
- extended_market_hours (bool, optional) — Use extended market hours data
The new Option security
add_security(security_type, ticker, resolution, market, fill_forward, leverage, extended_market_hours, data_mapping_mode=None, data_normalization_mode=None)[source]Add specified data to our data subscriptions. QuantConnect will funnel this data to the handle data routine.
- security_type (SecurityType) — MarketType Type: Equity, Commodity, Future, FOREX or Crypto
- ticker (str) — The security ticker, e.g. AAPL
- resolution (0, Culture=neutral, PublicKeyToken=null]]) — Resolution of the MarketType required: MarketData, Second or Minute
- market (str) — The market the requested security belongs to, such as 'usa' or 'fxcm'
- fill_forward (bool) — If true, returns the last available data even if none in that timeslice.
- leverage (float) — leverage for this security
- extended_market_hours (bool) — Use extended market hours data
- data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security
- data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the security
add_security(symbol, resolution=None, fill_forward=True, leverage=0.0, extended_market_hours=False, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=0)[source]Add specified data to our data subscriptions. QuantConnect will funnel this data to the handle data routine.
- symbol (Symbol) — The security Symbol
- resolution (Resolution, optional) — Resolution of the MarketType required: MarketData, Second or Minute
- fill_forward (bool, optional) — If true, returns the last available data even if none in that timeslice.
- leverage (float, optional) — leverage for this security
- extended_market_hours (bool, optional) — Use extended market hours data
- data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security
- data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the security
- contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 (default) will use the front month, 1 will use the back month contract
The new Security that was added to the algorithm
download(address, headers, user_name, password)[source]Downloads the requested resource as a String. The resource to download is specified as a String containing the URI.
- address (str) — A string containing the URI to download
- headers (PyObject | 0, Culture=neutral, PublicKeyToken=7cec85d7bea7798e]]) — Defines header values to add to the request
- user_name (str) — The user name associated with the credentials
- password (str) — The password for the user name associated with the credentials
The requested resource as a string
str
get_last_known_prices(security)[source]Yields data to warmup a security for all it's subscribed data types
- security (Security) — object for which to retrieve historical data
Securities historical data
List[BaseData]
get_last_known_prices(symbol)[source]Yields data to warmup a security for all it's subscribed data types
- symbol (Symbol) — The symbol we want to get seed data for
Securities historical data
List[BaseData]
on_securities_changed(changes)[source]Event fired each time the we add/remove securities from the data feed
- changes (SecurityChanges) — Security additionsremovals for this time step
remove_option_contract(symbol)[source]Removes the security with the specified symbol. This will cancel all open orders and then liquidate any existing holdings
- symbol (Symbol) — The symbol of the security to be removed
bool
remove_security(symbol)[source]Removes the security with the specified symbol. This will cancel all open orders and then liquidate any existing holdings
- symbol (Symbol) — The symbol of the security to be removed
bool
set_future_chain_provider(future_chain_provider)[source]Sets the future chain provider, used to get the list of future contracts for an underlying symbol
- future_chain_provider (IFutureChainProvider) — The future chain provider
set_option_chain_provider(option_chain_provider)[source]Sets the option chain provider, used to get the list of option contracts for an underlying symbol
- option_chain_provider (IOptionChainProvider) — The option chain provider
set_security_initializer(security_initializer)[source]Sets the security initializer, used to initialize/configure securities after creation. The initializer will be applied to all universes and manually added securities.
- security_initializer (0, Culture=neutral, PublicKeyToken=null]] | PyObject | ISecurityInitializer) — The security initializer function or class
symbol(ticker)[source]Converts the string 'ticker' symbol into a full String) object This requires that the string 'ticker' has been added to the algorithm
- ticker (str) — The ticker symbol. This should be the ticker symbol as it was added to the algorithm
The symbol object mapped to the specified ticker
ticker(symbol)[source]For the given symbol will resolve the ticker it used at the current algorithm date
- symbol (Symbol) — The symbol to get the ticker for
The mapped ticker for a symbol
str
Gets the future chain provider, used to get the list of future contracts for an underlying symbol
Gets the future chain provider, used to get the list of future contracts for an underlying symbol
IFutureChainProvider
Gets the option chain provider, used to get the list of option contracts for an underlying symbol
Gets the option chain provider, used to get the list of option contracts for an underlying symbol
IOptionChainProvider
Gets an instance that is to be used to initialize newly created securities.
Gets an instance that is to be used to initialize newly created securities.
ISecurityInitializer
Algorithm Framework
Algorithm Framework
add_alpha(alpha)[source]Adds a new alpha model
- alpha (PyObject | IAlphaModel) — Model that generates alpha to add
add_risk_management(risk_management)[source]Adds a new risk management model
- risk_management (PyObject | IRiskManagementModel) — Model defining how risk is managed to add
add_universe_selection(universe_selection)[source]Adds a new universe selection model
- universe_selection (PyObject | IUniverseSelectionModel) — Model defining universes for the algorithm to add
emit_insights(insights)[source]Manually emit insights from an algorithm. This is typically invoked before calls to submit orders in algorithms written against QCAlgorithm that have been ported into the algorithm framework.
- insights (Insight) — The array of insights to be emitted
emit_insights(insight)[source]Manually emit insights from an algorithm. This is typically invoked before calls to submit orders in algorithms written against QCAlgorithm that have been ported into the algorithm framework.
- insight (Insight) — The insight to be emitted
framework_post_initialize()[source]Called by setup handlers after Initialize and allows the algorithm a chance to organize the data gather in the Initialize method
get_locked()[source]Gets whether or not this algorithm has been locked and fully initialized
bool
initialize()[source]Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
on_framework_data(slice)[source]Used to send data updates to algorithm framework models
- slice (Slice) — The current data slice
on_framework_securities_changed(changes)[source]Used to send security changes to algorithm framework models
- changes (SecurityChanges) — Security additionsremovals for this time step
post_initialize()[source]Called by setup handlers after Initialize and allows the algorithm a chance to organize the data gather in the Initialize method
set_alpha(alpha)[source]Sets the alpha model
- alpha (PyObject | IAlphaModel) — Model that generates alpha
set_execution(execution)[source]Sets the execution model
- execution (PyObject | IExecutionModel) — Model defining how to execute trades to reach a portfolio target
set_locked()[source]Lock the algorithm initialization to avoid user modifiying cash and data stream subscriptions
set_portfolio_construction(portfolio_construction)[source]Sets the portfolio construction model
- portfolio_construction (PyObject | IPortfolioConstructionModel) — Model defining how to build a portfolio from insights
set_risk_management(risk_management)[source]Sets the risk management model
- risk_management (PyObject | IRiskManagementModel) — Model defining how risk is managed
set_universe_selection(universe_selection)[source]Sets the universe selection model
- universe_selection (PyObject | IUniverseSelectionModel) — Model defining universes for the algorithm
Gets or sets the alpha model
Gets or sets the alpha model
IAlphaModel
Gets or sets the execution model
Gets or sets the execution model
IExecutionModel
Gets or sets the portfolio construction model
Gets or sets the portfolio construction model
IPortfolioConstructionModel
Gets or sets the risk management model
Gets or sets the risk management model
IRiskManagementModel
Gets or sets the universe selection model.
Gets or sets the universe selection model.
IUniverseSelectionModel
Charting
Charting
add_chart(chart)[source]Add a Chart object to algorithm collection
- chart (Chart) — Chart object to add to collection.
add_series(chart, series, series_type, unit=$)[source]Add a series object for charting. This is useful when initializing charts with series other than type = line. If a series exists in the chart with the same name, then it is replaced.
- chart (str) — The chart name
- series (str) — The series name
- series_type (SeriesType) — The type of series, i.e, Scatter
- unit (str, optional) — The unit of the y axis, usually $
get_chart_updates(clear_chart_data=False)[source]Get the chart updates by fetch the recent points added and return for dynamic Charting.
- clear_chart_data (bool, optional)
List of chart updates since the last request
List[Chart]
plot(chart, series, open, high, low, close)[source]Plot a chart using string series name, with value.
- chart (str) — Chart name
- series (str) — Series name
- open (int | float) — The candlestick open value
- high (int | float) — The candlestick high value
- low (int | float) — The candlestick low value
- close (int | float) — The candlestick close value
plot(chart, first, second=None, third=None, fourth=None)[source]Plot a chart using string series name, with value.
- chart (str) — The chart's name
- first (BarIndicator | Indicator | TradeBarIndicator) — The first indicator to plot
- second (BarIndicator | Indicator | TradeBarIndicator, optional) — The second indicator to plot
- third (BarIndicator | Indicator | TradeBarIndicator, optional) — The third indicator to plot
- fourth (BarIndicator | Indicator | TradeBarIndicator, optional) — The fourth indicator to plot
plot(chart, series, value)[source]Plot a chart using string series name, with value.
- chart (str)
- series (str)
- value (int | float)
plot(chart, series, bar)[source]Plot a chart using string series name, with value.
- chart (str) — Chart name
- series (str) — Name of the plot series
- bar (TradeBar) — The trade bar to be plotted to the candlestick series
plot(series, py_object)[source]Plot a chart using string series name, with value.
- series (str) — Name of the plot series
- py_object (PyObject) — PyObject with the value to plot
plot(chart, indicators)[source]Plot a chart using string series name, with value.
- chart (str) — The chart's name
- indicators (IndicatorBase) — The indicators to plot
plot_indicator(chart, wait_for_ready, first, second=None, third=None, fourth=None)[source]Automatically plots each indicator when a new value is available
- chart (str)
- wait_for_ready (bool)
- first (PyObject)
- second (PyObject, optional)
- third (PyObject, optional)
- fourth (PyObject, optional)
plot_indicator(chart, wait_for_ready, indicators)[source]Automatically plots each indicator when a new value is available
- chart (str)
- wait_for_ready (bool)
- indicators (IndicatorBase)
record(series, value)[source]Plot a chart using string series name, with int value. Alias of Plot();
- series (str)
- value (int | float)
set_runtime_statistic(name, value)[source]Set a runtime statistic for the algorithm. Runtime statistics are shown in the top banner of a live algorithm GUI.
- name (str) — Name of your runtime statistic
- value (str | int | float) — String value of your runtime statistic
Access to the runtime statistics property. User provided statistics.
Access to the runtime statistics property. User provided statistics.
ConcurrentDict[str, str]
Consolidating Data
Consolidating Data
consolidate(symbol, period, tick_type, handler)[source]Registers the handler to receive consolidated data for the specified symbol
- symbol (Symbol) — The symbol who's data is to be consolidated
- period (Resolution | timedelta) — The symbol who's data is to be consolidated
- tick_type (TickType) — The consolidation period
- handler (PyObject | None | 0, Culture=neutral, PublicKeyToken=null]]) — The tick type of subscription used as data source for consolidator. Specify null to use first subscription found.
A new consolidator matching the requested parameters with the handler already registered
IDataConsolidator
consolidate(symbol, calendar, tick_type, handler)[source]Registers the handler to receive consolidated data for the specified symbol
- symbol (Symbol) — The symbol who's data is to be consolidated
- calendar (Callable[datetime, CalendarInfo]) — The symbol who's data is to be consolidated
- tick_type (TickType) — The consolidation calendar
- handler (PyObject | None | 0, Culture=neutral, PublicKeyToken=null]]) — The tick type of subscription used as data source for consolidator. Specify null to use first subscription found.
A new consolidator matching the requested parameters with the handler already registered
IDataConsolidator
deregister_indicator(indicator)[source]Will deregister an indicator and it's associated consolidator instance so they stop receiving data updates
- indicator (IndicatorBase) — The indicator instance to deregister
resolve_consolidator(symbol, resolution, data_type=None)[source]Gets the default consolidator for the specified symbol and resolution
- symbol (Symbol) — The symbol whose data is to be consolidated
- resolution (Resolution) — The resolution for the consolidator, if null, uses the resolution from subscription
- data_type (Type, optional) — The data type for this consolidator, if null, uses TradeBar over QuoteBar if present
The new default consolidator
IDataConsolidator
resolve_consolidator(symbol, time_span, data_type=None)[source]Gets the default consolidator for the specified symbol and resolution
- symbol (Symbol) — The symbol whose data is to be consolidated
- time_span (timedelta) — The requested time span for the consolidator, if null, uses the resolution from subscription
- data_type (Type, optional) — The data type for this consolidator, if null, uses TradeBar over QuoteBar if present
The new default consolidator
IDataConsolidator
unregister_indicator(indicator)[source]Will unregister an indicator and it's associated consolidator instance so they stop receiving data updates
- indicator (IndicatorBase) — The indicator instance to unregister
Handling Data
Handling Data
cik(cik, trading_date=None)[source]Converts a CIK identifier into String) array
- cik (int) — The CIK identifier of an asset
- trading_date (datetime, optional) — The date that the stock being looked up iswas traded at. The date is used to create a Symbol with the ticker set to the ticker the asset traded under on the trading date.
Symbols corresponding to the CIK. If no Symbol with a matching CIK was found, returns empty array.
cik(symbol)[source]Converts a CIK identifier into String) array
- symbol (Symbol)
CIK corresponding to the Symbol. If no matching CIK is found, returns null.
int
composite_figi(composite_figi, trading_date=None)[source]Converts a composite FIGI identifier into a String)
- composite_figi (str) — The composite Financial Instrument Global Identifier (FIGI) of an asset
- trading_date (datetime, optional) — The date that the stock being looked up iswas traded at. The date is used to create a Symbol with the ticker set to the ticker the asset traded under on the trading date.
Symbol corresponding to the composite FIGI. If no Symbol with a matching composite FIGI was found, returns null.
composite_figi(symbol)[source]Converts a composite FIGI identifier into a String)
- symbol (Symbol)
Composite FIGI corresponding to the Symbol. If no matching composite FIGI is found, returns null.
str
cusip(cusip, trading_date=None)[source]Converts a CUSIP identifier into a String)
- cusip (str) — The CUSIP number of an asset
- trading_date (datetime, optional) — The date that the stock being looked up iswas traded at. The date is used to create a Symbol with the ticker set to the ticker the asset traded under on the trading date.
Symbol corresponding to the CUSIP. If no Symbol with a matching CUSIP was found, returns null.
cusip(symbol)[source]Converts a CUSIP identifier into a String)
- symbol (Symbol)
CUSIP corresponding to the Symbol. If no matching CUSIP is found, returns null.
str
fundamentals(symbol)[source]Get the fundamental data for the requested symbol at the current time
- symbol (Symbol)
The fundamental data for the Symbol
fundamentals(symbols)[source]Get the fundamental data for the requested symbol at the current time
- symbols (List[Symbol])
The fundamental data for the symbols
List[Fundamental]
isin(isin, trading_date=None)[source]Converts an ISIN identifier into a String)
- isin (str) — The International Securities Identification Number (ISIN) of an asset
- trading_date (datetime, optional) — The date that the stock being looked up iswas traded at. The date is used to create a Symbol with the ticker set to the ticker the asset traded under on the trading date.
Symbol corresponding to the ISIN. If no Symbol with a matching ISIN was found, returns null.
isin(symbol)[source]Converts an ISIN identifier into a String)
- symbol (Symbol)
ISIN corresponding to the Symbol. If no matching ISIN is found, returns null.
str
on_data(slice)[source]Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
- slice (Slice) — The current slice of data keyed by symbol string
on_delistings(delistings)[source]Event handler to be called when there's been a delistings event
- delistings (Delistings) — The current time slice delistings
on_dividends(dividends)[source]Event handler to be called when there's been a dividend event
- dividends (Dividends) — The current time slice dividends
on_end_of_algorithm()[source]End of algorithm run event handler. This method is called at the end of a backtest or live trading operation. Intended for closing out logs.
on_end_of_day(symbol)[source]End of a trading day event handler. This method is called at the end of the algorithm day (or multiple times if trading multiple assets).
- symbol (str | Symbol) — Asset symbol for this end of day event. Forex and equities have different closing hours.
on_end_of_time_step()[source]Invoked at the end of every time step. This allows the algorithm to process events before advancing to the next time step.
on_splits(splits)[source]Event handler to be called when there's been a split event
- splits (Splits) — The current time slice splits
on_symbol_changed_events(symbols_changed)[source]Event handler to be called when there's been a symbol changed event
- symbols_changed (SymbolChangedEvents) — The current time slice symbol changed events
on_warmup_finished()[source]Called when the algorithm has completed initialization and warm up.
sedol(sedol, trading_date=None)[source]Converts a SEDOL identifier into a String)
- sedol (str) — The SEDOL identifier of an asset
- trading_date (datetime, optional) — The date that the stock being looked up iswas traded at. The date is used to create a Symbol with the ticker set to the ticker the asset traded under on the trading date.
Symbol corresponding to the SEDOL. If no Symbol with a matching SEDOL was found, returns null.
sedol(symbol)[source]Converts a SEDOL identifier into a String)
- symbol (Symbol)
SEDOL corresponding to the Symbol. If no matching SEDOL is found, returns null.
str
set_algorithm_id(algorithm_id)[source]Set the algorithm id (backtestId or live deployId for the algorithm).
- algorithm_id (str) — String Algorithm Id
set_api(api)[source]Provide the API for the algorithm.
- api (IApi) — Initiated API
set_available_data_types(available_data_types)[source]Set the available data feeds in the SecurityManager
- available_data_types (Dict[SecurityType, List[TickType]]) — supports
set_current_slice(slice)[source]set_date_time(frontier)[source]Update the internal algorithm time frontier.
- frontier (datetime) — Current utc datetime.
set_end_date(year, month, day)[source]Set the end date for a backtest run
- year (int) — Int end date 1-30
- month (int) — Int month end date
- day (int) — Int year end date
set_end_date(end)[source]Set the end date for a backtest run
- end (datetime) — Datetime value for end date
set_object_store(object_store)[source]Sets the object store
- object_store (IObjectStore) — The object store
set_run_time_error(exception)[source]Set the runtime error
- exception (Exception) — Represents error that occur during execution
set_start_date(year, month, day)[source]Set the start date for backtest.
- year (int) — Int starting date 1-30
- month (int) — Int month starting date
- day (int) — Int year starting date
set_start_date(start)[source]Set the start date for backtest.
- start (datetime) — Datetime Start date for backtest
set_time_zone(time_zone)[source]Sets the time zone of the Time property in the algorithm
- time_zone (datetimeZone | str) — The desired time zone
Algorithm Id for this backtest or live algorithm.
Algorithm Id for this backtest or live algorithm.
str
Value of the user set start-date from the backtest. Controls the period of the backtest.
Value of the user set start-date from the backtest. Controls the period of the backtest.
datetime
Public name for the algorithm as automatically generated by the IDE. Intended for helping distinguish logs by noting the algorithm-id.
Public name for the algorithm as automatically generated by the IDE. Intended for helping distinguish logs by noting the algorithm-id.
str
Gets the object store, used for persistence
Gets the object store, used for persistence
Gets the user settings for the algorithm
Gets the user settings for the algorithm
IAlgorithmSettings
Value of the user set start-date from the backtest.
Value of the user set start-date from the backtest.
datetime
Gets or sets the current status of the algorithm
Gets or sets the current status of the algorithm
Generic Data Manager - Required for compiling all data feeds in order, and passing them into algorithm event methods. The subscription manager contains a list of the data feed's we're subscribed to and properties of each data feed.
Generic Data Manager - Required for compiling all data feeds in order, and passing them into algorithm event methods. The subscription manager contains a list of the data feed's we're subscribed to and properties of each data feed.
A list of tags associated with the algorithm or the backtest, useful for categorization
A list of tags associated with the algorithm or the backtest, useful for categorization
HashSet[str]
Read-only value for current time frontier of the algorithm in terms of the TimeZone
Read-only value for current time frontier of the algorithm in terms of the TimeZone
datetime
Gets the time zone used for the Time property. The default value is
Gets the time zone used for the Time property. The default value is
datetimeZone
Current date/time in UTC.
Current date/time in UTC.
datetime
Historical Data
Historical Data
history(type, tickers, start, end, resolution=None, fill_forward=None, extended_market_hours=None, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=None)[source]Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.
- type (PyObject) — The data type of the symbols
- tickers (PyObject) — The symbols to retrieve historical data for
- start (datetime) — The start time in the algorithm's time zone
- end (datetime) — The end time in the algorithm's time zone
- resolution (Resolution, optional) — The resolution to request
- fill_forward (bool, optional) — True to fill forward missing data, false otherwise
- extended_market_hours (bool, optional) — True to include extended market hours data, false otherwise
- data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
- data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
- contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
pandas.DataFrame containing the requested historical data
PyObject
history(type, symbol, start, end, resolution=None, fill_forward=None, extended_market_hours=None, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=None)[source]Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.
- type (PyObject) — The data type of the symbols
- symbol (Symbol) — The symbol to retrieve historical data for
- start (datetime) — The start time in the algorithm's time zone
- end (datetime) — The end time in the algorithm's time zone
- resolution (Resolution, optional) — The resolution to request
- fill_forward (bool, optional) — True to fill forward missing data, false otherwise
- extended_market_hours (bool, optional) — True to include extended market hours data, false otherwise
- data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
- data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
- contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
pandas.DataFrame containing the requested historical data
PyObject
history(type, tickers, periods, resolution=None, fill_forward=None, extended_market_hours=None, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=None)[source]Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.
- type (PyObject) — The data type of the symbols
- tickers (PyObject) — The symbols to retrieve historical data for
- periods (int) — The number of bars to request
- resolution (Resolution, optional) — The resolution to request
- fill_forward (bool, optional) — True to fill forward missing data, false otherwise
- extended_market_hours (bool, optional) — True to include extended market hours data, false otherwise
- data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
- data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
- contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
pandas.DataFrame containing the requested historical data
PyObject
history(type, tickers, span, resolution=None, fill_forward=None, extended_market_hours=None, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=None)[source]Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.
- type (PyObject) — The data type of the symbols
- tickers (PyObject) — The symbols to retrieve historical data for
- span (timedelta) — The span over which to retrieve recent historical data
- resolution (Resolution, optional) — The resolution to request
- fill_forward (bool, optional) — True to fill forward missing data, false otherwise
- extended_market_hours (bool, optional) — True to include extended market hours data, false otherwise
- data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
- data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
- contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
pandas.DataFrame containing the requested historical data
PyObject
history(type, symbol, periods, resolution=None, fill_forward=None, extended_market_hours=None, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=None)[source]Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.
- type (PyObject) — The data type of the symbols
- symbol (Symbol) — The symbol to retrieve historical data for
- periods (int) — The number of bars to request
- resolution (Resolution, optional) — The resolution to request
- fill_forward (bool, optional) — True to fill forward missing data, false otherwise
- extended_market_hours (bool, optional) — True to include extended market hours data, false otherwise
- data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
- data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
- contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
pandas.DataFrame containing the requested historical data
PyObject
history(type, symbol, span, resolution=None, fill_forward=None, extended_market_hours=None, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=None)[source]Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.
- type (PyObject) — The data type of the symbols
- symbol (Symbol) — The symbol to retrieve historical data for
- span (timedelta) — The span over which to retrieve recent historical data
- resolution (Resolution, optional) — The resolution to request
- fill_forward (bool, optional) — True to fill forward missing data, false otherwise
- extended_market_hours (bool, optional) — True to include extended market hours data, false otherwise
- data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
- data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
- contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
pandas.DataFrame containing the requested historical data
PyObject
history(symbols, start, end, resolution=None, fill_forward=None, extended_market_hours=None, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=None)[source]Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.
- symbols (List[Symbol]) — The symbols to retrieve historical data for
- start (datetime) — The start time in the algorithm's time zone
- end (datetime) — The end time in the algorithm's time zone
- resolution (Resolution, optional) — The resolution to request
- fill_forward (bool, optional) — True to fill forward missing data, false otherwise
- extended_market_hours (bool, optional) — True to include extended market hours data, false otherwise
- data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
- data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
- contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
An enumerable of slice containing the requested historical data
List[Slice]
history(universe, start, end, resolution=None, fill_forward=None, extended_market_hours=None, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=None)[source]Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.
- universe (Universe) — The universe to fetch the data for
- start (datetime) — The start time in the algorithm's time zone
- end (datetime) — The end time in the algorithm's time zone
- resolution (Resolution, optional) — The resolution to request
- fill_forward (bool, optional) — True to fill forward missing data, false otherwise
- extended_market_hours (bool, optional) — True to include extended market hours data, false otherwise
- data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
- data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
- contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
An enumerable of slice containing the requested historical data
List[BaseDataCollection]
history(symbols, span, resolution=None, fill_forward=None, extended_market_hours=None, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=None)[source]Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.
- symbols (List[Symbol]) — The symbols to retrieve historical data for
- span (timedelta) — The span over which to retrieve recent historical data
- resolution (Resolution, optional) — The resolution to request
- fill_forward (bool, optional) — True to fill forward missing data, false otherwise
- extended_market_hours (bool, optional) — True to include extended market hours data, false otherwise
- data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
- data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
- contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
An enumerable of slice containing the requested historical data
List[Slice]
history(symbols, periods, resolution=None, fill_forward=None, extended_market_hours=None, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=None)[source]Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.
- symbols (List[Symbol]) — The symbols to retrieve historical data for
- periods (int) — The number of bars to request
- resolution (Resolution, optional) — The resolution to request
- fill_forward (bool, optional) — True to fill forward missing data, false otherwise
- extended_market_hours (bool, optional) — True to include extended market hours data, false otherwise
- data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
- data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
- contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
An enumerable of slice containing the requested historical data
List[Slice]
history(universe, periods, resolution=None, fill_forward=None, extended_market_hours=None, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=None)[source]Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.
- universe (Universe) — The universe to fetch the data for
- periods (int) — The number of bars to request
- resolution (Resolution, optional) — The resolution to request
- fill_forward (bool, optional) — True to fill forward missing data, false otherwise
- extended_market_hours (bool, optional) — True to include extended market hours data, false otherwise
- data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
- data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
- contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
An enumerable of slice containing data over the most recent span for all configured securities
List[BaseDataCollection]
history(universe, span, resolution=None, fill_forward=None, extended_market_hours=None, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=None)[source]Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.
- universe (Universe) — The universe to fetch the data for
- span (timedelta) — The span over which to request data. This is a calendar span, so take into consideration weekends and such
- resolution (Resolution, optional) — The resolution to request
- fill_forward (bool, optional) — True to fill forward missing data, false otherwise
- extended_market_hours (bool, optional) — True to include extended market hours data, false otherwise
- data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
- data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
- contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
An enumerable of slice containing the requested historical data
List[BaseDataCollection]
history(request)[source]Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.
- request (HistoryRequest) — the history request to execute
An enumerable of slice satisfying the specified history request
List[Slice]
history(requests)[source]Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.
- requests (List[HistoryRequest]) — the history requests to execute
An enumerable of slice satisfying the specified history request
List[Slice]
set_finished_warming_up()[source]Sets IsWarmingUp to false to indicate this algorithm has finished its warm up
set_history_provider(history_provider)[source]Set the historical data provider
- history_provider (IHistoryProvider) — Historical data provider
set_warm_up(time_span, resolution)[source]Sets the warm up period to the specified value
- time_span (timedelta) — The amount of time to warm up, this does not take into account market hoursweekends
- resolution (Resolution) — The resolution to request
set_warm_up(bar_count, resolution)[source]Sets the warm up period to the specified value
- bar_count (int) — The number of data points requested for warm up
- resolution (Resolution) — The resolution to request
set_warmup(time_span, resolution)[source]Sets the warm up period to the specified value
- time_span (timedelta) — The amount of time to warm up, this does not take into account market hoursweekends
- resolution (Resolution) — The resolution to request
set_warmup(bar_count, resolution)[source]Sets the warm up period to the specified value
- bar_count (int) — The number of data points requested for warm up
- resolution (Resolution) — The resolution to request
warm_up_indicator(symbol, indicator, period, selector=None)[source]Warms up a given indicator with historical data
- symbol (Symbol) — The symbol whose indicator we want
- indicator (None | 0, Culture=neutral, PublicKeyToken=null]]) — The indicator we want to warm up
- period (timedelta) — The necessary period to warm up the indicator
- selector (0, Culture=neutral, PublicKeyToken=7cec85d7bea7798e]] | None, optional) — x.Value)
Gets whether or not this algorithm is still warming up
Gets whether or not this algorithm is still warming up
bool
Indicators
Indicators
a(target, reference, alpha_period=1, beta_period=252, resolution=None, risk_free_rate=None, selector=None)[source]Adds a tag to the algorithm
- target (Symbol) — The target symbol whose Alpha value we want
- reference (Symbol) — The reference symbol to compare with the target symbol
- alpha_period (int, optional) — The period of the Alpha indicator
- beta_period (int, optional) — The period of the Beta indicator
- resolution (Resolution, optional) — The resolution
- risk_free_rate (float, optional) — The risk free rate
- selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The Alpha indicator for the given parameters
abands(symbol, period, width=4.0, moving_average_type=0, resolution=None, selector=None)[source]Creates a new Acceleration Bands indicator.
- symbol (Symbol) — The symbol whose Acceleration Bands we want.
- period (int) — The period of the three moving average (middle, upper and lower band).
- width (float, optional) — A coefficient specifying the distance between the middle band and upper or lower bands.
- moving_average_type (MovingAverageType, optional) — Type of the moving average.
- resolution (Resolution, optional) — The resolution.
- selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar.
ad(symbol, resolution=None, selector=None)[source]Creates a new AccumulationDistribution indicator.
- symbol (Symbol) — The symbol whose AD we want
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, TradeBar], optional) — x.Value)
The AccumulationDistribution indicator for the requested symbol over the specified period
addiff(symbols, resolution=None, selector=None)[source]Creates a new Advance/Decline Difference indicator
- symbols (List[Symbol]) — The symbols whose AD Difference we want
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The AdvanceDecline Difference indicator for the requested symbol over the specified period
adosc(symbol, fast_period, slow_period, resolution=None, selector=None)[source]Creates a new AccumulationDistributionOscillator indicator.
- symbol (Symbol) — The symbol whose ADOSC we want
- fast_period (int) — The fast moving average period
- slow_period (int) — The slow moving average period
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, TradeBar], optional) — x.Value)
The AccumulationDistributionOscillator indicator for the requested symbol over the specified period
adr(symbols, resolution=None, selector=None)[source]Creates a new Advance/Decline Ratio indicator
- symbols (List[Symbol]) — The symbols whose AD Ratio we want
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The AdvanceDecline Ratio indicator for the requested symbol over the specified period
advr(symbols, resolution=None, selector=None)[source]Creates a new Advance/Decline Volume Ratio indicator
- symbols (List[Symbol]) — The symbol whose AD Volume Rate we want
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The AdvanceDecline Volume Ratio indicator for the requested symbol over the specified period
adx(symbol, period, resolution=None, selector=None)[source]Creates a new Average Directional Index indicator. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose Average Directional Index we seek
- period (int) — The resolution.
- resolution (Resolution, optional) — The period over which to compute the Average Directional Index
- selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The Average Directional Index indicator for the requested symbol.
adxr(symbol, period, resolution=None, selector=None)[source]Creates a new AverageDirectionalMovementIndexRating indicator.
- symbol (Symbol) — The symbol whose ADXR we want
- period (int) — The period over which to compute the ADXR
- resolution (Resolution, optional) — The resolution.
- selector (Callable[IBaseData, IBaseDataBar], optional) — x.Value)
The AverageDirectionalMovementIndexRating indicator for the requested symbol over the specified period
alma(symbol, period, sigma=6, offset=0.85, resolution=None, selector=None)[source]Creates a new ArnaudLegouxMovingAverage indicator.
- symbol (Symbol) — The symbol whose ALMA we want
- period (int) — int - the number of periods to calculate the ALMA
- sigma (int, optional) — int - this parameter is responsible for the shape of the curve coefficients.
- offset (float, optional) — decimal - This parameter allows regulating the smoothness and high sensitivity of the Moving Average. The range for this parameter is [0, 1].
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The ArnaudLegouxMovingAverage indicator for the requested symbol over the specified period
ao(symbol, slow_period, fast_period, type, resolution=None, selector=None)[source]Creates a new Awesome Oscillator from the specified periods.
- symbol (Symbol) — The symbol whose Awesome Oscillator we seek
- slow_period (int) — The resolution.
- fast_period (int) — The period of the fast moving average associated with the AO
- type (MovingAverageType) — The period of the slow moving average associated with the AO
- resolution (Resolution, optional) — The type of moving average used when computing the fast and slow term. Defaults to simple moving average.
- selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
apo(symbol, fast_period, slow_period, moving_average_type, resolution=None, selector=None)[source]Creates a new AbsolutePriceOscillator indicator.
- symbol (Symbol) — The symbol whose APO we want
- fast_period (int) — The fast moving average period
- slow_period (int) — The slow moving average period
- moving_average_type (MovingAverageType) — The type of moving average to use
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The AbsolutePriceOscillator indicator for the requested symbol over the specified period
aps(symbol, period=3, resolution=None, selector=None)[source]Creates an AugenPriceSpike indicator for the symbol. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose APS we want
- period (int, optional) — The period of the APS
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The AugenPriceSpike indicator for the given parameters
arima(symbol, ar_order, diff_order, ma_order, period, resolution=None, selector=None)[source]Creates a new ARIMA indicator.
- symbol (Symbol) — The symbol whose ARIMA indicator we want
- ar_order (int) — AR order (p) -- defines the number of past values to consider in the AR component of the model.
- diff_order (int) — Difference order (d) -- defines how many times to difference the model before fitting parameters.
- ma_order (int) — MA order (q) -- defines the number of past values to consider in the MA component of the model.
- period (int) — Size of the rolling series to fit onto
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The ARIMA indicator for the requested symbol over the specified period
aroon(symbol, up_period, down_period, resolution=None, selector=None)[source]Creates a new AroonOscillator indicator which will compute the AroonUp and AroonDown (as well as the delta)
- symbol (Symbol) — The symbol whose Aroon we seek
- up_period (int) — The look back period for computing number of periods since maximum
- down_period (int) — The look back period for computing number of periods since minimum
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
An AroonOscillator configured with the specified periods
aroon(symbol, period, resolution=None, selector=None)[source]Creates a new AroonOscillator indicator which will compute the AroonUp and AroonDown (as well as the delta)
- symbol (Symbol) — The symbol whose Aroon we seek
- period (int) — The look back period for computing number of periods since maximum and minimum
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
An AroonOscillator configured with the specified periods
asi(symbol, limit_move, resolution=4, selector=None)[source]Creates a Wilder Accumulative Swing Index (ASI) indicator for the symbol. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose ASI we want
- limit_move (float) — The maximum daily change in price for the ASI
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The WilderAccumulativeSwingIndex for the given parameters
atr(symbol, period, type=0, resolution=None, selector=None)[source]Creates a new AverageTrueRange indicator for the symbol. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose ATR we want
- period (int) — The smoothing period used to smooth the computed TrueRange values
- type (MovingAverageType, optional) — The type of smoothing to use
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
A new AverageTrueRange indicator with the specified smoothing type and period
b(target, reference, period, resolution=None, selector=None)[source]Creates a new BollingerBands indicator which will compute the MiddleBand, UpperBand, LowerBand, and StandardDeviation
- target (Symbol) — The target symbol whose Beta value we want
- reference (Symbol) — The reference symbol to compare with the target symbol
- period (int) — The period of the Beta indicator
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The Beta indicator for the given parameters
bb(symbol, period, k, moving_average_type=0, resolution=None, selector=None)[source]Creates a new BollingerBands indicator which will compute the MiddleBand, UpperBand, LowerBand, and StandardDeviation
- symbol (Symbol) — The symbol whose BollingerBands we seek
- period (int) — The period of the standard deviation and moving average (middle band)
- k (float) — The number of standard deviations specifying the distance between the middle band and upper or lower bands
- moving_average_type (MovingAverageType, optional) — The type of moving average to be used
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
A BollingerBands configured with the specified period
bop(symbol, resolution=None, selector=None)[source]Creates a new Balance Of Power indicator. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose Balance Of Power we seek
- resolution (Resolution, optional) — The resolution.
- selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The Balance Of Power indicator for the requested symbol.
c(target, reference, period, correlation_type=0, resolution=None, selector=None)[source]Converts a composite FIGI identifier into a String)
- target (Symbol) — The target symbol of this indicator
- reference (Symbol) — The reference symbol of this indicator
- period (int) — The period of this indicator
- correlation_type (CorrelationType, optional) — Correlation type
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The Correlation indicator for the given parameters
cc(symbol, short_roc_period=11, long_roc_period=14, lwma_period=10, resolution=None, selector=None)[source]Initializes a new instance of the CoppockCurve indicator
- symbol (Symbol) — The symbol whose Coppock Curve we want
- short_roc_period (int, optional) — The period for the short ROC
- long_roc_period (int, optional) — The period for the long ROC
- lwma_period (int, optional) — The period for the LWMA
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The Coppock Curve indicator for the requested symbol over the specified period
cci(symbol, period, moving_average_type=0, resolution=None, selector=None)[source]Creates a new CommodityChannelIndex indicator. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose CCI we want
- period (int) — The period over which to compute the CCI
- moving_average_type (MovingAverageType, optional) — The type of moving average to use in computing the typical price average
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The CommodityChannelIndex indicator for the requested symbol over the specified period
cmf(symbol, period, resolution=None, selector=None)[source]Creates a new ChaikinMoneyFlow indicator.
- symbol (Symbol) — The symbol whose CMF we want
- period (int) — The period over which to compute the CMF
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The ChaikinMoneyFlow indicator for the requested symbol over the specified period
cmo(symbol, period, resolution=None, selector=None)[source]Creates a new ChandeMomentumOscillator indicator.
- symbol (Symbol) — The symbol whose CMO we want
- period (int) — The period over which to compute the CMO
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The ChandeMomentumOscillator indicator for the requested symbol over the specified period
create_indicator_name(symbol, type, resolution)[source]Creates a new name for an indicator created with the convenience functions (SMA, EMA, ect...)
- symbol (Symbol) — The symbol this indicator is registered to
- type (Formattablestr | str) — The indicator type, for example, 'SMA(5)'
- resolution (Resolution) — The resolution requested
A unique for the given parameters
str
d(symbol, mirror_option=None, risk_free_rate=None, dividend_yield=None, option_model=0, iv_model=None, resolution=None)[source]Send a debug message to the web console:
- symbol (Symbol) — The option symbol whose values we want as an indicator
- mirror_option (Symbol, optional) — The mirror option for parity calculation
- risk_free_rate (float, optional) — The risk free rate
- dividend_yield (float, optional) — The dividend yield
- option_model (OptionPricingModelType, optional) — The option pricing model used to estimate Delta
- iv_model (OptionPricingModelType, optional) — The option pricing model used to estimate IV
- resolution (Resolution, optional) — The desired resolution of the data
A new Delta indicator for the specified symbol
dch(symbol, upper_period, lower_period, resolution=None, selector=None)[source]Creates a new Donchian Channel indicator which will compute the Upper Band and Lower Band. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose Donchian Channel we seek.
- upper_period (int) — The period over which to compute the upper Donchian Channel.
- lower_period (int) — The period over which to compute the lower Donchian Channel.
- resolution (Resolution, optional) — The resolution.
- selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The Donchian Channel indicator for the requested symbol.
dch(symbol, period, resolution=None, selector=None)[source]Creates a new Donchian Channel indicator which will compute the Upper Band and Lower Band. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose Donchian Channel we seek.
- period (int) — The period over which to compute the Donchian Channel.
- resolution (Resolution, optional) — The resolution.
- selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The Donchian Channel indicator for the requested symbol.
dem(symbol, period, type, resolution=None, selector=None)[source]Creates a new DeMarker Indicator (DEM), an oscillator-type indicator measuring changes in terms of an asset's High and Low tradebar values.
- symbol (Symbol) — The symbol whose DEM we seek.
- period (int) — The period of the moving average implemented
- type (MovingAverageType) — Specifies the type of moving average to be used
- resolution (Resolution, optional) — The resolution.
- selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The DeMarker indicator for the requested symbol.
dema(symbol, period, resolution=None, selector=None)[source]Creates a new DoubleExponentialMovingAverage indicator.
- symbol (Symbol) — The symbol whose DEMA we want
- period (int) — The period over which to compute the DEMA
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The DoubleExponentialMovingAverage indicator for the requested symbol over the specified period
do(symbol, rsi_period, smoothing_rsi_period, double_smoothing_rsi_period, signal_line_period, resolution=None, selector=None)[source]Creates a new DerivativeOscillator indicator.
- symbol (Symbol) — The symbol whose DO we want
- rsi_period (int) — The period over which to compute the RSI
- smoothing_rsi_period (int) — The period over which to compute the smoothing RSI
- double_smoothing_rsi_period (int) — The period over which to compute the double smoothing RSI
- signal_line_period (int) — The period over which to compute the signal line
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)
The DerivativeOscillator indicator for the requested symbol over the specified period
dpo(symbol, period, resolution=None, selector=None)[source]Creates a new DetrendedPriceOscillator indicator.
- symbol (Symbol) — The symbol whose DPO we want
- period (int) — The period over which to compute the DPO
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
A new registered DetrendedPriceOscillator indicator for the requested symbol over the specified period
ema(symbol, period, smoothing_factor, resolution=None, selector=None)[source]Creates an ExponentialMovingAverage indicator for the symbol. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose EMA we want
- period (int) — The period of the EMA
- smoothing_factor (float) — The percentage of data from the previous value to be carried into the next value
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The ExponentialMovingAverage for the given parameters
emv(symbol, period=1, scale=10000, resolution=None, selector=None)[source]Creates an EaseOfMovementValue indicator for the symbol. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose EMV we want
- period (int, optional) — The period of the EMV
- scale (int, optional) — The length of the outputed value
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The EaseOfMovementValue indicator for the given parameters
filtered_identity(symbol, resolution, selector=None, filter=None, field_name=None)[source]Creates a new FilteredIdentity indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution
- symbol (Symbol) — The symbol whose values we want as an indicator
- resolution (Resolution | timedelta) — The desired resolution of the data
- selector (PyObject | 0, Culture=neutral, PublicKeyToken=null]], optional) — x.Value)
- filter (PyObject | 0, Culture=neutral, PublicKeyToken=7cec85d7bea7798e]], optional) — true) which means no filter
- field_name (str, optional) — The name of the field being selected
A new FilteredIdentity indicator for the specified symbol and selector
fish(symbol, period, resolution=None, selector=None)[source]Creates an FisherTransform indicator for the symbol. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose FisherTransform we want
- period (int) — The period of the FisherTransform
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The FisherTransform for the given parameters
frama(symbol, period, long_period=198, resolution=None, selector=None)[source]Creates an FractalAdaptiveMovingAverage (FRAMA) indicator for the symbol. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose FRAMA we want
- period (int) — The period of the FRAMA
- long_period (int, optional) — The long period of the FRAMA
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The FRAMA for the given parameters
g(symbol, mirror_option=None, risk_free_rate=None, dividend_yield=None, option_model=0, iv_model=None, resolution=None)[source]Gets the parameter with the specified name. If a parameter with the specified name does not exist, the given default value is returned if any, else null
- symbol (Symbol) — The option symbol whose values we want as an indicator
- mirror_option (Symbol, optional) — The mirror option for parity calculation
- risk_free_rate (float, optional) — The risk free rate
- dividend_yield (float, optional) — The dividend yield
- option_model (OptionPricingModelType, optional) — The option pricing model used to estimate Gamma
- iv_model (OptionPricingModelType, optional) — The option pricing model used to estimate IV
- resolution (Resolution, optional) — The desired resolution of the data
A new Gamma indicator for the specified symbol
heikin_ashi(symbol, resolution=None, selector=None)[source]Creates a new Heikin-Ashi indicator.
- symbol (Symbol) — The symbol whose Heikin-Ashi we want
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The Heikin-Ashi indicator for the requested symbol over the specified period
hma(symbol, period, resolution=None, selector=None)[source]Creates a new HullMovingAverage indicator. The Hull moving average is a series of nested weighted moving averages, is fast and smooth.
- symbol (Symbol) — The symbol whose Hull moving average we want
- period (int) — The period over which to compute the Hull moving average
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
ht(symbol, length, in_phase_multiplication_factor, quadrature_multiplication_factor, resolution=None, selector=None)[source]Creates a new Hilbert Transform indicator
- symbol (Symbol) — The symbol whose Hilbert transform we want
- length (int) — The length of the FIR filter used in the calculation of the Hilbert Transform. This parameter determines the number of filter coefficients in the FIR filter.
- in_phase_multiplication_factor (float) — The multiplication factor used in the calculation of the in-phase component of the Hilbert Transform. This parameter adjusts the sensitivity and responsiveness of the transform to changes in the input signal.
- quadrature_multiplication_factor (float) — The multiplication factor used in the calculation of the quadrature component of the Hilbert Transform. This parameter also adjusts the sensitivity and responsiveness of the transform to changes in the input signal.
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
ichimoku(symbol, tenkan_period, kijun_period, senkou_a_period, senkou_b_period, senkou_a_delay_period, senkou_b_delay_period, resolution=None, selector=None)[source]Creates a new IchimokuKinkoHyo indicator for the symbol. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose ICHIMOKU we want
- tenkan_period (int) — The period to calculate the Tenkan-sen period
- kijun_period (int) — The period to calculate the Kijun-sen period
- senkou_a_period (int) — The period to calculate the Tenkan-sen period
- senkou_b_period (int) — The period to calculate the Tenkan-sen period
- senkou_a_delay_period (int) — The period to calculate the Tenkan-sen period
- senkou_b_delay_period (int) — The period to calculate the Tenkan-sen period
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
A new IchimokuKinkoHyo indicator with the specified periods and delays
identity(symbol, resolution, selector=None, field_name=None)[source]Creates a new Identity indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution
- symbol (Symbol) — The symbol whose values we want as an indicator
- resolution (Resolution | timedelta) — The desired resolution of the data
- selector (Callable[IBaseData, float], optional) — x.Value)
- field_name (str, optional) — The name of the field being selected
A new Identity indicator for the specified symbol and selector
iv(symbol, mirror_option=None, risk_free_rate=None, dividend_yield=None, option_model=0, period=252, resolution=None)[source]Creates a new ImpliedVolatility indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution
- symbol (Symbol) — The option symbol whose values we want as an indicator
- mirror_option (Symbol, optional) — The mirror option contract used for parity type calculation
- risk_free_rate (float, optional) — The risk free rate
- dividend_yield (float, optional) — The dividend yield
- option_model (OptionPricingModelType, optional) — The option pricing model used to estimate IV
- period (int, optional) — The lookback period of historical volatility
- resolution (Resolution, optional) — The desired resolution of the data
A new ImpliedVolatility indicator for the specified symbol
kama(symbol, period, fast_ema_period, slow_ema_period, resolution=None, selector=None)[source]Creates a new KaufmanAdaptiveMovingAverage indicator.
- symbol (Symbol) — The symbol whose KAMA we want
- period (int) — The period of the Efficiency Ratio (ER)
- fast_ema_period (int) — The period of the fast EMA used to calculate the Smoothing Constant (SC)
- slow_ema_period (int) — The period of the slow EMA used to calculate the Smoothing Constant (SC)
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The KaufmanAdaptiveMovingAverage indicator for the requested symbol over the specified period
kch(symbol, period, k, moving_average_type=0, resolution=None, selector=None)[source]Creates a new Keltner Channels indicator. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose Keltner Channel we seek
- period (int) — The period over which to compute the Keltner Channels
- k (float) — from the middle band of the Keltner Channels
- moving_average_type (MovingAverageType, optional) — Specifies the type of moving average to be used as the middle line of the Keltner Channel
- resolution (Resolution, optional) — The resolution.
- selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The Keltner Channel indicator for the requested symbol.
ker(symbol, period=2, resolution=None, selector=None)[source]Creates an KaufmanEfficiencyRatio indicator for the symbol. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose EF we want
- period (int, optional) — The period of the EF
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The KaufmanEfficiencyRatio indicator for the given parameters
logr(symbol, period, resolution=None, selector=None)[source]Creates a new LogReturn indicator.
- symbol (Symbol) — The symbol whose log return we seek
- period (int) — The period of the log return.
- resolution (Resolution, optional) — The resolution.
- selector (Callable[IBaseData, float], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar.
log return indicator for the requested symbol.
lsma(symbol, period, resolution=None, selector=None)[source]Creates and registers a new Least Squares Moving Average instance.
- symbol (Symbol) — The symbol whose LSMA we seek.
- period (int) — The LSMA period. Normally 14.
- resolution (Resolution, optional) — The resolution.
- selector (Callable[IBaseData, float], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar.
A LeastSquaredMovingAverage configured with the specified period
lwma(symbol, period, resolution=None, selector=None)[source]Creates a new LinearWeightedMovingAverage indicator. This indicator will linearly distribute the weights across the periods.
- symbol (Symbol) — The symbol whose LWMA we want
- period (int) — The period over which to compute the LWMA
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
macd(symbol, fast_period, slow_period, signal_period, type=1, resolution=None, selector=None)[source]Creates a MACD indicator for the symbol. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose MACD we want
- fast_period (int) — The period for the fast moving average
- slow_period (int) — The period for the slow moving average
- signal_period (int) — The period for the signal moving average
- type (MovingAverageType, optional) — The type of moving average to use for the MACD
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The moving average convergence divergence between the fast and slow averages
mad(symbol, period, resolution=None, selector=None)[source]Creates a new MeanAbsoluteDeviation indicator.
- symbol (Symbol) — The symbol whose MeanAbsoluteDeviation we want
- period (int) — The period over which to compute the MeanAbsoluteDeviation
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The MeanAbsoluteDeviation indicator for the requested symbol over the specified period
mass(symbol, ema_period=9, sum_period=25, resolution=None, selector=None)[source]Creates a new Mass Index indicator. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose Mass Index we want.
- ema_period (int, optional) — The period used by both EMA.
- sum_period (int, optional) — The sum period.
- resolution (Resolution, optional) — The resolution.
- selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The Mass Index indicator for the requested symbol over the specified period
max(symbol, period, resolution=None, selector=None)[source]Creates a new Maximum indicator to compute the maximum value
- symbol (Symbol) — The symbol whose max we want
- period (int) — The look back period over which to compute the max value
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
A Maximum indicator that compute the max value and the periods since the max value
mfi(symbol, period, resolution=None, selector=None)[source]Creates a new MoneyFlowIndex indicator. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose MFI we want
- period (int) — The period over which to compute the MFI
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The MoneyFlowIndex indicator for the requested symbol over the specified period
midpoint(symbol, period, resolution=None, selector=None)[source]Creates a new MidPoint indicator.
- symbol (Symbol) — The symbol whose MIDPOINT we want
- period (int) — The period over which to compute the MIDPOINT
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The MidPoint indicator for the requested symbol over the specified period
midprice(symbol, period, resolution=None, selector=None)[source]Creates a new MidPrice indicator.
- symbol (Symbol) — The symbol whose MIDPRICE we want
- period (int) — The period over which to compute the MIDPRICE
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The MidPrice indicator for the requested symbol over the specified period
min(symbol, period, resolution=None, selector=None)[source]Creates a new Minimum indicator to compute the minimum value
- symbol (Symbol) — The symbol whose min we want
- period (int) — The look back period over which to compute the min value
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
A Minimum indicator that compute the in value and the periods since the min value
mom(symbol, period, resolution=None, selector=None)[source]Creates a new Momentum indicator. This will compute the absolute n-period change in the security. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose momentum we want
- period (int) — The period over which to compute the momentum
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The momentum indicator for the requested symbol over the specified period
momersion(symbol, min_period, full_period, resolution=None, selector=None)[source]Creates a new Momersion indicator.
- symbol (Symbol) — The symbol whose Momersion we want
- min_period (int) — The minimum period over which to compute the Momersion. Must be greater than 3. If null, only full period will be used in computations.
- full_period (int) — The full period over which to compute the Momersion
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The Momersion indicator for the requested symbol over the specified period
momp(symbol, period, resolution=None, selector=None)[source]Creates a new MomentumPercent indicator. This will compute the n-period percent change in the security. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose momentum we want
- period (int) — The period over which to compute the momentum
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The momentum indicator for the requested symbol over the specified period
mosc(symbols, fast_period=19, slow_period=39, resolution=None, selector=None)[source]Creates a new McClellan Oscillator indicator
- symbols (0, Culture=neutral, PublicKeyToken=null]] | Symbol) — The symbols whose McClellan Oscillator we want
- fast_period (int, optional) — Fast period EMA of advance decline difference
- slow_period (int, optional) — Slow period EMA of advance decline difference
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The McClellan Oscillator indicator for the requested symbol over the specified period
msi(symbols, fast_period=19, slow_period=39, resolution=None, selector=None)[source]Creates a new McClellan Summation Index indicator
- symbols (0, Culture=neutral, PublicKeyToken=null]] | Symbol) — The symbols whose McClellan Summation Index we want
- fast_period (int, optional) — Fast period EMA of advance decline difference
- slow_period (int, optional) — Slow period EMA of advance decline difference
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The McClellan Summation Index indicator for the requested symbol over the specified period
natr(symbol, period, resolution=None, selector=None)[source]Creates a new NormalizedAverageTrueRange indicator.
- symbol (Symbol) — The symbol whose NATR we want
- period (int) — The period over which to compute the NATR
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The NormalizedAverageTrueRange indicator for the requested symbol over the specified period
obv(symbol, resolution=None, selector=None)[source]Creates a new On Balance Volume indicator. This will compute the cumulative total volume based on whether the close price being higher or lower than the previous period. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose On Balance Volume we seek
- resolution (Resolution, optional) — The resolution.
- selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The On Balance Volume indicator for the requested symbol.
pphl(symbol, length_high, length_low, last_stored_values=100, resolution=None, selector=None)[source]Creates a new PivotPointsHighLow indicator
- symbol (Symbol) — The symbol whose PPHL we seek
- length_high (int) — The number of surrounding bars whose high values should be less than the current bar's for the bar high to be marked as high pivot point
- length_low (int) — The number of surrounding bars whose low values should be more than the current bar's for the bar low to be marked as low pivot point
- last_stored_values (int, optional) — The number of last stored indicator values
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The PivotPointsHighLow indicator for the requested symbol.
ppo(symbol, fast_period, slow_period, moving_average_type, resolution=None, selector=None)[source]Creates a new PercentagePriceOscillator indicator.
- symbol (Symbol) — The symbol whose PPO we want
- fast_period (int) — The fast moving average period
- slow_period (int) — The slow moving average period
- moving_average_type (MovingAverageType) — The type of moving average to use
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The PercentagePriceOscillator indicator for the requested symbol over the specified period
psar(symbol, af_start=0.02, af_increment=0.02, af_max=0.2, resolution=None, selector=None)[source]Creates a new Parabolic SAR indicator
- symbol (Symbol) — The symbol whose PSAR we seek
- af_start (float, optional) — Acceleration factor start value. Normally 0.02
- af_increment (float, optional) — Acceleration factor increment value. Normally 0.02
- af_max (float, optional) — Acceleration factor max value. Normally 0.2
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
A ParabolicStopAndReverse configured with the specified periods
r(symbol, mirror_option=None, risk_free_rate=None, dividend_yield=None, option_model=0, iv_model=None, resolution=None)[source]Removes the security with the specified symbol. This will cancel all open orders and then liquidate any existing holdings
- symbol (Symbol) — The option symbol whose values we want as an indicator
- mirror_option (Symbol, optional) — The mirror option for parity calculation
- risk_free_rate (float, optional) — The risk free rate
- dividend_yield (float, optional) — The dividend yield
- option_model (OptionPricingModelType, optional) — The option pricing model used to estimate Rho
- iv_model (OptionPricingModelType, optional) — The option pricing model used to estimate IV
- resolution (Resolution, optional) — The desired resolution of the data
A new Rho indicator for the specified symbol
rc(symbol, period, k, resolution=None, selector=None)[source]Creates a new RegressionChannel indicator which will compute the LinearRegression, UpperChannel and LowerChannel lines, the intercept and slope
- symbol (Symbol) — The symbol whose RegressionChannel we seek
- period (int) — The period of the standard deviation and least square moving average (linear regression line)
- k (float) — The number of standard deviations specifying the distance between the linear regression and upper or lower channel lines
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
A Regression Channel configured with the specified period and number of standard deviation
rdv(symbol, period=2, resolution=4, selector=None)[source]Creates an RelativeDailyVolume indicator for the symbol. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose RDV we want
- period (int, optional) — The period of the RDV
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The Relative Volume indicator for the given parameters
register_indicator(symbol, indicator, resolution, selector)[source]Creates and registers a new consolidator to receive automatic updates at the specified resolution as well as configures the indicator to receive updates from the consolidator.
- symbol (Symbol) — The symbol to register against
- indicator (PyObject | None | 0, Culture=neutral, PublicKeyToken=null]]) — The indicator to receive data from the consolidator
- resolution (0, Culture=neutral, PublicKeyToken=null]] | 0, Culture=neutral, PublicKeyToken=7cec85d7bea7798e]]) — The resolution at which to send data to the indicator, null to use the same resolution as the subscription
- selector (PyObject | 0, Culture=neutral, PublicKeyToken=7cec85d7bea7798e]] | None) — (T)x)
register_indicator(symbol, indicator, py_object, selector=None)[source]Creates and registers a new consolidator to receive automatic updates at the specified resolution as well as configures the indicator to receive updates from the consolidator.
- symbol (Symbol) — The symbol to register against
- indicator (PyObject) — The indicator to receive data from the consolidator
- py_object (PyObject) — The python object that it is trying to register with, could be consolidator or a timespan
- selector (PyObject, optional) — (T)x)
register_indicator(symbol, indicator, consolidator, selector=None)[source]Creates and registers a new consolidator to receive automatic updates at the specified resolution as well as configures the indicator to receive updates from the consolidator.
- symbol (Symbol) — The symbol to register against
- indicator (PyObject | None | 0, Culture=neutral, PublicKeyToken=null]]) — The indicator to receive data from the consolidator
- consolidator (IDataConsolidator) — The consolidator to receive raw subscription data
- selector (PyObject | 0, Culture=neutral, PublicKeyToken=7cec85d7bea7798e]] | None, optional) — (T)x)
rma(symbol, period, resolution=None, selector=None)[source]Creates a new Relative Moving Average indicator for the symbol. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose relative moving average we seek
- period (int) — The period of the relative moving average
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
A relative moving average configured with the specified period and number of standard deviation
roc(symbol, period, resolution=None, selector=None)[source]Creates a new RateOfChange indicator. This will compute the n-period rate of change in the security. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose RateOfChange we want
- period (int) — The period over which to compute the RateOfChange
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The RateOfChange indicator for the requested symbol over the specified period
rocp(symbol, period, resolution=None, selector=None)[source]Creates a new RateOfChangePercent indicator. This will compute the n-period percentage rate of change in the security. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose RateOfChangePercent we want
- period (int) — The period over which to compute the RateOfChangePercent
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The RateOfChangePercent indicator for the requested symbol over the specified period
rocr(symbol, period, resolution=None, selector=None)[source]Creates a new RateOfChangeRatio indicator.
- symbol (Symbol) — The symbol whose ROCR we want
- period (int) — The period over which to compute the ROCR
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The RateOfChangeRatio indicator for the requested symbol over the specified period
rsi(symbol, period, moving_average_type=2, resolution=None, selector=None)[source]Creates a new RelativeStrengthIndex indicator. This will produce an oscillator that ranges from 0 to 100 based on the ratio of average gains to average losses over the specified period.
- symbol (Symbol) — The symbol whose RSI we want
- period (int) — The period over which to compute the RSI
- moving_average_type (MovingAverageType, optional) — The type of moving average to use in computing the average gainloss values
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The RelativeStrengthIndex indicator for the requested symbol over the specified period
rvi(symbol, period, moving_average_type=0, resolution=None, selector=None)[source]Creates a new RelativeVigorIndex indicator.
- symbol (Symbol) — The symbol whose RVI we want
- period (int) — The period over which to compute the RVI
- moving_average_type (MovingAverageType, optional) — The type of moving average to use
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The RelativeVigorIndex indicator for the requested symbol over the specified period
si(symbol, limit_move, resolution=4, selector=None)[source]Creates a Wilder Swing Index (SI) indicator for the symbol. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose SI we want
- limit_move (float) — The maximum daily change in price for the SI
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The WilderSwingIndex for the given parameters
sma(symbol, period, resolution=None, selector=None)[source]Creates an SimpleMovingAverage indicator for the symbol. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose SMA we want
- period (int) — The period of the SMA
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The SimpleMovingAverage for the given parameters
sortino(symbol, sortino_period, minimum_acceptable_return=0.0, resolution=None, selector=None)[source]Creates a new Sortino indicator.
- symbol (Symbol) — The symbol whose Sortino we want
- sortino_period (int) — Period of historical observation for Sortino ratio calculation
- minimum_acceptable_return (float, optional) — Minimum acceptable return (eg risk-free rate) for the Sortino ratio calculation
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The SortinoRatio indicator for the requested symbol over the specified period
sr(symbol, sharpe_period, risk_free_rate=None, resolution=None, selector=None)[source]Creates a new SharpeRatio indicator.
- symbol (Symbol) — The symbol whose RSR we want
- sharpe_period (int) — Period of historical observation for sharpe ratio calculation
- risk_free_rate (float, optional) —
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The SharpeRatio indicator for the requested symbol over the specified period
stc(symbol, cycle_period, fast_period, slow_period, moving_average_type=1, resolution=None, selector=None)[source]Creates a new Schaff Trend Cycle indicator
- symbol (Symbol) — The symbol for the indicator to track
- cycle_period (int) — The fast moving average period
- fast_period (int) — The slow moving average period
- slow_period (int) — The signal period
- moving_average_type (MovingAverageType, optional) — The type of moving average to use
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The SchaffTrendCycle indicator for the requested symbol over the specified period
std(symbol, period, resolution=None, selector=None)[source]Creates a new StandardDeviation indicator. This will return the population standard deviation of samples over the specified period.
- symbol (Symbol) — The symbol whose STD we want
- period (int) — The period over which to compute the STD
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The StandardDeviation indicator for the requested symbol over the specified period
sto(symbol, period, k_period, d_period, resolution=None, selector=None)[source]Creates a new Stochastic indicator.
- symbol (Symbol) — The symbol whose stochastic we seek
- period (int) — The period of the stochastic. Normally 14
- k_period (int) — The sum period of the stochastic. Normally 14
- d_period (int) — The sum period of the stochastic. Normally 3
- resolution (Resolution, optional) — The resolution.
- selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Stochastic indicator for the requested symbol.
str(symbol, period, multiplier, moving_average_type=2, resolution=None, selector=None)[source]Creates a new SuperTrend indicator.
- symbol (Symbol) — The symbol whose SuperTrend indicator we want.
- period (int) — The smoothing period for average true range.
- multiplier (float) — Multiplier to calculate basic upper and lower bands width.
- moving_average_type (MovingAverageType, optional) — Smoother type for average true range, defaults to Wilders.
- resolution (Resolution, optional) — The resolution.
- selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
sum(symbol, period, resolution=None, selector=None)[source]Creates a new Sum indicator.
- symbol (Symbol) — The symbol whose Sum we want
- period (int) — The period over which to compute the Sum
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The Sum indicator for the requested symbol over the specified period
swiss(symbol, period, delta, tool, resolution=None, selector=None)[source]Creates Swiss Army Knife transformation for the symbol. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol to use for calculations
- period (int) — The period of the calculation
- delta (float) — The delta scale of the BandStop or BandPass
- tool (SwissArmyKnifeTool) — The tool os the Swiss Army Knife
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The calculation using the given tool
t(symbol, mirror_option=None, risk_free_rate=None, dividend_yield=None, option_model=0, iv_model=None, resolution=None)[source]For the given symbol will resolve the ticker it used at the current algorithm date
- symbol (Symbol) — The option symbol whose values we want as an indicator
- mirror_option (Symbol, optional) — The mirror option for parity calculation
- risk_free_rate (float, optional) — The risk free rate
- dividend_yield (float, optional) — The dividend yield
- option_model (OptionPricingModelType, optional) — The option pricing model used to estimate Theta
- iv_model (OptionPricingModelType, optional) — The option pricing model used to estimate IV
- resolution (Resolution, optional) — The desired resolution of the data
A new Theta indicator for the specified symbol
t_3(symbol, period, volume_factor=0.7, resolution=None, selector=None)[source]Creates a new T3MovingAverage indicator.
- symbol (Symbol) — The symbol whose T3 we want
- period (int) — The period over which to compute the T3
- volume_factor (float, optional) — The volume factor to be used for the T3 (value must be in the [0,1] range, defaults to 0.7)
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The T3MovingAverage indicator for the requested symbol over the specified period
tdd(symbol, period, minimum_acceptable_return=0.0, resolution=None, selector=None)[source]Creates a new TargetDownsideDeviation indicator. The target downside deviation is defined as the root-mean-square, or RMS, of the deviations of the realized return’s underperformance from the target return where all returns above the target return are treated as underperformance of 0.
- symbol (Symbol) — The symbol whose TDD we want
- period (int) — The period over which to compute the TDD
- minimum_acceptable_return (float, optional) — The resolution
- resolution (Resolution, optional) — Minimum acceptable return (MAR) for the target downside deviation calculation
- selector (Callable[IBaseData, float], optional) — x.Value)
The TargetDownsideDeviation indicator for the requested symbol over the specified period
tema(symbol, period, resolution=None, selector=None)[source]Creates a new TripleExponentialMovingAverage indicator.
- symbol (Symbol) — The symbol whose TEMA we want
- period (int) — The period over which to compute the TEMA
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The TripleExponentialMovingAverage indicator for the requested symbol over the specified period
tp(symbol, period=2, value_area_volume_percentage=0.7, price_range_round_off=0.05, resolution=4, selector=None)[source]Creates an Market Profile indicator for the symbol with Time Price Opportunity (TPO) mode. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose TP we want
- period (int, optional) — The period of the TP
- value_area_volume_percentage (float, optional) — The percentage of volume contained in the value area
- price_range_round_off (float, optional) — How many digits you want to round and the precision. i.e 0.01 round to two digits exactly.
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The Time Profile indicator for the given parameters
tr(symbol, resolution=None, selector=None)[source]Creates a new TrueRange indicator.
- symbol (Symbol) — The symbol whose TR we want
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The TrueRange indicator for the requested symbol.
trima(symbol, period, resolution=None, selector=None)[source]Creates a new TriangularMovingAverage indicator.
- symbol (Symbol) — The symbol whose TRIMA we want
- period (int) — The period over which to compute the TRIMA
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The TriangularMovingAverage indicator for the requested symbol over the specified period
trin(symbols, resolution=None, selector=None)[source]Creates a new Arms Index indicator
- symbols (0, Culture=neutral, PublicKeyToken=null]] | Symbol) — The symbols whose Arms Index we want
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The Arms Index indicator for the requested symbol over the specified period
trix(symbol, period, resolution=None, selector=None)[source]Creates a new Trix indicator.
- symbol (Symbol) — The symbol whose TRIX we want
- period (int) — The period over which to compute the TRIX
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The Trix indicator for the requested symbol over the specified period
tsf(symbol, period, resolution=None, selector=None)[source]Creates a new Time Series Forecast indicator
- symbol (Symbol) — The symbol whose TSF we want
- period (int) — The period of the TSF
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The TimeSeriesForecast indicator for the requested symbol over the specified period
tsi(symbol, long_term_period=25, short_term_period=13, signal_period=7, signal_type=1, resolution=None, selector=None)[source]Creates a TrueStrengthIndex indicator for the symbol. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose TSI we want
- long_term_period (int, optional) — Period used for the first price change smoothing
- short_term_period (int, optional) — Period used for the second (double) price change smoothing
- signal_period (int, optional) — The signal period
- signal_type (MovingAverageType, optional) — The type of moving average to use for the signal
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The TrueStrengthIndex indicator for the given parameters
ultosc(symbol, period_1, period_2, period_3, resolution=None, selector=None)[source]Creates a new UltimateOscillator indicator.
- symbol (Symbol) — The symbol whose ULTOSC we want
- period_1 (int) — The first period over which to compute the ULTOSC
- period_2 (int) — The second period over which to compute the ULTOSC
- period_3 (int) — The third period over which to compute the ULTOSC
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The UltimateOscillator indicator for the requested symbol over the specified period
v(symbol, mirror_option=None, risk_free_rate=None, dividend_yield=None, option_model=0, iv_model=None, resolution=None)[source]Creates an Market Profile indicator for the symbol with Volume Profile (VOL) mode. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The option symbol whose values we want as an indicator
- mirror_option (Symbol, optional) — The mirror option for parity calculation
- risk_free_rate (float, optional) — The risk free rate
- dividend_yield (float, optional) — The dividend yield
- option_model (OptionPricingModelType, optional) — The option pricing model used to estimate Vega
- iv_model (OptionPricingModelType, optional) — The option pricing model used to estimate IV
- resolution (Resolution, optional) — The desired resolution of the data
A new Vega indicator for the specified symbol
v(symbol, period, resolution=None, selector=None)[source]Creates an Market Profile indicator for the symbol with Volume Profile (VOL) mode. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose variance we want
- period (int) — The period over which to compute the variance
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The Variance indicator for the requested symbol over the specified period
vidya(symbol, period, resolution=None, selector=None)[source]Creates a new Chande's Variable Index Dynamic Average indicator.
- symbol (Symbol) — The symbol whose VIDYA we want
- period (int) — The period over which to compute the VIDYA
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The VariableIndexDynamicAverage indicator for the requested symbol over the specified period
vp(symbol, period=2, value_area_volume_percentage=0.7, price_range_round_off=0.05, resolution=4, selector=None)[source]Creates an Market Profile indicator for the symbol with Volume Profile (VOL) mode. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose VP we want
- period (int, optional) — The period of the VP
- value_area_volume_percentage (float, optional) — The percentage of volume contained in the value area
- price_range_round_off (float, optional) — How many digits you want to round and the precision. i.e 0.01 round to two digits exactly.
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The Volume Profile indicator for the given parameters
vwap(symbol, period, resolution=None, selector=None)[source]Creates an VolumeWeightedAveragePrice (VWAP) indicator for the symbol. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose VWAP we want
- period (int) — The period of the VWAP
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The VolumeWeightedAveragePrice for the given parameters
warm_up_indicator(symbol, indicator, resolution=None, selector=None)[source]Warms up a given indicator with historical data
- symbol (Symbol) — The symbol whose indicator we want
- indicator (PyObject | None | 0, Culture=neutral, PublicKeyToken=null]]) — The indicator we want to warm up
- resolution (Resolution, optional) — The resolution
- selector (PyObject | 0, Culture=neutral, PublicKeyToken=7cec85d7bea7798e]] | None, optional) — (T)x)
wilr(symbol, period, resolution=None, selector=None)[source]Creates a new Williams %R indicator. This will compute the percentage change of the current closing price in relation to the high and low of the past N periods. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose Williams %R we want
- period (int) — The period over which to compute the Williams %R
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
The Williams %R indicator for the requested symbol over the specified period
wwma(symbol, period, resolution=None, selector=None)[source]Creates a WilderMovingAverage indicator for the symbol. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose WMA we want
- period (int) — The period of the WMA
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The WilderMovingAverage for the given parameters
γ(symbol, mirror_option=None, risk_free_rate=None, dividend_yield=None, option_model=0, iv_model=None, resolution=None)[source]Creates a new Gamma indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution
- symbol (Symbol) — The option symbol whose values we want as an indicator
- mirror_option (Symbol, optional) — The mirror option for parity calculation
- risk_free_rate (float, optional) — The risk free rate
- dividend_yield (float, optional) — The dividend yield
- option_model (OptionPricingModelType, optional) — The option pricing model used to estimate Gamma
- iv_model (OptionPricingModelType, optional) — The option pricing model used to estimate IV
- resolution (Resolution, optional) — The desired resolution of the data
A new Gamma indicator for the specified symbol
δ(symbol, mirror_option=None, risk_free_rate=None, dividend_yield=None, option_model=0, iv_model=None, resolution=None)[source]Creates a new Delta indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution
- symbol (Symbol) — The option symbol whose values we want as an indicator
- mirror_option (Symbol, optional) — The mirror option for parity calculation
- risk_free_rate (float, optional) — The risk free rate
- dividend_yield (float, optional) — The dividend yield
- option_model (OptionPricingModelType, optional) — The option pricing model used to estimate Delta
- iv_model (OptionPricingModelType, optional) — The option pricing model used to estimate IV
- resolution (Resolution, optional) — The desired resolution of the data
A new Delta indicator for the specified symbol
θ(symbol, mirror_option=None, risk_free_rate=None, dividend_yield=None, option_model=0, iv_model=None, resolution=None)[source]Creates a new Theta indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution
- symbol (Symbol) — The option symbol whose values we want as an indicator
- mirror_option (Symbol, optional) — The mirror option for parity calculation
- risk_free_rate (float, optional) — The risk free rate
- dividend_yield (float, optional) — The dividend yield
- option_model (OptionPricingModelType, optional) — The option pricing model used to estimate Theta
- iv_model (OptionPricingModelType, optional) — The option pricing model used to estimate IV
- resolution (Resolution, optional) — The desired resolution of the data
A new Theta indicator for the specified symbol
ρ(symbol, mirror_option=None, risk_free_rate=None, dividend_yield=None, option_model=0, iv_model=None, resolution=None)[source]Creates a new Rho indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution
- symbol (Symbol) — The option symbol whose values we want as an indicator
- mirror_option (Symbol, optional) — The mirror option for parity calculation
- risk_free_rate (float, optional) — The risk free rate
- dividend_yield (float, optional) — The dividend yield
- option_model (OptionPricingModelType, optional) — The option pricing model used to estimate Rho
- iv_model (OptionPricingModelType, optional) — The option pricing model used to estimate IV
- resolution (Resolution, optional) — The desired resolution of the data
A new Rho indicator for the specified symbol
Gets an instance to access the candlestick pattern helper methods
Gets an instance to access the candlestick pattern helper methods
Gets whether or not WarmUpIndicator is allowed to warm up indicators/>
Gets whether or not WarmUpIndicator is allowed to warm up indicators/>
bool
Live Trading
Live Trading
on_brokerage_disconnect()[source]Brokerage disconnected event handler. This method is called when the brokerage connection is lost.
on_brokerage_message(message_event)[source]Brokerage message event handler. This method is called for all types of brokerage messages.
- message_event (BrokerageMessageEvent)
on_brokerage_reconnect()[source]Brokerage reconnected event handler. This method is called when the brokerage connection is restored after a disconnection.
set_live_mode(live)[source]Set live mode state of the algorithm run: Public setter for the algorithm property LiveMode.
- live (bool)
set_status(status)[source]Boolean property indicating the algorithm is currently running in live mode.
Boolean property indicating the algorithm is currently running in live mode.
bool
Notification Manager for Sending Live Runtime Notifications to users about important events.
Notification Manager for Sending Live Runtime Notifications to users about important events.
Logging
Logging
debug(message)[source]Send a debug message to the web console:
- message (PyObject | str | int | float) — Message to send to debug console
error(message)[source]Send a string error message to the Console.
- message (PyObject | str | int | float) — Message to display in errors grid
error(error)[source]Send a string error message to the Console.
- error (Exception) — Exception object captured from a try catch loop
log(message)[source]Added another method for logging if user guessed.
- message (PyObject | str | int | float) — String message to log.
quit(message)[source]Terminate the algorithm after processing the current event handler.
- message (PyObject | str) — Exit message to display on quitting
set_quit(quit)[source]Set the Quit flag property of the algorithm.
- quit (bool) — Boolean quit state
Storage for debugging messages before the event handler has passed control back to the Lean Engine.
Storage for debugging messages before the event handler has passed control back to the Lean Engine.
ConcurrentQueue[str]
Enables additional logging of framework models including: All insights, portfolio targets, order events, and any risk management altered targets
Enables additional logging of framework models including: All insights, portfolio targets, order events, and any risk management altered targets
bool
List of error messages generated by the user's code calling the "Error" function.
List of error messages generated by the user's code calling the "Error" function.
ConcurrentQueue[str]
Storage for log messages before the event handlers have passed control back to the Lean Engine.
Storage for log messages before the event handlers have passed control back to the Lean Engine.
ConcurrentQueue[str]
Gets the run time error from the algorithm, or null if none was encountered.
Gets the run time error from the algorithm, or null if none was encountered.
Exception
Machine Learning
Machine Learning
train(date_rule, time_rule, training_code)[source]Schedules the provided training code to execute immediately
- date_rule (IDateRule) — Specifies what dates the event should run
- time_rule (ITimeRule) — Specifies the times on those dates the event should run
- training_code (Action | PyObject) — The training code to be invoked
Modeling
Modeling
on_margin_call(requests)[source]Margin call event handler. This method is called right before the margin call orders are placed in the market.
- requests (List[SubmitOrderRequest]) — The orders to be executed to bring this algorithm within margin limits
on_margin_call_warning()[source]Margin call warning event handler. This method is called when Portfolio.MarginRemaining is under 5% of your Portfolio.TotalPortfolioValue
set_brokerage_message_handler(handler)[source]Sets the implementation used to handle messages from the brokerage. The default implementation will forward messages to debug or error and when a Error occurs, the algorithm is stopped.
- handler (PyObject | IBrokerageMessageHandler) — The message handler to use
set_brokerage_model(brokerage, account_type=0)[source]Sets the brokerage to emulate in backtesting or paper trading. This can be used for brokerages that have been implemented in LEAN
- brokerage (BrokerageName) — The brokerage to emulate
- account_type (AccountType, optional) — The account type (Cash or Margin)
set_brokerage_model(model)[source]Sets the brokerage to emulate in backtesting or paper trading. This can be used for brokerages that have been implemented in LEAN
- model (PyObject | IBrokerageModel) — The brokerage model to use
set_risk_free_interest_rate_model(model)[source]Sets the risk free interest rate model to be used in the algorithm
- model (PyObject | IRiskFreeInterestRateModel) — The risk free interest rate model to use
Gets the brokerage message handler used to decide what to do with each message sent from the brokerage
Gets the brokerage message handler used to decide what to do with each message sent from the brokerage
IBrokerageMessageHandler
Gets the brokerage model - used to model interactions with specific brokerages.
Gets the brokerage model - used to model interactions with specific brokerages.
IBrokerageModel
Gets the risk free interest rate model used to get the interest rates
Gets the risk free interest rate model used to get the interest rates
IRiskFreeInterestRateModel
Parameter and Optimization
Parameter and Optimization
get_parameter(name, default_value)[source]Gets the parameter with the specified name. If a parameter with the specified name does not exist, the given default value is returned if any, else null
- name (str) — The name of the parameter to get
- default_value (str | int | float) — The default value to return
The value of the specified parameter, or defaultValue if not found or null if there's no default value
str
get_parameters()[source]Gets a read-only dictionary with all current parameters
IReadOnlyDict[str, str]
set_parameters(parameters)[source]Sets the parameters from the dictionary
- parameters (Dict[str, str]) — Dictionary containing the parameter names to values
Scheduled Events
Scheduled Events
Gets the date rules helper object to make specifying dates for events easier
Gets the date rules helper object to make specifying dates for events easier
Gets schedule manager for adding/removing scheduled events
Gets schedule manager for adding/removing scheduled events
Gets the time rules helper object to make specifying times for events easier
Gets the time rules helper object to make specifying times for events easier
Gets trading calendar populated with trading events
Gets trading calendar populated with trading events
Securities and Portfolio
Securities and Portfolio
set_account_currency(account_currency, starting_cash=None)[source]Sets the account currency cash symbol this algorithm is to manage, as well as the starting cash in this currency if given
- account_currency (str) — The account currency cash symbol to set
- starting_cash (float, optional) — The account currency starting cash to set
set_cash(symbol, starting_cash, conversion_rate=0.0)[source]Set initial cash for the strategy while backtesting. During live mode this value is ignored and replaced with the actual cash of your brokerage account.
- symbol (str) — The cash symbol to set
- starting_cash (int | float) — Decimal cash value of portfolio
- conversion_rate (float, optional) — The current conversion rate for the
Gets the account currency
Gets the account currency
str
Read-only dictionary containing all active securities. An active security is a security that is currently selected by the universe or has holdings or open orders.
Read-only dictionary containing all active securities. An active security is a security that is currently selected by the universe or has holdings or open orders.
IReadOnlyDict[Symbol, Security]
Portfolio object provieds easy access to the underlying security-holding properties; summed together in a way to make them useful. This saves the user time by providing common portfolio requests in a single
Portfolio object provieds easy access to the underlying security-holding properties; summed together in a way to make them useful. This saves the user time by providing common portfolio requests in a single
Security collection is an array of the security objects such as Equities and FOREX. Securities data manages the properties of tradeable assets such as price, open and close time and holdings information.
Security collection is an array of the security objects such as Equities and FOREX. Securities data manages the properties of tradeable assets such as price, open and close time and holdings information.
SignalExport - Allows sending export signals to different 3rd party API's. For example, it allows to send signals to Collective2, CrunchDAO and Numerai API's
SignalExport - Allows sending export signals to different 3rd party API's. For example, it allows to send signals to Collective2, CrunchDAO and Numerai API's
Statistics
Statistics
set_summary_statistic(name, value)[source]Set a custom summary statistic for the algorithm.
- name (str) — Name of the custom summary statistic
- value (str | int | float) — Value of the custom summary statistic
The current statistics for the running algorithm.
The current statistics for the running algorithm.
Trading and Orders
Trading and Orders
buy(strategy, quantity, asynchronous=False, tag=, order_properties=None)[source]Buy Stock (Alias of Order)
- strategy (OptionStrategy) — Specification of the strategy to trade
- quantity (int) — Quantity of the strategy to trade
- asynchronous (bool, optional) — Send the order asynchronously (false). Otherwise we'll block until it fills
- tag (str, optional) — String tag for the order (optional)
- order_properties (IOrderProperties, optional)
Sequence of order tickets
List[OrderTicket]
buy(symbol, quantity)[source]Buy Stock (Alias of Order)
- symbol (Symbol) — string Symbol of the asset to trade
- quantity (int | float) — int Quantity of the asset to trade
The order ticket instance.
calculate_order_quantity(symbol, target)[source]Calculate the order quantity to achieve target-percent holdings.
- symbol (Symbol) — Security object we're asking for
- target (float) — Target percentage holdings
Order quantity to achieve this percentage
float
combo_leg_limit_order(legs, quantity, tag=, order_properties=None)[source]Issue a combo leg limit order/trade for multiple assets, each having its own limit price.
- legs (List[Leg]) — The list of legs the order consists of
- quantity (int) — The total quantity for the order
- tag (str, optional) — String tag for the order (optional)
- order_properties (IOrderProperties, optional)
Sequence of order tickets, one for each leg
List[OrderTicket]
combo_limit_order(legs, quantity, limit_price, tag=, order_properties=None)[source]Issue a combo limit order/trade for multiple assets. A single limit price is defined for the combo order and will fill only if the sum of the assets price compares properly to the limit price, depending on the direction.
- legs (List[Leg]) — The list of legs the order consists of
- quantity (int) — The total quantity for the order
- limit_price (float) — The compound limit price to use for a ComboLimit order. This limit price will compared to the sum of the assets price in order to fill the order.
- tag (str, optional) — String tag for the order (optional)
- order_properties (IOrderProperties, optional)
Sequence of order tickets, one for each leg
List[OrderTicket]
combo_market_order(legs, quantity, asynchronous=False, tag=, order_properties=None)[source]Issue a combo market order/trade for multiple assets
- legs (List[Leg]) — The list of legs the order consists of
- quantity (int) — The total quantity for the order
- asynchronous (bool, optional) — Send the order asynchronously (false). Otherwise we'll block until it fills
- tag (str, optional) — String tag for the order (optional)
- order_properties (IOrderProperties, optional)
Sequence of order tickets, one for each leg
List[OrderTicket]
exercise_option(option_symbol, quantity, asynchronous=False, tag=, order_properties=None)[source]Send an exercise order to the transaction handler
- option_symbol (Symbol) — String symbol for the option position
- quantity (int) — Quantity of options contracts
- asynchronous (bool, optional) — Send the order asynchronously (false). Otherwise we'll block until it fills
- tag (str, optional) — String tag for the order (optional)
- order_properties (IOrderProperties, optional)
The order ticket instance.
is_market_open(symbol)[source]Determines if the exchange for the specified symbol is open at the current time.
- symbol (Symbol) — The symbol
True if the exchange is considered open at the current time, false otherwise
bool
limit_if_touched_order(symbol, quantity, trigger_price, limit_price, tag=, order_properties=None)[source]Send a limit if touched order to the transaction handler:
- symbol (Symbol) — String symbol for the asset
- quantity (int | float) — Quantity of shares for limit order
- trigger_price (float) — Trigger price for this order
- limit_price (float) — Limit price to fill this order
- tag (str, optional) — String tag for the order (optional)
- order_properties (IOrderProperties, optional)
The order ticket instance.
limit_order(symbol, quantity, limit_price, tag=, order_properties=None)[source]Send a limit order to the transaction handler:
- symbol (Symbol) — String symbol for the asset
- quantity (int | float) — Quantity of shares for limit order
- limit_price (float) — Limit price to fill this order
- tag (str, optional) — String tag for the order (optional)
- order_properties (IOrderProperties, optional)
The order ticket instance.
liquidate(symbol_to_liquidate=None, tag=Liquidated)[source]Liquidate all holdings and cancel open orders. Called at the end of day for tick-strategies.
- symbol_to_liquidate (Symbol, optional) — Symbols we wish to liquidate
- tag (str, optional) — Custom tag to know who is calling this.
Array of order ids for liquidated symbols
List[int]
market_on_close_order(symbol, quantity, tag=, order_properties=None)[source]Market on close order implementation: Send a market order when the exchange closes
- symbol (Symbol) — The symbol to be ordered
- quantity (int | float) — The number of shares to required
- tag (str, optional) — Place a custom order property or tag (e.g. indicator data).
- order_properties (IOrderProperties, optional)
The order ticket instance.
market_on_open_order(symbol, quantity, tag=, order_properties=None)[source]Market on open order implementation: Send a market order when the exchange opens
- symbol (Symbol) — The symbol to be ordered
- quantity (int | float) — The number of shares to required
- tag (str, optional) — Place a custom order property or tag (e.g. indicator data).
- order_properties (IOrderProperties, optional)
The order ticket instance.
market_order(symbol, quantity, asynchronous=False, tag=, order_properties=None)[source]Market order implementation: Send a market order and wait for it to be filled.
- symbol (Symbol) — Symbol of the MarketType Required.
- quantity (int | float) — Number of shares to request.
- asynchronous (bool, optional) — Send the order asynchronously (false). Otherwise we'll block until it fills
- tag (str, optional) — Place a custom order property or tag (e.g. indicator data).
- order_properties (IOrderProperties, optional)
The order ticket instance.
market_order(security, quantity, asynchronous=False, tag=, order_properties=None)[source]Market order implementation: Send a market order and wait for it to be filled.
- security (Security) — Symbol of the MarketType Required.
- quantity (float) — Number of shares to request.
- asynchronous (bool, optional) — Send the order asynchronously (false). Otherwise we'll block until it fills
- tag (str, optional) — Place a custom order property or tag (e.g. indicator data).
- order_properties (IOrderProperties, optional)
The order ticket instance.
on_assignment_order_event(assignment_event)[source]Option assignment event handler. On an option assignment event for short legs the resulting information is passed to this method.
- assignment_event (OrderEvent) — Option exercise event details containing details of the assignment
on_order_event(order_event)[source]Order fill event handler. On an order fill update the resulting information is passed to this method.
- order_event (OrderEvent) — Order event details containing details of the events
order(strategy, quantity, asynchronous=False, tag=, order_properties=None)[source]Issue an order/trade for asset: Alias wrapper for Order(string, int);
- strategy (OptionStrategy) — Specification of the strategy to trade
- quantity (int) — Quantity of the strategy to trade
- asynchronous (bool, optional) — Send the order asynchronously (false). Otherwise we'll block until it fills
- tag (str, optional) — String tag for the order (optional)
- order_properties (IOrderProperties, optional)
Sequence of order tickets
List[OrderTicket]
order(symbol, quantity, asynchronous=False, tag=, order_properties=None)[source]Issue an order/trade for asset: Alias wrapper for Order(string, int);
- symbol (Symbol) — Symbol of the MarketType Required.
- quantity (int | float) — Number of shares to request.
- asynchronous (bool, optional) — Send the order asynchronously (false). Otherwise we'll block until it fills
- tag (str, optional) — Place a custom order property or tag (e.g. indicator data).
- order_properties (IOrderProperties, optional)
The order ticket instance.
sell(strategy, quantity, asynchronous=False, tag=, order_properties=None)[source]Sell stock (alias of Order)
- strategy (OptionStrategy) — Specification of the strategy to trade
- quantity (int) — Quantity of the strategy to trade
- asynchronous (bool, optional) — Send the order asynchronously (false). Otherwise we'll block until it fills
- tag (str, optional) — String tag for the order (optional)
- order_properties (IOrderProperties, optional)
Sequence of order tickets
List[OrderTicket]
sell(symbol, quantity)[source]Sell stock (alias of Order)
- symbol (Symbol) — string Symbol of the asset to trade
- quantity (int | float) — int Quantity of the asset to trade
The order ticket instance.
set_benchmark(benchmark)[source]Sets the benchmark used for computing statistics of the algorithm to the specified symbol
- benchmark (PyObject | 0, Culture=neutral, PublicKeyToken=7cec85d7bea7798e]]) — The benchmark producing function
set_benchmark(ticker)[source]Sets the benchmark used for computing statistics of the algorithm to the specified symbol
- ticker (str) — Ticker to use as the benchmark
set_benchmark(symbol)[source]Sets the benchmark used for computing statistics of the algorithm to the specified symbol
- symbol (Symbol) — symbol to use as the benchmark
set_holdings(symbol, percentage, liquidate_existing_holdings=False, tag=, order_properties=None)[source]Sets holdings for a collection of targets. The implementation will order the provided targets executing first those that reduce a position, freeing margin.
- symbol (Symbol) — string symbol we wish to hold
- percentage (int | float) — double percentage of holdings desired
- liquidate_existing_holdings (bool, optional) — liquidate existing holdings if necessary to hold this stock
- tag (str, optional) — Tag the order with a short string.
- order_properties (IOrderProperties, optional)
set_holdings(targets, liquidate_existing_holdings=False, tag=, order_properties=None)[source]Sets holdings for a collection of targets. The implementation will order the provided targets executing first those that reduce a position, freeing margin.
- targets (List[PortfolioTarget]) — The portfolio desired quantities as percentages
- liquidate_existing_holdings (bool, optional) — True will liquidate existing holdings
- tag (str, optional) — Tag the order with a short string.
- order_properties (IOrderProperties, optional)
set_maximum_orders(max)[source]Maximum number of orders for the algorithm
- max (int)
set_trade_builder(trade_builder)[source]Set the ITradeBuilder implementation to generate trades from executions and market price updates
- trade_builder (ITradeBuilder)
shortable(symbol, short_quantity, update_order_id=None)[source]Determines if the Symbol is shortable at the brokerage
- symbol (Symbol) — Symbol to check if shortable
- short_quantity (float) — Order's quantity to check if it is currently shortable, taking into account current holdings and open orders
- update_order_id (int, optional) — Optionally the id of the order being updated. When updating an order we want to ignore it's submitted short quantity and use the new provided quantity to determine if we can perform the update
True if the symbol can be shorted by the requested quantity
bool
shortable_quantity(symbol)[source]Gets the quantity shortable for the given asset
- symbol (Symbol)
Quantity shortable for the given asset. Zero if not shortable, or a number greater than zero if shortable.
int
stop_limit_order(symbol, quantity, stop_price, limit_price, tag=, order_properties=None)[source]Send a stop limit order to the transaction handler:
- symbol (Symbol) — String symbol for the asset
- quantity (int | float) — Quantity of shares for limit order
- stop_price (float) — Stop price for this order
- limit_price (float) — Limit price to fill this order
- tag (str, optional) — String tag for the order (optional)
- order_properties (IOrderProperties, optional)
The order ticket instance.
stop_market_order(symbol, quantity, stop_price, tag=, order_properties=None)[source]Create a stop market order and return the newly created order id; or negative if the order is invalid
- symbol (Symbol) — String symbol for the asset we're trading
- quantity (int | float) — Quantity to be traded
- stop_price (float) — Price to fill the stop order
- tag (str, optional) — Optional string data tag for the order
- order_properties (IOrderProperties, optional)
The order ticket instance.
submit_order_request(request)[source]Will submit an order request to the algorithm
- request (SubmitOrderRequest) — The request to submit
The order ticket
trailing_stop_order(symbol, quantity, stop_price, trailing_amount, trailing_as_percentage, tag=, order_properties=None)[source]Create a trailing stop order and return the newly created order id; or negative if the order is invalid. It will calculate the stop price using the trailing amount and the current market price.
- symbol (Symbol) — Trading asset symbol
- quantity (int | float) — Quantity to be traded
- stop_price (float) — Initial stop price at which the order should be triggered
- trailing_amount (float) — The trailing amount to be used to update the stop price
- trailing_as_percentage (bool) — is a percentage or an absolute currency value
- tag (str, optional) — is a percentage or an absolute currency value
- order_properties (IOrderProperties, optional) — Optional string data tag for the order
The order ticket instance.
Benchmark
Benchmark
IBenchmark
Gets the default order properties
Gets the default order properties
IOrderProperties
Gets the Trade Builder to generate trades from executions
Gets the Trade Builder to generate trades from executions
ITradeBuilder
Transaction Manager - Process transaction fills and order management.
Transaction Manager - Process transaction fills and order management.
Universes
Universes
add_universe(t, security_type, name, resolution, market, universe_settings, selector)[source]Adds a new universe selection model
- t (PyObject) — The data type
- security_type (SecurityType) — The security type the universe produces
- name (str) — A unique name for this universe
- resolution (0, Culture=neutral, PublicKeyToken=null]] | Resolution) — The expected resolution of the universe data
- market (str) — The market for selected symbols
- universe_settings (UniverseSettings) — The subscription settings to use for newly created subscriptions
- selector (PyObject | 0, Culture=neutral, PublicKeyToken=7cec85d7bea7798e]]) — Function delegate that performs selection on the universe data
add_universe(data_type, security_type, name, resolution, market, universe_settings, py_selector)[source]Adds a new universe selection model
- data_type (Type) — The data type
- security_type (0, Culture=neutral, PublicKeyToken=null]] | SecurityType) — The security type the universe produces
- name (str) — A unique name for this universe
- resolution (0, Culture=neutral, PublicKeyToken=null]] | Resolution) — The expected resolution of the universe data
- market (str) — The market for selected symbols
- universe_settings (UniverseSettings) — The subscription settings to use for newly created subscriptions
- py_selector (PyObject) — Function delegate that performs selection on the universe data
add_universe(date_rule, selector)[source]Adds a new universe selection model
- date_rule (IDateRule)
- selector (0, Culture=neutral, PublicKeyToken=7cec85d7bea7798e]]) — Defines an initial coarse selection
add_universe(coarse_selector, fine_selector)[source]Adds a new universe selection model
- coarse_selector (Callable[List[CoarseFundamental], List[Symbol]]) — Defines an initial coarse selection
- fine_selector (Callable[List[FineFundamental], List[Symbol]]) — Defines a more detailed selection with access to more data
add_universe(universe, fine_selector)[source]Adds a new universe selection model
- universe (Universe) — The universe to be filtered with fine fundamental selection
- fine_selector (Callable[List[Fundamental], List[Symbol]]) — Defines a more detailed selection with access to more data
add_universe(py_object, pyfine)[source]Adds a new universe selection model
- py_object (PyObject) — Defines an initial coarse selection or a universe
- pyfine (PyObject) — Defines a more detailed selection with access to more data
add_universe_options(underlying_symbol, option_filter)[source]Creates a new universe selection model and adds it to the algorithm. This universe selection model will chain to the security changes of a given Universe selection output and create a new
- underlying_symbol (Symbol) — Underlying Symbol to add as an option. For Futures, the option chain constructed will be per-contract, as long as a canonical Symbol is provided.
- option_filter (Callable[OptionFilterUniverse, OptionFilterUniverse]) — User-defined filter used to select the options we want out of the option chain provided.
add_universe_options(universe, option_filter)[source]Creates a new universe selection model and adds it to the algorithm. This universe selection model will chain to the security changes of a given Universe selection output and create a new
- universe (PyObject | Universe) — The universe we want to chain an option universe selection model too
- option_filter (0, Culture=neutral, PublicKeyToken=null]] | PyObject) — The option filter universe to use
Gets a helper that provides pre-defined universe definitions, such as top dollar volume
Gets a helper that provides pre-defined universe definitions, such as top dollar volume
Gets universe manager which holds universes keyed by their symbol
Gets universe manager which holds universes keyed by their symbol
Gets the universe settings to be used when adding securities via universe selection
Gets the universe settings to be used when adding securities via universe selection
Types
AccountType
Account type: margin or cash
CASHMARGINAlgorithmMode
Represents the deployment modes of an algorithm
BACKTESTINGLIVEOPTIMIZATIONRESEARCHAlgorithmStatus
States of a live deployment.
COMPLETEDAlgorithm completed running (6)
Algorithm completed running (6)
DELETEDDEPLOY_ERRORError compiling algorithm at start (0)
Error compiling algorithm at start (0)
HISTORYINITIALIZINGThe algorithm is initializing (10)
The algorithm is initializing (10)
INVALIDError in the algorithm id (not used) (8)
Error in the algorithm id (not used) (8)
IN_QUEUELIQUIDATEDLOGGING_INThe algorithm is logging into the brokerage (9)
The algorithm is logging into the brokerage (9)
RUNNINGRUNTIME_ERRORRuntime Error Stoped Algorithm (7)
Runtime Error Stoped Algorithm (7)
STOPPEDStopped algorithm or exited with runtime errors (3)
Stopped algorithm or exited with runtime errors (3)
BrokerageMessageEvent
Represents a message received from a brokerage
codeGets the brokerage specific code for this message, zero if no code was specified
Gets the brokerage specific code for this message, zero if no code was specified
str
messageGets the message text received from the brokerage
Gets the message text received from the brokerage
str
typeGets the type of brokerage message
Gets the type of brokerage message
BrokerageMessageType
BrokerageName
Specifices what transaction model and submit/execution rules to use
ALPACATransaction and submit/execution rules will use alpaca models
Transaction and submit/execution rules will use alpaca models
ALPHA_STREAMSTransaction and submit/execution rules will use AlphaStream models
Transaction and submit/execution rules will use AlphaStream models
ATREYUTransaction and submit/execution rules will use atreyu models
Transaction and submit/execution rules will use atreyu models
AXOSTransaction and submit/execution rules will use Axos models
Transaction and submit/execution rules will use Axos models
BINANCETransaction and submit/execution rules will use binance models
Transaction and submit/execution rules will use binance models
BINANCE_COIN_FUTURESBinance Futures COIN-Margined contracts are settled and collateralized in their based cryptocurrency.
Binance Futures COIN-Margined contracts are settled and collateralized in their based cryptocurrency.
BINANCE_FUTURESBinance Futures USDⓈ-Margined contracts are settled and collateralized in their quote cryptocurrency, USDT or BUSD
Binance Futures USDⓈ-Margined contracts are settled and collateralized in their quote cryptocurrency, USDT or BUSD
BINANCE_USTransaction and submit/execution rules will use Binance.US models
Transaction and submit/execution rules will use Binance.US models
BITFINEXTransaction and submit/execution rules will use bitfinex models
Transaction and submit/execution rules will use bitfinex models
BYBITTransaction and submit/execution rules will use Bybit models
Transaction and submit/execution rules will use Bybit models
COINBASETransaction and submit/execution rules will use Coinbase broker's model
Transaction and submit/execution rules will use Coinbase broker's model
DEFAULTTransaction and submit/execution rules will be the default as initialized
Transaction and submit/execution rules will be the default as initialized
EXANTETransaction and submit/execution rules will use Exante models
Transaction and submit/execution rules will use Exante models
EZETransaction and submit/execution rules will use Eze models
Transaction and submit/execution rules will use Eze models
FTXTransaction and submit/execution rules will use ftx models
Transaction and submit/execution rules will use ftx models
FTXUSTransaction and submit/execution rules will use ftx us models
Transaction and submit/execution rules will use ftx us models
FXCM_BROKERAGETransaction and submit/execution rules will use fxcm models
Transaction and submit/execution rules will use fxcm models
INTERACTIVE_BROKERS_BROKERAGETransaction and submit/execution rules will use interactive brokers models
Transaction and submit/execution rules will use interactive brokers models
KRAKENTransaction and submit/execution rules will use Kraken models
Transaction and submit/execution rules will use Kraken models
OANDA_BROKERAGETransaction and submit/execution rules will use oanda models
Transaction and submit/execution rules will use oanda models
QUANT_CONNECT_BROKERAGETransaction and submit/execution rules will be the default as initialized Alternate naming for default brokerage
Transaction and submit/execution rules will be the default as initialized Alternate naming for default brokerage
RBITransaction and submit/execution rules will use RBI models
Transaction and submit/execution rules will use RBI models
SAMCOTransaction and submit/execution rules will use Samco models
Transaction and submit/execution rules will use Samco models
TD_AMERITRADETransaction and submit/execution rules will use TDameritrade models
Transaction and submit/execution rules will use TDameritrade models
TRADIER_BROKERAGETransaction and submit/execution rules will use tradier models
Transaction and submit/execution rules will use tradier models
TRADING_TECHNOLOGIESTransaction and submit/execution rules will use TradingTechnologies models
Transaction and submit/execution rules will use TradingTechnologies models
WOLVERINETransaction and submit/execution rules will use Wolverine models
Transaction and submit/execution rules will use Wolverine models
ZERODHATransaction and submit/execution rules will use Zerodha models
Transaction and submit/execution rules will use Zerodha models
Cfd
CFD Security Object Implementation for CFD Assets
clear()Removes every custom property that had been set.
get_last_data()Get the last price update set to the security if any else null
BaseData
refresh_data_normalization_mode_property()This method will refresh the value of the DataNormalizationMode property. This is required for backward-compatibility. TODO: to be deleted with the DataNormalizationMode property
set_buying_power_model(buying_power_model)Sets the buying power model
- buying_power_model (IBuyingPowerModel)
set_buying_power_model(py_object)Sets the buying power model
- py_object (PyObject)
set_data_filter(py_object)Set Security Data Filter
- py_object (PyObject)
set_data_filter(data_filter)Set Security Data Filter
- data_filter (ISecurityDataFilter)
set_fee_model(feel_model)Sets the fee model
- feel_model (IFeeModel | PyObject)
set_fill_model(fill_model)Sets the fill model
- fill_model (PyObject | IFillModel)
set_leverage(leverage)Set the leverage parameter for this security
- leverage (float)
set_local_time_keeper(local_time_keeper)Sets the LocalTimeKeeper to be used for this
- local_time_keeper (LocalTimeKeeper)
set_margin_interest_rate_model(margin_interest_rate_model)Sets the margin interests rate model
- margin_interest_rate_model (IMarginInterestRateModel)
set_margin_interest_rate_model(py_object)Sets the margin interests rate model
- py_object (PyObject)
set_margin_model(py_object)Sets the margin model
- py_object (PyObject)
set_margin_model(margin_model)Sets the margin model
- margin_model (IBuyingPowerModel)
set_market_price(data)Update any security properties based on the latest market data and time
- data (BaseData)
set_settlement_model(settlement_model)Sets the settlement model
- settlement_model (PyObject | ISettlementModel)
set_shortable_provider(py_object)set_shortable_provider(shortable_provider)set_slippage_model(slippage_model)Sets the slippage model
- slippage_model (PyObject | ISlippageModel)
set_volatility_model(volatility_model)Sets the volatility model
- volatility_model (PyObject | IVolatilityModel)
update(data, data_type, contains_fill_forward_data=None)Updates all of the security properties, such as price/OHLCV/bid/ask based on the data provided. Data is also stored into the security's data cache
- data (IReadOnlyList[BaseData])
- data_type (Type)
- contains_fill_forward_data (bool, optional)
ask_priceGets the most recent ask price if available
Gets the most recent ask price if available
float
ask_sizeGets the most recent ask size if available
Gets the most recent ask size if available
float
bid_priceGets the most recent bid price if available
Gets the most recent bid price if available
float
bid_sizeGets the most recent bid size if available
Gets the most recent bid size if available
float
buying_power_modelGets the buying power model used for this security
Gets the buying power model used for this security
IBuyingPowerModel
cacheData cache for the security to store previous price information.
Data cache for the security to store previous price information.
SecurityCache
closeIf this uses tradebar data, return the most recent close.
If this uses tradebar data, return the most recent close.
float
contract_multiplierGets the contract multiplier for this CFD security
Gets the contract multiplier for this CFD security
float
dataProvides dynamic access to data in the cache
Provides dynamic access to data in the cache
object
data_filterCustomizable data filter to filter outlier ticks before they are passed into user event handlers. By default all ticks are passed into the user algorithms.
Customizable data filter to filter outlier ticks before they are passed into user event handlers. By default all ticks are passed into the user algorithms.
ISecurityDataFilter
exchangeExchange class contains the market opening hours, along with pre-post market hours.
Exchange class contains the market opening hours, along with pre-post market hours.
SecurityExchange
fee_modelFee model used to compute order fees for this security
Fee model used to compute order fees for this security
IFeeModel
fill_modelFill model used to produce fill events for this security
Fill model used to produce fill events for this security
IFillModel
fundamentalsGets the fundamental data associated with the security if there is any, otherwise null.
Gets the fundamental data associated with the security if there is any, otherwise null.
has_dataThere has been at least one datapoint since our algorithm started running for us to determine price.
There has been at least one datapoint since our algorithm started running for us to determine price.
bool
highIf this uses tradebar data, return the most recent high.
If this uses tradebar data, return the most recent high.
float
hold_stockRead only property that checks if we currently own stock in the company.
Read only property that checks if we currently own stock in the company.
bool
holdingsHoldings class contains the portfolio, cash and processes order fills.
Holdings class contains the portfolio, cash and processes order fills.
SecurityHolding
investedAlias for HoldStock - Do we have any of this security
Alias for HoldStock - Do we have any of this security
bool
is_delistedTrue if the security has been delisted from exchanges and is no longer tradable
True if the security has been delisted from exchanges and is no longer tradable
bool
is_tradableGets or sets whether or not this security should be considered tradable
Gets or sets whether or not this security should be considered tradable
bool
itemGets or sets the specified custom property through the indexer. This is a wrapper around the String) and
Gets or sets the specified custom property through the indexer. This is a wrapper around the String) and
object
leverageLeverage for this Security.
Leverage for this Security.
float
local_timeLocal time for this market
Local time for this market
datetime
lowIf this uses tradebar data, return the most recent low.
If this uses tradebar data, return the most recent low.
float
margin_interest_rate_modelGets or sets the margin interest rate model
Gets or sets the margin interest rate model
IMarginInterestRateModel
margin_modelGets the buying power model used for this security, an alias for BuyingPowerModel
Gets the buying power model used for this security, an alias for BuyingPowerModel
IBuyingPowerModel
minimum_price_variationGets the minimum price variation for this CFD security
Gets the minimum price variation for this CFD security
float
openIf this uses tradebar data, return the most recent open.
If this uses tradebar data, return the most recent open.
float
open_interestAccess to the open interest of the security today
Access to the open interest of the security today
int
portfolio_modelGets the portfolio model used by this security
Gets the portfolio model used by this security
ISecurityPortfolioModel
priceGet the current value of the security.
Get the current value of the security.
float
price_variation_modelCustomizable price variation model used to define the minimum price variation of this security. By default minimum price variation is a constant find in the symbol-properties-database.
Customizable price variation model used to define the minimum price variation of this security. By default minimum price variation is a constant find in the symbol-properties-database.
IPriceVariationModel
quote_currencyGets the Cash object used for converting the quote currency to the account currency
Gets the Cash object used for converting the quote currency to the account currency
Cash
settlement_modelGets the settlement model used for this security
Gets the settlement model used for this security
ISettlementModel
shortable_providerThis securities IShortableProvider
This securities IShortableProvider
IintableProvider
slippage_modelSlippage model use to compute slippage of market orders
Slippage model use to compute slippage of market orders
ISlippageModel
subscriptionsGets all the subscriptions for this security
Gets all the subscriptions for this security
List[SubscriptionDataConfig]
symbolsymbol_propertiesGets the symbol properties for this security
Gets the symbol properties for this security
typevolatility_modelGets the volatility model used for this security
Gets the volatility model used for this security
IVolatilityModel
volumeAccess to the volume of the equity today
Access to the volume of the equity today
float
Chart
Single Parent Chart Object for Custom Charting
add_series(series)Add a reference to this chart series:
- series (BaseSeries)
clone()clone_empty()get_updates()Fetch a chart with only the updates since the last request, Underlying series will save the index position.
try_add_and_get_series(name, type, index, unit, color, symbol, force_add_new=False)Gets Series if already present in chart, else will add a new series and return it
- name (str)
- type (SeriesType)
- index (int)
- unit (str)
- color (Color)
- symbol (ScatterMarkerSymbol)
- force_add_new (bool, optional)
Series
try_add_and_get_series(name, template_series, force_add_new=False)Gets Series if already present in chart, else will add a new series and return it
- name (str)
- template_series (BaseSeries)
- force_add_new (bool, optional)
BaseSeries
legend_disabledTrue to hide this series legend from the chart
True to hide this series legend from the chart
bool
symbolAssociated symbol if any, making this an asset plot
Associated symbol if any, making this an asset plot
nameName of the Chart:
Name of the Chart:
str
seriesList of Series Objects for this Chart:
List of Series Objects for this Chart:
Dict[str, BaseSeries]
Crypto
Crypto Security Object Implementation for Crypto Assets
clear()Removes every custom property that had been set.
get_last_data()Get the last price update set to the security if any else null
BaseData
refresh_data_normalization_mode_property()This method will refresh the value of the DataNormalizationMode property. This is required for backward-compatibility. TODO: to be deleted with the DataNormalizationMode property
set_buying_power_model(buying_power_model)Sets the buying power model
- buying_power_model (IBuyingPowerModel)
set_buying_power_model(py_object)Sets the buying power model
- py_object (PyObject)
set_data_filter(py_object)Set Security Data Filter
- py_object (PyObject)
set_data_filter(data_filter)Set Security Data Filter
- data_filter (ISecurityDataFilter)
set_fee_model(feel_model)Sets the fee model
- feel_model (IFeeModel | PyObject)
set_fill_model(fill_model)Sets the fill model
- fill_model (PyObject | IFillModel)
set_leverage(leverage)Set the leverage parameter for this security
- leverage (float)
set_local_time_keeper(local_time_keeper)Sets the LocalTimeKeeper to be used for this
- local_time_keeper (LocalTimeKeeper)
set_margin_interest_rate_model(margin_interest_rate_model)Sets the margin interests rate model
- margin_interest_rate_model (IMarginInterestRateModel)
set_margin_interest_rate_model(py_object)Sets the margin interests rate model
- py_object (PyObject)
set_margin_model(py_object)Sets the margin model
- py_object (PyObject)
set_margin_model(margin_model)Sets the margin model
- margin_model (IBuyingPowerModel)
set_market_price(data)Update any security properties based on the latest market data and time
- data (BaseData)
set_settlement_model(settlement_model)Sets the settlement model
- settlement_model (PyObject | ISettlementModel)
set_shortable_provider(py_object)set_shortable_provider(shortable_provider)set_slippage_model(slippage_model)Sets the slippage model
- slippage_model (PyObject | ISlippageModel)
set_volatility_model(volatility_model)Sets the volatility model
- volatility_model (PyObject | IVolatilityModel)
update(data, data_type, contains_fill_forward_data=None)Updates all of the security properties, such as price/OHLCV/bid/ask based on the data provided. Data is also stored into the security's data cache
- data (IReadOnlyList[BaseData])
- data_type (Type)
- contains_fill_forward_data (bool, optional)
ask_priceGets the most recent ask price if available
Gets the most recent ask price if available
float
ask_sizeGets the most recent ask size if available
Gets the most recent ask size if available
float
base_currencyGets the currency acquired by going long this currency pair
Gets the currency acquired by going long this currency pair
Cash
bid_priceGets the most recent bid price if available
Gets the most recent bid price if available
float
bid_sizeGets the most recent bid size if available
Gets the most recent bid size if available
float
buying_power_modelGets the buying power model used for this security
Gets the buying power model used for this security
IBuyingPowerModel
cacheData cache for the security to store previous price information.
Data cache for the security to store previous price information.
SecurityCache
closeIf this uses tradebar data, return the most recent close.
If this uses tradebar data, return the most recent close.
float
dataProvides dynamic access to data in the cache
Provides dynamic access to data in the cache
object
data_filterCustomizable data filter to filter outlier ticks before they are passed into user event handlers. By default all ticks are passed into the user algorithms.
Customizable data filter to filter outlier ticks before they are passed into user event handlers. By default all ticks are passed into the user algorithms.
ISecurityDataFilter
exchangeExchange class contains the market opening hours, along with pre-post market hours.
Exchange class contains the market opening hours, along with pre-post market hours.
SecurityExchange
fee_modelFee model used to compute order fees for this security
Fee model used to compute order fees for this security
IFeeModel
fill_modelFill model used to produce fill events for this security
Fill model used to produce fill events for this security
IFillModel
fundamentalsGets the fundamental data associated with the security if there is any, otherwise null.
Gets the fundamental data associated with the security if there is any, otherwise null.
has_dataThere has been at least one datapoint since our algorithm started running for us to determine price.
There has been at least one datapoint since our algorithm started running for us to determine price.
bool
highIf this uses tradebar data, return the most recent high.
If this uses tradebar data, return the most recent high.
float
hold_stockRead only property that checks if we currently own stock in the company.
Read only property that checks if we currently own stock in the company.
bool
holdingsHoldings class contains the portfolio, cash and processes order fills.
Holdings class contains the portfolio, cash and processes order fills.
SecurityHolding
investedAlias for HoldStock - Do we have any of this security
Alias for HoldStock - Do we have any of this security
bool
is_delistedTrue if the security has been delisted from exchanges and is no longer tradable
True if the security has been delisted from exchanges and is no longer tradable
bool
is_tradableGets or sets whether or not this security should be considered tradable
Gets or sets whether or not this security should be considered tradable
bool
itemGets or sets the specified custom property through the indexer. This is a wrapper around the String) and
Gets or sets the specified custom property through the indexer. This is a wrapper around the String) and
object
leverageLeverage for this Security.
Leverage for this Security.
float
local_timeLocal time for this market
Local time for this market
datetime
lowIf this uses tradebar data, return the most recent low.
If this uses tradebar data, return the most recent low.
float
margin_interest_rate_modelGets or sets the margin interest rate model
Gets or sets the margin interest rate model
IMarginInterestRateModel
margin_modelGets the buying power model used for this security, an alias for BuyingPowerModel
Gets the buying power model used for this security, an alias for BuyingPowerModel
IBuyingPowerModel
openIf this uses tradebar data, return the most recent open.
If this uses tradebar data, return the most recent open.
float
open_interestAccess to the open interest of the security today
Access to the open interest of the security today
int
portfolio_modelGets the portfolio model used by this security
Gets the portfolio model used by this security
ISecurityPortfolioModel
priceGet the current value of the security.
Get the current value of the security.
float
price_variation_modelCustomizable price variation model used to define the minimum price variation of this security. By default minimum price variation is a constant find in the symbol-properties-database.
Customizable price variation model used to define the minimum price variation of this security. By default minimum price variation is a constant find in the symbol-properties-database.
IPriceVariationModel
quote_currencyGets the Cash object used for converting the quote currency to the account currency
Gets the Cash object used for converting the quote currency to the account currency
Cash
settlement_modelGets the settlement model used for this security
Gets the settlement model used for this security
ISettlementModel
shortable_providerThis securities IShortableProvider
This securities IShortableProvider
IintableProvider
slippage_modelSlippage model use to compute slippage of market orders
Slippage model use to compute slippage of market orders
ISlippageModel
subscriptionsGets all the subscriptions for this security
Gets all the subscriptions for this security
List[SubscriptionDataConfig]
symbolsymbol_propertiesGets the symbol properties for this security
Gets the symbol properties for this security
typevolatility_modelGets the volatility model used for this security
Gets the volatility model used for this security
IVolatilityModel
volumeAccess to the volume of the equity today
Access to the volume of the equity today
float
CryptoFuture
Crypto Future Security Object Implementation for Crypto Future Assets
clear()Removes every custom property that had been set.
get_last_data()Get the last price update set to the security if any else null
BaseData
is_crypto_coin_future()Checks whether the security is a crypto coin future
bool
refresh_data_normalization_mode_property()This method will refresh the value of the DataNormalizationMode property. This is required for backward-compatibility. TODO: to be deleted with the DataNormalizationMode property
set_buying_power_model(buying_power_model)Sets the buying power model
- buying_power_model (IBuyingPowerModel)
set_buying_power_model(py_object)Sets the buying power model
- py_object (PyObject)
set_data_filter(py_object)Set Security Data Filter
- py_object (PyObject)
set_data_filter(data_filter)Set Security Data Filter
- data_filter (ISecurityDataFilter)
set_fee_model(feel_model)Sets the fee model
- feel_model (IFeeModel | PyObject)
set_fill_model(fill_model)Sets the fill model
- fill_model (PyObject | IFillModel)
set_leverage(leverage)Set the leverage parameter for this security
- leverage (float)
set_local_time_keeper(local_time_keeper)Sets the LocalTimeKeeper to be used for this
- local_time_keeper (LocalTimeKeeper)
set_margin_interest_rate_model(margin_interest_rate_model)Sets the margin interests rate model
- margin_interest_rate_model (IMarginInterestRateModel)
set_margin_interest_rate_model(py_object)Sets the margin interests rate model
- py_object (PyObject)
set_margin_model(py_object)Sets the margin model
- py_object (PyObject)
set_margin_model(margin_model)Sets the margin model
- margin_model (IBuyingPowerModel)
set_market_price(data)Update any security properties based on the latest market data and time
- data (BaseData)
set_settlement_model(settlement_model)Sets the settlement model
- settlement_model (PyObject | ISettlementModel)
set_shortable_provider(py_object)set_shortable_provider(shortable_provider)set_slippage_model(slippage_model)Sets the slippage model
- slippage_model (PyObject | ISlippageModel)
set_volatility_model(volatility_model)Sets the volatility model
- volatility_model (PyObject | IVolatilityModel)
update(data, data_type, contains_fill_forward_data=None)Updates all of the security properties, such as price/OHLCV/bid/ask based on the data provided. Data is also stored into the security's data cache
- data (IReadOnlyList[BaseData])
- data_type (Type)
- contains_fill_forward_data (bool, optional)
ask_priceGets the most recent ask price if available
Gets the most recent ask price if available
float
ask_sizeGets the most recent ask size if available
Gets the most recent ask size if available
float
base_currencyGets the currency acquired by going long this currency pair
Gets the currency acquired by going long this currency pair
Cash
bid_priceGets the most recent bid price if available
Gets the most recent bid price if available
float
bid_sizeGets the most recent bid size if available
Gets the most recent bid size if available
float
buying_power_modelGets the buying power model used for this security
Gets the buying power model used for this security
IBuyingPowerModel
cacheData cache for the security to store previous price information.
Data cache for the security to store previous price information.
SecurityCache
closeIf this uses tradebar data, return the most recent close.
If this uses tradebar data, return the most recent close.
float
dataProvides dynamic access to data in the cache
Provides dynamic access to data in the cache
object
data_filterCustomizable data filter to filter outlier ticks before they are passed into user event handlers. By default all ticks are passed into the user algorithms.
Customizable data filter to filter outlier ticks before they are passed into user event handlers. By default all ticks are passed into the user algorithms.
ISecurityDataFilter
exchangeExchange class contains the market opening hours, along with pre-post market hours.
Exchange class contains the market opening hours, along with pre-post market hours.
SecurityExchange
fee_modelFee model used to compute order fees for this security
Fee model used to compute order fees for this security
IFeeModel
fill_modelFill model used to produce fill events for this security
Fill model used to produce fill events for this security
IFillModel
fundamentalsGets the fundamental data associated with the security if there is any, otherwise null.
Gets the fundamental data associated with the security if there is any, otherwise null.
has_dataThere has been at least one datapoint since our algorithm started running for us to determine price.
There has been at least one datapoint since our algorithm started running for us to determine price.
bool
highIf this uses tradebar data, return the most recent high.
If this uses tradebar data, return the most recent high.
float
hold_stockRead only property that checks if we currently own stock in the company.
Read only property that checks if we currently own stock in the company.
bool
holdingsHoldings class contains the portfolio, cash and processes order fills.
Holdings class contains the portfolio, cash and processes order fills.
SecurityHolding
investedAlias for HoldStock - Do we have any of this security
Alias for HoldStock - Do we have any of this security
bool
is_delistedTrue if the security has been delisted from exchanges and is no longer tradable
True if the security has been delisted from exchanges and is no longer tradable
bool
is_tradableGets or sets whether or not this security should be considered tradable
Gets or sets whether or not this security should be considered tradable
bool
itemGets or sets the specified custom property through the indexer. This is a wrapper around the String) and
Gets or sets the specified custom property through the indexer. This is a wrapper around the String) and
object
leverageLeverage for this Security.
Leverage for this Security.
float
local_timeLocal time for this market
Local time for this market
datetime
lowIf this uses tradebar data, return the most recent low.
If this uses tradebar data, return the most recent low.
float
margin_interest_rate_modelGets or sets the margin interest rate model
Gets or sets the margin interest rate model
IMarginInterestRateModel
margin_modelGets the buying power model used for this security, an alias for BuyingPowerModel
Gets the buying power model used for this security, an alias for BuyingPowerModel
IBuyingPowerModel
openIf this uses tradebar data, return the most recent open.
If this uses tradebar data, return the most recent open.
float
open_interestAccess to the open interest of the security today
Access to the open interest of the security today
int
portfolio_modelGets the portfolio model used by this security
Gets the portfolio model used by this security
ISecurityPortfolioModel
priceGet the current value of the security.
Get the current value of the security.
float
price_variation_modelCustomizable price variation model used to define the minimum price variation of this security. By default minimum price variation is a constant find in the symbol-properties-database.
Customizable price variation model used to define the minimum price variation of this security. By default minimum price variation is a constant find in the symbol-properties-database.
IPriceVariationModel
quote_currencyGets the Cash object used for converting the quote currency to the account currency
Gets the Cash object used for converting the quote currency to the account currency
Cash
settlement_modelGets the settlement model used for this security
Gets the settlement model used for this security
ISettlementModel
shortable_providerThis securities IShortableProvider
This securities IShortableProvider
IintableProvider
slippage_modelSlippage model use to compute slippage of market orders
Slippage model use to compute slippage of market orders
ISlippageModel
subscriptionsGets all the subscriptions for this security
Gets all the subscriptions for this security
List[SubscriptionDataConfig]
symbolsymbol_propertiesGets the symbol properties for this security
Gets the symbol properties for this security
typevolatility_modelGets the volatility model used for this security
Gets the volatility model used for this security
IVolatilityModel
volumeAccess to the volume of the equity today
Access to the volume of the equity today
float
DateRules
Helper class used to provide better syntax when defining date rules
every(day)Specifies an event should fire on each of the specified days of week
- day (DayOfWeek)
IDateRule
every(days)Specifies an event should fire on each of the specified days of week
- days (DayOfWeek)
IDateRule
every_day(symbol)month_end(symbol, days_offset=0)Specifies an event should fire on the last of each month
- symbol (Symbol)
- days_offset (int, optional)
IDateRule
month_start(symbol, days_offset=0)Specifies an event should fire on the first of each month + offset
- symbol (Symbol)
- days_offset (int, optional)
IDateRule
on(year, month, day)Specifies an event should fire only on the specified day
- year (int)
- month (int)
- day (int)
IDateRule
on(dates)Specifies an event should fire only on the specified day
- dates (datetime)
IDateRule
set_default_time_zone(time_zone)Sets the default time zone
- time_zone (datetimeZone)
week_end(symbol, days_offset=0)Specifies an event should fire on Friday - offset
- symbol (Symbol)
- days_offset (int, optional)
IDateRule
week_start(symbol, days_offset=0)Specifies an event should fire on Monday + offset each week
- symbol (Symbol)
- days_offset (int, optional)
IDateRule
todaySpecifies an event should only fire today in the algorithm's time zone using _securities.UtcTime instead of 'start' since ScheduleManager backs it up a day
Specifies an event should only fire today in the algorithm's time zone using _securities.UtcTime instead of 'start' since ScheduleManager backs it up a day
IDateRule
tomorrowSpecifies an event should only fire tomorrow in the algorithm's time zone using _securities.UtcTime instead of 'start' since ScheduleManager backs it up a day
Specifies an event should only fire tomorrow in the algorithm's time zone using _securities.UtcTime instead of 'start' since ScheduleManager backs it up a day
IDateRule
Delistings
Collections of Delisting keyed by
add(key, value)add(item)Adds an item to the list.
- item (Dict[Symbol, Delisting])
clear()Removes all keys and values from the dictionary.
contains(item)Determines whether the list contains a specific value.
- item (Dict[Symbol, Delisting])
bool
contains_key(key)Determines whether the dictionary contains an element with the specified key.
- key (Symbol)
bool
copy()Creates a shallow copy of the dictionary.
PyDict
copy_to(array, array_index)Copies the elements of the list to an
- array (Dict`2)
- array_index (int)
fromkeys(sequence, value)Creates a new dictionary from the given sequence of elements.
- sequence (Symbol)
- value (Delisting)
PyDict
get(symbol, value)Returns the value for the specified Symbol if Symbol is in dictionary.
- symbol (Symbol)
- value (Delisting)
Delisting
get_enumerator()Returns an enumerator that iterates through the collection.
IEnumerator[Dict[Symbol, Delisting]]
get_value(key)items()Returns a view object that displays a list of dictionary's (Symbol, value) tuple pairs.
PyList
keys()Returns a view object that displays a list of all the Symbol objects in the dictionary
PyList
pop(symbol, default_value)Returns and removes an arbitrary element (Symbol, value) pair from the dictionary.
- symbol (Symbol)
- default_value (Delisting)
Delisting
popitem()Returns and removes an arbitrary element (Symbol, value) pair from the dictionary.
PyTuple
remove(item)Removes the first occurrence of a specific object from the list.
- item (Dict[Symbol, Delisting])
bool
remove(key)Removes the first occurrence of a specific object from the list.
- key (Symbol)
bool
setdefault(symbol, default_value)Returns the value of a Symbol (if the Symbol is in dictionary). If not, it inserts Symbol with a value to the dictionary.
- symbol (Symbol)
- default_value (Delisting)
Delisting
try_get_value(key, value)Gets the value associated with the specified key.
- key (Symbol)
- value (Delisting&)
bool
update(other)Updates the dictionary with the elements from the another dictionary object or from an iterable of Symbol/value pairs. The update() method adds element(s) to the dictionary if the Symbol is not in the dictionary.If the Symbol is in the dictionary, it updates the Symbol with the new value.
- other (PyObject)
values()Returns a view object that displays a list of all the values in the dictionary.
PyList
countGets the number of elements contained in the list.
Gets the number of elements contained in the list.
int
is_read_onlyGets a value indicating whether the list is read-only.
Gets a value indicating whether the list is read-only.
bool
itemGets or sets the Delisting with the specified ticker.
Gets or sets the Delisting with the specified ticker.
Delisting
keysGets a list containing the keys of the
Gets a list containing the keys of the
ICollection[Symbol]
timeGets or sets the time associated with this collection of data
Gets or sets the time associated with this collection of data
datetime
valuesGets a list containing the values in the
Gets a list containing the values in the
ICollection[Delisting]
DeploymentTarget
Represents the types deployment targets for algorithms
CLOUD_PLATFORMLOCAL_PLATFORMDividends
Collection of dividends keyed by Symbol
add(key, value)add(item)Adds an item to the list.
- item (Dict[Symbol, Dividend])
clear()Removes all keys and values from the dictionary.
contains(item)Determines whether the list contains a specific value.
- item (Dict[Symbol, Dividend])
bool
contains_key(key)Determines whether the dictionary contains an element with the specified key.
- key (Symbol)
bool
copy()Creates a shallow copy of the dictionary.
PyDict
copy_to(array, array_index)Copies the elements of the list to an
- array (Dict`2)
- array_index (int)
fromkeys(sequence, value)Creates a new dictionary from the given sequence of elements.
- sequence (Symbol)
- value (Dividend)
PyDict
get(symbol, value)Returns the value for the specified Symbol if Symbol is in dictionary.
- symbol (Symbol)
- value (Dividend)
Dividend
get_enumerator()Returns an enumerator that iterates through the collection.
IEnumerator[Dict[Symbol, Dividend]]
get_value(key)items()Returns a view object that displays a list of dictionary's (Symbol, value) tuple pairs.
PyList
keys()Returns a view object that displays a list of all the Symbol objects in the dictionary
PyList
pop(symbol, default_value)Returns and removes an arbitrary element (Symbol, value) pair from the dictionary.
- symbol (Symbol)
- default_value (Dividend)
Dividend
popitem()Returns and removes an arbitrary element (Symbol, value) pair from the dictionary.
PyTuple
remove(item)Removes the first occurrence of a specific object from the list.
- item (Dict[Symbol, Dividend])
bool
remove(key)Removes the first occurrence of a specific object from the list.
- key (Symbol)
bool
setdefault(symbol, default_value)Returns the value of a Symbol (if the Symbol is in dictionary). If not, it inserts Symbol with a value to the dictionary.
- symbol (Symbol)
- default_value (Dividend)
Dividend
try_get_value(key, value)Gets the value associated with the specified key.
bool
update(other)Updates the dictionary with the elements from the another dictionary object or from an iterable of Symbol/value pairs. The update() method adds element(s) to the dictionary if the Symbol is not in the dictionary.If the Symbol is in the dictionary, it updates the Symbol with the new value.
- other (PyObject)
values()Returns a view object that displays a list of all the values in the dictionary.
PyList
countGets the number of elements contained in the list.
Gets the number of elements contained in the list.
int
is_read_onlyGets a value indicating whether the list is read-only.
Gets a value indicating whether the list is read-only.
bool
itemGets or sets the Dividend with the specified ticker.
Gets or sets the Dividend with the specified ticker.
Dividend
keysGets a list containing the keys of the
Gets a list containing the keys of the
ICollection[Symbol]
timeGets or sets the time associated with this collection of data
Gets or sets the time associated with this collection of data
datetime
valuesGets a list containing the values in the
Gets a list containing the values in the
ICollection[Dividend]
Equity
Equity Security Type : Extension of the underlying Security class for equity specific behaviours.
clear()Removes every custom property that had been set.
get_last_data()Get the last price update set to the security if any else null
BaseData
refresh_data_normalization_mode_property()This method will refresh the value of the DataNormalizationMode property. This is required for backward-compatibility. TODO: to be deleted with the DataNormalizationMode property
set_buying_power_model(buying_power_model)Sets the buying power model
- buying_power_model (IBuyingPowerModel)
set_buying_power_model(py_object)Sets the buying power model
- py_object (PyObject)
set_data_filter(py_object)Set Security Data Filter
- py_object (PyObject)
set_data_filter(data_filter)Set Security Data Filter
- data_filter (ISecurityDataFilter)
set_data_normalization_mode(mode)Sets the data normalization mode to be used by this security
- mode (DataNormalizationMode)
set_fee_model(feel_model)Sets the fee model
- feel_model (IFeeModel | PyObject)
set_fill_model(fill_model)Sets the fill model
- fill_model (PyObject | IFillModel)
set_leverage(leverage)Set the leverage parameter for this security
- leverage (float)
set_local_time_keeper(local_time_keeper)Sets the LocalTimeKeeper to be used for this
- local_time_keeper (LocalTimeKeeper)
set_margin_interest_rate_model(margin_interest_rate_model)Sets the margin interests rate model
- margin_interest_rate_model (IMarginInterestRateModel)
set_margin_interest_rate_model(py_object)Sets the margin interests rate model
- py_object (PyObject)
set_margin_model(py_object)Sets the margin model
- py_object (PyObject)
set_margin_model(margin_model)Sets the margin model
- margin_model (IBuyingPowerModel)
set_market_price(data)Update any security properties based on the latest market data and time
- data (BaseData)
set_settlement_model(settlement_model)Sets the settlement model
- settlement_model (PyObject | ISettlementModel)
set_shortable_provider(py_object)set_shortable_provider(shortable_provider)set_slippage_model(slippage_model)Sets the slippage model
- slippage_model (PyObject | ISlippageModel)
set_volatility_model(volatility_model)Sets the volatility model
- volatility_model (PyObject | IVolatilityModel)
update(data, data_type, contains_fill_forward_data=None)Updates all of the security properties, such as price/OHLCV/bid/ask based on the data provided. Data is also stored into the security's data cache
- data (IReadOnlyList[BaseData])
- data_type (Type)
- contains_fill_forward_data (bool, optional)
ask_priceGets the most recent ask price if available
Gets the most recent ask price if available
float
ask_sizeGets the most recent ask size if available
Gets the most recent ask size if available
float
bid_priceGets the most recent bid price if available
Gets the most recent bid price if available
float
bid_sizeGets the most recent bid size if available
Gets the most recent bid size if available
float
buying_power_modelGets the buying power model used for this security
Gets the buying power model used for this security
IBuyingPowerModel
cacheData cache for the security to store previous price information.
Data cache for the security to store previous price information.
SecurityCache
closeIf this uses tradebar data, return the most recent close.
If this uses tradebar data, return the most recent close.
float
dataProvides dynamic access to data in the cache
Provides dynamic access to data in the cache
object
data_filterCustomizable data filter to filter outlier ticks before they are passed into user event handlers. By default all ticks are passed into the user algorithms.
Customizable data filter to filter outlier ticks before they are passed into user event handlers. By default all ticks are passed into the user algorithms.
ISecurityDataFilter
exchangeExchange class contains the market opening hours, along with pre-post market hours.
Exchange class contains the market opening hours, along with pre-post market hours.
SecurityExchange
fee_modelFee model used to compute order fees for this security
Fee model used to compute order fees for this security
IFeeModel
fill_modelFill model used to produce fill events for this security
Fill model used to produce fill events for this security
IFillModel
fundamentalsGets the fundamental data associated with the security if there is any, otherwise null.
Gets the fundamental data associated with the security if there is any, otherwise null.
has_dataThere has been at least one datapoint since our algorithm started running for us to determine price.
There has been at least one datapoint since our algorithm started running for us to determine price.
bool
highIf this uses tradebar data, return the most recent high.
If this uses tradebar data, return the most recent high.
float
hold_stockRead only property that checks if we currently own stock in the company.
Read only property that checks if we currently own stock in the company.
bool
holdingsHoldings class contains the portfolio, cash and processes order fills.
Holdings class contains the portfolio, cash and processes order fills.
SecurityHolding
investedAlias for HoldStock - Do we have any of this security
Alias for HoldStock - Do we have any of this security
bool
is_delistedTrue if the security has been delisted from exchanges and is no longer tradable
True if the security has been delisted from exchanges and is no longer tradable
bool
is_tradableGets or sets whether or not this security should be considered tradable
Gets or sets whether or not this security should be considered tradable
bool
itemGets or sets the specified custom property through the indexer. This is a wrapper around the String) and
Gets or sets the specified custom property through the indexer. This is a wrapper around the String) and
object
leverageLeverage for this Security.
Leverage for this Security.
float
local_timeLocal time for this market
Local time for this market
datetime
lowIf this uses tradebar data, return the most recent low.
If this uses tradebar data, return the most recent low.
float
margin_interest_rate_modelGets or sets the margin interest rate model
Gets or sets the margin interest rate model
IMarginInterestRateModel
margin_modelGets the buying power model used for this security, an alias for BuyingPowerModel
Gets the buying power model used for this security, an alias for BuyingPowerModel
IBuyingPowerModel
openIf this uses tradebar data, return the most recent open.
If this uses tradebar data, return the most recent open.
float
open_interestAccess to the open interest of the security today
Access to the open interest of the security today
int
portfolio_modelGets the portfolio model used by this security
Gets the portfolio model used by this security
ISecurityPortfolioModel
priceGet the current value of the security.
Get the current value of the security.
float
price_variation_modelCustomizable price variation model used to define the minimum price variation of this security. By default minimum price variation is a constant find in the symbol-properties-database.
Customizable price variation model used to define the minimum price variation of this security. By default minimum price variation is a constant find in the symbol-properties-database.
IPriceVariationModel
primary_exchangeEquity primary exchange.
Equity primary exchange.
Exchange
quote_currencyGets the Cash object used for converting the quote currency to the account currency
Gets the Cash object used for converting the quote currency to the account currency
Cash
settlement_modelGets the settlement model used for this security
Gets the settlement model used for this security
ISettlementModel
shortableChecks if the equity is a shortable asset. Note that this does not take into account any open orders or existing holdings. To check if the asset is currently shortable, use QCAlgorithm's ShortableQuantity property instead.
Checks if the equity is a shortable asset. Note that this does not take into account any open orders or existing holdings. To check if the asset is currently shortable, use QCAlgorithm's ShortableQuantity property instead.
bool
shortable_providerThis securities IShortableProvider
This securities IShortableProvider
IintableProvider
slippage_modelSlippage model use to compute slippage of market orders
Slippage model use to compute slippage of market orders
ISlippageModel
subscriptionsGets all the subscriptions for this security
Gets all the subscriptions for this security
List[SubscriptionDataConfig]
symbolsymbol_propertiesGets the symbol properties for this security
Gets the symbol properties for this security
total_shortable_quantityGets the total quantity shortable for this security. This does not take into account any open orders or existing holdings. To check the asset's currently shortable quantity, use QCAlgorithm's ShortableQuantity property instead.
Gets the total quantity shortable for this security. This does not take into account any open orders or existing holdings. To check the asset's currently shortable quantity, use QCAlgorithm's ShortableQuantity property instead.
int
typevolatility_modelGets the volatility model used for this security
Gets the volatility model used for this security
IVolatilityModel
volumeAccess to the volume of the equity today
Access to the volume of the equity today
float
DEFAULT_SETTLEMENT_DAYSThe default number of days required to settle an equity sale
The default number of days required to settle an equity sale
int
DEFAULT_SETTLEMENT_TIMEThe default time of day for settlement
The default time of day for settlement
timedelta
Forex
FOREX Security Object Implementation for FOREX Assets
clear()Removes every custom property that had been set.
get_last_data()Get the last price update set to the security if any else null
BaseData
refresh_data_normalization_mode_property()This method will refresh the value of the DataNormalizationMode property. This is required for backward-compatibility. TODO: to be deleted with the DataNormalizationMode property
set_buying_power_model(buying_power_model)Sets the buying power model
- buying_power_model (IBuyingPowerModel)
set_buying_power_model(py_object)Sets the buying power model
- py_object (PyObject)
set_data_filter(py_object)Set Security Data Filter
- py_object (PyObject)
set_data_filter(data_filter)Set Security Data Filter
- data_filter (ISecurityDataFilter)
set_fee_model(feel_model)Sets the fee model
- feel_model (IFeeModel | PyObject)
set_fill_model(fill_model)Sets the fill model
- fill_model (PyObject | IFillModel)
set_leverage(leverage)Set the leverage parameter for this security
- leverage (float)
set_local_time_keeper(local_time_keeper)Sets the LocalTimeKeeper to be used for this
- local_time_keeper (LocalTimeKeeper)
set_margin_interest_rate_model(margin_interest_rate_model)Sets the margin interests rate model
- margin_interest_rate_model (IMarginInterestRateModel)
set_margin_interest_rate_model(py_object)Sets the margin interests rate model
- py_object (PyObject)
set_margin_model(py_object)Sets the margin model
- py_object (PyObject)
set_margin_model(margin_model)Sets the margin model
- margin_model (IBuyingPowerModel)
set_market_price(data)Update any security properties based on the latest market data and time
- data (BaseData)
set_settlement_model(settlement_model)Sets the settlement model
- settlement_model (PyObject | ISettlementModel)
set_shortable_provider(py_object)set_shortable_provider(shortable_provider)set_slippage_model(slippage_model)Sets the slippage model
- slippage_model (PyObject | ISlippageModel)
set_volatility_model(volatility_model)Sets the volatility model
- volatility_model (PyObject | IVolatilityModel)
update(data, data_type, contains_fill_forward_data=None)Updates all of the security properties, such as price/OHLCV/bid/ask based on the data provided. Data is also stored into the security's data cache
- data (IReadOnlyList[BaseData])
- data_type (Type)
- contains_fill_forward_data (bool, optional)
ask_priceGets the most recent ask price if available
Gets the most recent ask price if available
float
ask_sizeGets the most recent ask size if available
Gets the most recent ask size if available
float
base_currencyGets the currency acquired by going long this currency pair
Gets the currency acquired by going long this currency pair
Cash
bid_priceGets the most recent bid price if available
Gets the most recent bid price if available
float
bid_sizeGets the most recent bid size if available
Gets the most recent bid size if available
float
buying_power_modelGets the buying power model used for this security
Gets the buying power model used for this security
IBuyingPowerModel
cacheData cache for the security to store previous price information.
Data cache for the security to store previous price information.
SecurityCache
closeIf this uses tradebar data, return the most recent close.
If this uses tradebar data, return the most recent close.
float
dataProvides dynamic access to data in the cache
Provides dynamic access to data in the cache
object
data_filterCustomizable data filter to filter outlier ticks before they are passed into user event handlers. By default all ticks are passed into the user algorithms.
Customizable data filter to filter outlier ticks before they are passed into user event handlers. By default all ticks are passed into the user algorithms.
ISecurityDataFilter
exchangeExchange class contains the market opening hours, along with pre-post market hours.
Exchange class contains the market opening hours, along with pre-post market hours.
SecurityExchange
fee_modelFee model used to compute order fees for this security
Fee model used to compute order fees for this security
IFeeModel
fill_modelFill model used to produce fill events for this security
Fill model used to produce fill events for this security
IFillModel
fundamentalsGets the fundamental data associated with the security if there is any, otherwise null.
Gets the fundamental data associated with the security if there is any, otherwise null.
has_dataThere has been at least one datapoint since our algorithm started running for us to determine price.
There has been at least one datapoint since our algorithm started running for us to determine price.
bool
highIf this uses tradebar data, return the most recent high.
If this uses tradebar data, return the most recent high.
float
hold_stockRead only property that checks if we currently own stock in the company.
Read only property that checks if we currently own stock in the company.
bool
holdingsHoldings class contains the portfolio, cash and processes order fills.
Holdings class contains the portfolio, cash and processes order fills.
SecurityHolding
investedAlias for HoldStock - Do we have any of this security
Alias for HoldStock - Do we have any of this security
bool
is_delistedTrue if the security has been delisted from exchanges and is no longer tradable
True if the security has been delisted from exchanges and is no longer tradable
bool
is_tradableGets or sets whether or not this security should be considered tradable
Gets or sets whether or not this security should be considered tradable
bool
itemGets or sets the specified custom property through the indexer. This is a wrapper around the String) and
Gets or sets the specified custom property through the indexer. This is a wrapper around the String) and
object
leverageLeverage for this Security.
Leverage for this Security.
float
local_timeLocal time for this market
Local time for this market
datetime
lowIf this uses tradebar data, return the most recent low.
If this uses tradebar data, return the most recent low.
float
margin_interest_rate_modelGets or sets the margin interest rate model
Gets or sets the margin interest rate model
IMarginInterestRateModel
margin_modelGets the buying power model used for this security, an alias for BuyingPowerModel
Gets the buying power model used for this security, an alias for BuyingPowerModel
IBuyingPowerModel
openIf this uses tradebar data, return the most recent open.
If this uses tradebar data, return the most recent open.
float
open_interestAccess to the open interest of the security today
Access to the open interest of the security today
int
portfolio_modelGets the portfolio model used by this security
Gets the portfolio model used by this security
ISecurityPortfolioModel
priceGet the current value of the security.
Get the current value of the security.
float
price_variation_modelCustomizable price variation model used to define the minimum price variation of this security. By default minimum price variation is a constant find in the symbol-properties-database.
Customizable price variation model used to define the minimum price variation of this security. By default minimum price variation is a constant find in the symbol-properties-database.
IPriceVariationModel
quote_currencyGets the Cash object used for converting the quote currency to the account currency
Gets the Cash object used for converting the quote currency to the account currency
Cash
settlement_modelGets the settlement model used for this security
Gets the settlement model used for this security
ISettlementModel
shortable_providerThis securities IShortableProvider
This securities IShortableProvider
IintableProvider
slippage_modelSlippage model use to compute slippage of market orders
Slippage model use to compute slippage of market orders
ISlippageModel
subscriptionsGets all the subscriptions for this security
Gets all the subscriptions for this security
List[SubscriptionDataConfig]
symbolsymbol_propertiesGets the symbol properties for this security
Gets the symbol properties for this security
typevolatility_modelGets the volatility model used for this security
Gets the volatility model used for this security
IVolatilityModel
volumeAccess to the volume of the equity today
Access to the volume of the equity today
float
Fundamental
Lean fundamental data class
clone(fill_forward)Return a new instance clone of this object, used in fill forward
- fill_forward (bool)
BaseData
data_time_zone()Specifies the data time zone for this data type. This is useful for custom data types
datetimeZone
default_resolution()get_source(config, date, is_live_mode)Return the URL string source of the file. This will be converted to a stream
- config (SubscriptionDataConfig)
- date (datetime)
- is_live_mode (bool)
SubscriptionDataSource
is_sparse_data()Indicates that the data set is expected to be sparse
bool
reader(config, line, date, is_live_mode)Will read a new instance from the given line
- config (SubscriptionDataConfig)
- line (str)
- date (datetime)
- is_live_mode (bool)
BaseData
reader(config, stream, date, is_live_mode)Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object each time it is called. The returned object is assumed to be time stamped in the config.ExchangeTimeZone.
- config (SubscriptionDataConfig)
- stream (StreamReader)
- date (datetime)
- is_live_mode (bool)
BaseData
requires_mapping()Indicates if there is support for mapping
bool
should_cache_to_security()Indicates whether this contains data that should be stored in the security cache
bool
supported_resolutions()This is a daily data set
List[Resolution]
update(last_trade, bid_price, ask_price, volume, bid_size, ask_size)Updates this base data with a new trade
- last_trade (float)
- bid_price (float)
- ask_price (float)
- volume (float)
- bid_size (float)
- ask_size (float)
update_ask(ask_price, ask_size)Updates this base data with the new quote ask information
- ask_price (float)
- ask_size (float)
update_bid(bid_price, bid_size)Updates this base data with the new quote bid information
- bid_price (float)
- bid_size (float)
update_quote(bid_price, bid_size, ask_price, ask_size)Updates this base data with new quote information
- bid_price (float)
- bid_size (float)
- ask_price (float)
- ask_size (float)
update_trade(last_trade, trade_size)Updates this base data with a new trade
- last_trade (float)
- trade_size (float)
adjusted_priceGets the split and dividend adjusted price
Gets the split and dividend adjusted price
float
asset_classificationThe instance of the AssetClassification class
The instance of the AssetClassification class
AssetClassification
company_profileThe instance of the CompanyProfile class
The instance of the CompanyProfile class
CompanyProfile
company_referenceThe instance of the CompanyReference class
The instance of the CompanyReference class
CompanyReference
data_typeMarket Data Type of this data - does it come in individual price packets or is it grouped into OHLC.
Market Data Type of this data - does it come in individual price packets or is it grouped into OHLC.
MarketDataType
dollar_volumeGets the day's dollar volume for this symbol
Gets the day's dollar volume for this symbol
float
earning_ratiosThe instance of the EarningRatios class
The instance of the EarningRatios class
EarningRatios
earning_reportsThe instance of the EarningReports class
The instance of the EarningReports class
EarningReports
end_timeThe end time of this data.
The end time of this data.
datetime
financial_statementsThe instance of the FinancialStatements class
The instance of the FinancialStatements class
FinancialStatements
has_fundamental_dataReturns whether the symbol has fundamental data for the given date
Returns whether the symbol has fundamental data for the given date
bool
is_fill_forwardTrue if this is a fill forward piece of data
True if this is a fill forward piece of data
bool
marketGets the market for this symbol
Gets the market for this symbol
str
market_capPrice * Total SharesOutstanding. The most current market cap for example, would be the most recent closing price x the most recent reported shares outstanding. For ADR share classes, market cap is price * (ordinary shares outstanding / adr ratio).
Price * Total SharesOutstanding. The most current market cap for example, would be the most recent closing price x the most recent reported shares outstanding. For ADR share classes, market cap is price * (ordinary shares outstanding / adr ratio).
int
operation_ratiosThe instance of the OperationRatios class
The instance of the OperationRatios class
OperationRatios
priceGets the raw price
Gets the raw price
float
price_factorGets the price factor for the given date
Gets the price factor for the given date
float
price_scale_factorGets the combined factor used to create adjusted prices from raw prices
Gets the combined factor used to create adjusted prices from raw prices
float
security_referenceThe instance of the SecurityReference class
The instance of the SecurityReference class
SecurityReference
split_factorGets the split factor for the given date
Gets the split factor for the given date
float
symbolSymbol representation for underlying Security
Symbol representation for underlying Security
timeCurrent time marker of this data packet.
Current time marker of this data packet.
datetime
valuation_ratiosThe instance of the ValuationRatios class
The instance of the ValuationRatios class
ValuationRatios
valueGets the raw price
Gets the raw price
float
volumeGets the day's total volume
Gets the day's total volume
int
Future
Futures Security Object Implementation for Futures Assets
clear()Removes every custom property that had been set.
get_last_data()Get the last price update set to the security if any else null
BaseData
refresh_data_normalization_mode_property()This method will refresh the value of the DataNormalizationMode property. This is required for backward-compatibility. TODO: to be deleted with the DataNormalizationMode property
set_buying_power_model(buying_power_model)Sets the buying power model
- buying_power_model (IBuyingPowerModel)
set_buying_power_model(py_object)Sets the buying power model
- py_object (PyObject)
set_data_filter(py_object)Set Security Data Filter
- py_object (PyObject)
set_data_filter(data_filter)Set Security Data Filter
- data_filter (ISecurityDataFilter)
set_fee_model(feel_model)Sets the fee model
- feel_model (IFeeModel | PyObject)
set_fill_model(fill_model)Sets the fill model
- fill_model (PyObject | IFillModel)
set_filter(min_expiry, max_expiry)Sets the ContractFilter to a new instance of the filter using the specified expiration range values
- min_expiry (timedelta)
- max_expiry (timedelta)
set_filter(min_expiry_days, max_expiry_days)Sets the ContractFilter to a new instance of the filter using the specified expiration range values
- min_expiry_days (int)
- max_expiry_days (int)
set_filter(universe_func)Sets the ContractFilter to a new instance of the filter using the specified expiration range values
- universe_func (PyObject | 0, Culture=neutral, PublicKeyToken=null]])
set_leverage(leverage)Set the leverage parameter for this security
- leverage (float)
set_local_time_keeper(local_time_keeper)Sets the LocalTimeKeeper to be used for this
- local_time_keeper (LocalTimeKeeper)
set_margin_interest_rate_model(margin_interest_rate_model)Sets the margin interests rate model
- margin_interest_rate_model (IMarginInterestRateModel)
set_margin_interest_rate_model(py_object)Sets the margin interests rate model
- py_object (PyObject)
set_margin_model(py_object)Sets the margin model
- py_object (PyObject)
set_margin_model(margin_model)Sets the margin model
- margin_model (IBuyingPowerModel)
set_market_price(data)Update any security properties based on the latest market data and time
- data (BaseData)
set_settlement_model(settlement_model)Sets the settlement model
- settlement_model (PyObject | ISettlementModel)
set_shortable_provider(py_object)set_shortable_provider(shortable_provider)set_slippage_model(slippage_model)Sets the slippage model
- slippage_model (PyObject | ISlippageModel)
set_volatility_model(volatility_model)Sets the volatility model
- volatility_model (PyObject | IVolatilityModel)
update(data, data_type, contains_fill_forward_data=None)Updates all of the security properties, such as price/OHLCV/bid/ask based on the data provided. Data is also stored into the security's data cache
- data (IReadOnlyList[BaseData])
- data_type (Type)
- contains_fill_forward_data (bool, optional)
ask_priceGets the most recent ask price if available
Gets the most recent ask price if available
float
ask_sizeGets the most recent ask size if available
Gets the most recent ask size if available
float
bid_priceGets the most recent bid price if available
Gets the most recent bid price if available
float
bid_sizeGets the most recent bid size if available
Gets the most recent bid size if available
float
buying_power_modelGets the buying power model used for this security
Gets the buying power model used for this security
IBuyingPowerModel
cacheData cache for the security to store previous price information.
Data cache for the security to store previous price information.
SecurityCache
closeIf this uses tradebar data, return the most recent close.
If this uses tradebar data, return the most recent close.
float
contract_filterGets or sets the contract filter
Gets or sets the contract filter
IDerivativeSecurityFilter
dataProvides dynamic access to data in the cache
Provides dynamic access to data in the cache
object
data_filterCustomizable data filter to filter outlier ticks before they are passed into user event handlers. By default all ticks are passed into the user algorithms.
Customizable data filter to filter outlier ticks before they are passed into user event handlers. By default all ticks are passed into the user algorithms.
ISecurityDataFilter
exchangeExchange class contains the market opening hours, along with pre-post market hours.
Exchange class contains the market opening hours, along with pre-post market hours.
SecurityExchange
expiryGets the expiration date
Gets the expiration date
datetime
fee_modelFee model used to compute order fees for this security
Fee model used to compute order fees for this security
IFeeModel
fill_modelFill model used to produce fill events for this security
Fill model used to produce fill events for this security
IFillModel
fundamentalsGets the fundamental data associated with the security if there is any, otherwise null.
Gets the fundamental data associated with the security if there is any, otherwise null.
has_dataThere has been at least one datapoint since our algorithm started running for us to determine price.
There has been at least one datapoint since our algorithm started running for us to determine price.
bool
highIf this uses tradebar data, return the most recent high.
If this uses tradebar data, return the most recent high.
float
hold_stockRead only property that checks if we currently own stock in the company.
Read only property that checks if we currently own stock in the company.
bool
holdingsHoldings class contains the portfolio, cash and processes order fills.
Holdings class contains the portfolio, cash and processes order fills.
SecurityHolding
investedAlias for HoldStock - Do we have any of this security
Alias for HoldStock - Do we have any of this security
bool
is_delistedTrue if the security has been delisted from exchanges and is no longer tradable
True if the security has been delisted from exchanges and is no longer tradable
bool
is_future_chainReturns true if this is the future chain security, false if it is a specific future contract
Returns true if this is the future chain security, false if it is a specific future contract
bool
is_future_contractReturns true if this is a specific future contract security, false if it is the future chain security
Returns true if this is a specific future contract security, false if it is the future chain security
bool
is_tradableGets or sets whether or not this security should be considered tradable
Gets or sets whether or not this security should be considered tradable
bool
itemGets or sets the specified custom property through the indexer. This is a wrapper around the String) and
Gets or sets the specified custom property through the indexer. This is a wrapper around the String) and
object
leverageLeverage for this Security.
Leverage for this Security.
float
local_timeLocal time for this market
Local time for this market
datetime
lowIf this uses tradebar data, return the most recent low.
If this uses tradebar data, return the most recent low.
float
mappedGets or sets the currently mapped symbol for the security
Gets or sets the currently mapped symbol for the security
margin_interest_rate_modelGets or sets the margin interest rate model
Gets or sets the margin interest rate model
IMarginInterestRateModel
margin_modelGets the buying power model used for this security, an alias for BuyingPowerModel
Gets the buying power model used for this security, an alias for BuyingPowerModel
IBuyingPowerModel
openIf this uses tradebar data, return the most recent open.
If this uses tradebar data, return the most recent open.
float
open_interestAccess to the open interest of the security today
Access to the open interest of the security today
int
portfolio_modelGets the portfolio model used by this security
Gets the portfolio model used by this security
ISecurityPortfolioModel
priceGet the current value of the security.
Get the current value of the security.
float
price_variation_modelCustomizable price variation model used to define the minimum price variation of this security. By default minimum price variation is a constant find in the symbol-properties-database.
Customizable price variation model used to define the minimum price variation of this security. By default minimum price variation is a constant find in the symbol-properties-database.
IPriceVariationModel
quote_currencyGets the Cash object used for converting the quote currency to the account currency
Gets the Cash object used for converting the quote currency to the account currency
Cash
settlement_modelGets the settlement model used for this security
Gets the settlement model used for this security
ISettlementModel
settlement_typeSpecifies if futures contract has physical or cash settlement on settlement
Specifies if futures contract has physical or cash settlement on settlement
SettlementType
shortable_providerThis securities IShortableProvider
This securities IShortableProvider
IintableProvider
slippage_modelSlippage model use to compute slippage of market orders
Slippage model use to compute slippage of market orders
ISlippageModel
subscriptionsGets all the subscriptions for this security
Gets all the subscriptions for this security
List[SubscriptionDataConfig]
symbolsymbol_propertiesGets the symbol properties for this security
Gets the symbol properties for this security
typeunderlyingGets or sets the underlying security object.
Gets or sets the underlying security object.
volatility_modelGets the volatility model used for this security
Gets the volatility model used for this security
IVolatilityModel
volumeAccess to the volume of the equity today
Access to the volume of the equity today
float
DEFAULT_SETTLEMENT_DAYSThe default number of days required to settle a futures sale
The default number of days required to settle a futures sale
int
DEFAULT_SETTLEMENT_TIMEThe default time of day for settlement
The default time of day for settlement
timedelta
HistoryRequest
Represents a request for historical data
contract_depth_offsetThe continuous contract desired offset from the current front month. For example, 0 (default) will use the front month, 1 will use the back month contract
The continuous contract desired offset from the current front month. For example, 0 (default) will use the front month, 1 will use the back month contract
int
data_mapping_modeGets the data mapping mode used for this subscription
Gets the data mapping mode used for this subscription
DataMappingMode
data_normalization_modeGets the normalization mode used for this subscription
Gets the normalization mode used for this subscription
DataNormalizationMode
data_time_zoneGets the time zone of the time stamps on the raw input data
Gets the time zone of the time stamps on the raw input data
datetimeZone
data_typeGets the data type used to process the subscription request, this type must derive from BaseData
Gets the data type used to process the subscription request, this type must derive from BaseData
Type
end_time_localGets the EndTimeUtc in the security's exchange time zone
Gets the EndTimeUtc in the security's exchange time zone
datetime
end_time_utcGets the end of the requested time interval in UTC
Gets the end of the requested time interval in UTC
datetime
exchange_hoursGets the exchange hours used for processing fill forward requests
Gets the exchange hours used for processing fill forward requests
fill_forward_resolutionGets the requested fill forward resolution, set to null for no fill forward behavior. Will always return null when Resolution is set to Tick.
Gets the requested fill forward resolution, set to null for no fill forward behavior. Will always return null when Resolution is set to Tick.
Resolution
include_extended_market_hoursGets whether or not to include extended market hours data, set to false for only normal market hours
Gets whether or not to include extended market hours data, set to false for only normal market hours
bool
is_custom_dataGets true if this is a custom data request, false for normal QC data
Gets true if this is a custom data request, false for normal QC data
bool
resolutionGets the requested data resolution
Gets the requested data resolution
start_time_localGets the StartTimeUtc in the security's exchange time zone
Gets the StartTimeUtc in the security's exchange time zone
datetime
start_time_utcGets the beginning of the requested time interval in UTC
Gets the beginning of the requested time interval in UTC
datetime
symbolGets the symbol to request data for
Gets the symbol to request data for
tick_typeTickType of the history request
TickType of the history request
TickType
tradable_days_in_data_time_zoneGets the tradable days specified by this request, in the security's data time zone
Gets the tradable days specified by this request, in the security's data time zone
List[datetime]
Index
INDEX Security Object Implementation for INDEX Assets
clear()Removes every custom property that had been set.
get_last_data()Get the last price update set to the security if any else null
BaseData
refresh_data_normalization_mode_property()This method will refresh the value of the DataNormalizationMode property. This is required for backward-compatibility. TODO: to be deleted with the DataNormalizationMode property
set_buying_power_model(buying_power_model)Sets the buying power model
- buying_power_model (IBuyingPowerModel)
set_buying_power_model(py_object)Sets the buying power model
- py_object (PyObject)
set_data_filter(py_object)Set Security Data Filter
- py_object (PyObject)
set_data_filter(data_filter)Set Security Data Filter
- data_filter (ISecurityDataFilter)
set_fee_model(feel_model)Sets the fee model
- feel_model (IFeeModel | PyObject)
set_fill_model(fill_model)Sets the fill model
- fill_model (PyObject | IFillModel)
set_leverage(leverage)Set the leverage parameter for this security
- leverage (float)
set_local_time_keeper(local_time_keeper)Sets the LocalTimeKeeper to be used for this
- local_time_keeper (LocalTimeKeeper)
set_margin_interest_rate_model(margin_interest_rate_model)Sets the margin interests rate model
- margin_interest_rate_model (IMarginInterestRateModel)
set_margin_interest_rate_model(py_object)Sets the margin interests rate model
- py_object (PyObject)
set_margin_model(py_object)Sets the margin model
- py_object (PyObject)
set_margin_model(margin_model)Sets the margin model
- margin_model (IBuyingPowerModel)
set_market_price(data)Update any security properties based on the latest market data and time
- data (BaseData)
set_settlement_model(settlement_model)Sets the settlement model
- settlement_model (PyObject | ISettlementModel)
set_shortable_provider(py_object)set_shortable_provider(shortable_provider)set_slippage_model(slippage_model)Sets the slippage model
- slippage_model (PyObject | ISlippageModel)
set_volatility_model(volatility_model)Sets the volatility model
- volatility_model (PyObject | IVolatilityModel)
update(data, data_type, contains_fill_forward_data=None)Updates all of the security properties, such as price/OHLCV/bid/ask based on the data provided. Data is also stored into the security's data cache
- data (IReadOnlyList[BaseData])
- data_type (Type)
- contains_fill_forward_data (bool, optional)
ask_priceGets the most recent ask price if available
Gets the most recent ask price if available
float
ask_sizeGets the most recent ask size if available
Gets the most recent ask size if available
float
bid_priceGets the most recent bid price if available
Gets the most recent bid price if available
float
bid_sizeGets the most recent bid size if available
Gets the most recent bid size if available
float
buying_power_modelGets the buying power model used for this security
Gets the buying power model used for this security
IBuyingPowerModel
cacheData cache for the security to store previous price information.
Data cache for the security to store previous price information.
SecurityCache
closeIf this uses tradebar data, return the most recent close.
If this uses tradebar data, return the most recent close.
float
dataProvides dynamic access to data in the cache
Provides dynamic access to data in the cache
object
data_filterCustomizable data filter to filter outlier ticks before they are passed into user event handlers. By default all ticks are passed into the user algorithms.
Customizable data filter to filter outlier ticks before they are passed into user event handlers. By default all ticks are passed into the user algorithms.
ISecurityDataFilter
exchangeExchange class contains the market opening hours, along with pre-post market hours.
Exchange class contains the market opening hours, along with pre-post market hours.
SecurityExchange
fee_modelFee model used to compute order fees for this security
Fee model used to compute order fees for this security
IFeeModel
fill_modelFill model used to produce fill events for this security
Fill model used to produce fill events for this security
IFillModel
fundamentalsGets the fundamental data associated with the security if there is any, otherwise null.
Gets the fundamental data associated with the security if there is any, otherwise null.
has_dataThere has been at least one datapoint since our algorithm started running for us to determine price.
There has been at least one datapoint since our algorithm started running for us to determine price.
bool
highIf this uses tradebar data, return the most recent high.
If this uses tradebar data, return the most recent high.
float
hold_stockRead only property that checks if we currently own stock in the company.
Read only property that checks if we currently own stock in the company.
bool
holdingsHoldings class contains the portfolio, cash and processes order fills.
Holdings class contains the portfolio, cash and processes order fills.
SecurityHolding
investedAlias for HoldStock - Do we have any of this security
Alias for HoldStock - Do we have any of this security
bool
is_delistedTrue if the security has been delisted from exchanges and is no longer tradable
True if the security has been delisted from exchanges and is no longer tradable
bool
is_tradableGets or sets whether or not this security should be considered tradable
Gets or sets whether or not this security should be considered tradable
bool
itemGets or sets the specified custom property through the indexer. This is a wrapper around the String) and
Gets or sets the specified custom property through the indexer. This is a wrapper around the String) and
object
leverageLeverage for this Security.
Leverage for this Security.
float
local_timeLocal time for this market
Local time for this market
datetime
lowIf this uses tradebar data, return the most recent low.
If this uses tradebar data, return the most recent low.
float
margin_interest_rate_modelGets or sets the margin interest rate model
Gets or sets the margin interest rate model
IMarginInterestRateModel
margin_modelGets the buying power model used for this security, an alias for BuyingPowerModel
Gets the buying power model used for this security, an alias for BuyingPowerModel
IBuyingPowerModel
openIf this uses tradebar data, return the most recent open.
If this uses tradebar data, return the most recent open.
float
open_interestAccess to the open interest of the security today
Access to the open interest of the security today
int
portfolio_modelGets the portfolio model used by this security
Gets the portfolio model used by this security
ISecurityPortfolioModel
priceGet the current value of the security.
Get the current value of the security.
float
price_variation_modelCustomizable price variation model used to define the minimum price variation of this security. By default minimum price variation is a constant find in the symbol-properties-database.
Customizable price variation model used to define the minimum price variation of this security. By default minimum price variation is a constant find in the symbol-properties-database.
IPriceVariationModel
quote_currencyGets the Cash object used for converting the quote currency to the account currency
Gets the Cash object used for converting the quote currency to the account currency
Cash
settlement_modelGets the settlement model used for this security
Gets the settlement model used for this security
ISettlementModel
shortable_providerThis securities IShortableProvider
This securities IShortableProvider
IintableProvider
slippage_modelSlippage model use to compute slippage of market orders
Slippage model use to compute slippage of market orders
ISlippageModel
subscriptionsGets all the subscriptions for this security
Gets all the subscriptions for this security
List[SubscriptionDataConfig]
symbolsymbol_propertiesGets the symbol properties for this security
Gets the symbol properties for this security
typevolatility_modelGets the volatility model used for this security
Gets the volatility model used for this security
IVolatilityModel
volumeAccess to the volume of the equity today
Access to the volume of the equity today
float
Insight
Defines a alpha prediction for a single symbol generated by the algorithm
cancel(utc_time)Cancel this insight
- utc_time (datetime)
clone()expire(utc_time)Expire this insight
- utc_time (datetime)
is_active(utc_time)Determines whether or not this insight is considered active at the specified utcTime
- utc_time (datetime)
bool
is_expired(utc_time)Determines whether or not this insight is considered expired at the specified utcTime
- utc_time (datetime)
bool
set_period_and_close_time(exchange_hours)Sets the insight period and close times if they have not already been set.
- exchange_hours (SecurityExchangeHours)
short_to_string()Returns a short string that represents the current object.
str
close_time_utcGets the insight's prediction end time. This is the time when this insight prediction is expected to be fulfilled. This time takes into account market hours, weekends, as well as the symbol's data resolution
Gets the insight's prediction end time. This is the time when this insight prediction is expected to be fulfilled. This time takes into account market hours, weekends, as well as the symbol's data resolution
datetime
confidenceGets the confidence in this insight
Gets the confidence in this insight
float
directionGets the predicted direction, down, flat or up
Gets the predicted direction, down, flat or up
InsightDirection
estimated_valueGets the estimated value of this insight in the account currency
Gets the estimated value of this insight in the account currency
float
generated_time_utcGets the utc time this insight was generated
Gets the utc time this insight was generated
datetime
group_idGets the group id this insight belongs to, null if not in a group
Gets the group id this insight belongs to, null if not in a group
Guid
idGets the unique identifier for this insight
Gets the unique identifier for this insight
Guid
magnitudeGets the predicted percent change in the insight type (price/volatility)
Gets the predicted percent change in the insight type (price/volatility)
float
periodGets the period over which this insight is expected to come to fruition
Gets the period over which this insight is expected to come to fruition
timedelta
reference_valueGets the initial reference value this insight is predicting against. The value is dependent on the specified InsightType
Gets the initial reference value this insight is predicting against. The value is dependent on the specified InsightType
float
reference_value_finalGets the final reference value, used for scoring, this insight is predicting against. The value is dependent on the specified InsightType
Gets the final reference value, used for scoring, this insight is predicting against. The value is dependent on the specified InsightType
float
scoreGets the most recent scores for this insight
Gets the most recent scores for this insight
InsightScore
source_modelGets an identifier for the source model that generated this insight.
Gets an identifier for the source model that generated this insight.
str
symbolGets the symbol this insight is for
Gets the symbol this insight is for
tagThe insight's tag containing additional information
The insight's tag containing additional information
str
typeGets the type of insight, for example, price insight or volatility insight
Gets the type of insight, for example, price insight or volatility insight
InsightType
weightGets the portfolio weight of this insight
Gets the portfolio weight of this insight
float
InsightManager
Encapsulates the storage of insights.
add(item)add_range(insights)Adds each item in the specified enumerable of insights to this collection
- insights (List[Insight])
cancel(symbols)Cancel the insights of the given symbols
- symbols (List[Symbol])
cancel(insights)Cancel the insights of the given symbols
- insights (List[Insight])
clear(symbols)contains(item)contains_key(symbol)Determines whether insights exist in this collection for the specified symbol
- symbol (Symbol)
bool
expire(symbols)Expire the insights of the given symbols
- symbols (List[Symbol])
expire(insights)Expire the insights of the given symbols
- insights (List[Insight])
get_active_insights(utc_time)Gets the last generated active insight
- utc_time (datetime)
ICollection[Insight]
get_enumerator()Returns an enumerator that iterates through the collection.
IEnumerator[Insight]
get_insights(filter)Will return insights from the complete insight collection
- filter (PyObject | 0, Culture=neutral, PublicKeyToken=7cec85d7bea7798e]])
List[Insight]
get_next_expiry_time()Gets the next expiry time UTC
datetime
has_active_insights(symbol, utc_time)Returns true if there are active insights for a given symbol and time
- symbol (Symbol)
- utc_time (datetime)
bool
remove(item)Removes the first occurrence of a specific object from the list.
- item (Insight)
bool
remove_expired_insights(utc_time)Remove all expired insights from the collection and retuns them
- utc_time (datetime)
ICollection[Insight]
remove_insights(filter)Will remove insights from the complete insight collection
- filter (Callable[Insight, bool])
set_insight_score_function(insight_score_function)Sets the insight score function to use
- insight_score_function (PyObject | IInsightScoreCallabletion)
step(utc_now)Process a new time step handling insights scoring
- utc_now (datetime)
try_get_value(symbol, insights)Attempts to get the list of insights with the specified symbol key
- symbol (Symbol)
- insights (List`1&)
bool
countThe open insight count
The open insight count
int
itemDictionary accessor returns a list of insights for the specified symbol
Dictionary accessor returns a list of insights for the specified symbol
List[Insight]
total_countThe total insight count
The total insight count
int
NotificationManager
Local/desktop implementation of messaging system for Lean Engine.
email(address, subject, message, data, headers)Send an email to the address specified for live trading notifications.
- address (str)
- subject (str)
- message (str)
- data (str)
- headers (PyObject | 0, Culture=neutral, PublicKeyToken=7cec85d7bea7798e]])
bool
sms(phone_number, message)Send an SMS to the phone number specified
- phone_number (str)
- message (str)
bool
telegram(id, message, token=None)Send a telegram message to the chat ID specified, supply token for custom bot. Note: Requires bot to have chat with user or be in the group specified by ID.
- id (str)
- message (str)
- token (str, optional)
bool
web(address, data, headers)Place REST POST call to the specified address with the specified DATA. Python overload for Headers parameter.
- address (str)
- data (Object)
- headers (PyObject | 0, Culture=neutral, PublicKeyToken=7cec85d7bea7798e]])
bool
messagesPublic access to the messages
Public access to the messages
ConcurrentQueue[Notification]
ObjectStore
Helper class for easier access to IObjectStore methods
clear()Will clear the object store state cache. This is useful when the object store is used concurrently by nodes which want to share information
contains_key(path)Determines whether the store contains data for the specified path
- path (str)
bool
delete(path)Deletes the object data for the specified path
- path (str)
bool
dispose()Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
get_enumerator()Returns an enumerator that iterates through the collection.
IEnumerator[Dict[str, Byte]]
get_file_path(path)Returns the file path for the specified path
- path (str)
str
initialize(user_id, project_id, user_token, controls)Initializes the object store
- user_id (int)
- project_id (int)
- user_token (str)
- controls (Controls)
read(path, encoding=None)Returns the object data for the specified path
- path (str)
- encoding (Encoding, optional)
str
read_bytes(path)Returns the object data for the specified path
- path (str)
Byte
read_json(path, encoding=None, settings=None)Returns the JSON deserialized object data for the specified path
- path (str)
- encoding (Encoding, optional)
- settings (JsonSerializerSettings, optional)
T
read_string(path, encoding=None)Returns the string object data for the specified path
- path (str)
- encoding (Encoding, optional)
str
read_xml(path, encoding=None)Returns the XML deserialized object data for the specified path
- path (str)
- encoding (Encoding, optional)
T
save(path, text, encoding=None)Saves the object data for the specified path
- path (str)
- text (str)
- encoding (Encoding, optional)
bool
save_bytes(path, contents)Saves the object data for the specified path
- path (str)
- contents (Byte)
bool
save_json(path, obj, encoding=None, settings=None)Saves the object data in JSON format for the specified path
- path (str)
- obj (T)
- encoding (Encoding, optional)
- settings (JsonSerializerSettings, optional)
bool
save_string(path, text, encoding=None)Saves the object data in text format for the specified path
- path (str)
- text (str)
- encoding (Encoding, optional)
bool
save_xml(path, obj, encoding=None)Saves the object data in XML format for the specified path
- path (str)
- obj (T)
- encoding (Encoding, optional)
bool
keysReturns the file paths present in the object store. This is specially useful not to load the object store into memory
Returns the file paths present in the object store. This is specially useful not to load the object store into memory
ICollection[str]
Option
Option Security Object Implementation for Option Assets
clear()Removes every custom property that had been set.
evaluate_price_model(slice, contract)For this option security object, evaluates the specified option contract to compute a theoretical price, IV and greeks
- slice (Slice)
- contract (OptionContract)
OptionPriceModelResult
get_aggregate_exercise_amount()Aggregate exercise amount or aggregate contract value. It is the total amount of cash one will pay (or receive) for the shares of the underlying stock if he/she decides to exercise (or is assigned an exercise notice). This amount is not the premium paid or received for an equity option.
float
get_exercise_quantity(exercise_order_quantity)Returns the directional quantity of underlying shares that are going to change hands on exercise/assignment of all contracts held by this account, taking into account the contract's Right as well as the contract's current
- exercise_order_quantity (float)
float
get_intrinsic_value(underlying_price)Intrinsic value function of the option
- underlying_price (float)
float
get_last_data()Get the last price update set to the security if any else null
BaseData
get_pay_off(underlying_price)Option payoff function at expiration time
- underlying_price (float)
float
is_auto_exercised(underlying_price)Checks if option is eligible for automatic exercise on expiration
- underlying_price (float)
bool
out_of_the_money_amount(underlying_price)Option out of the money function
- underlying_price (float)
float
refresh_data_normalization_mode_property()This method will refresh the value of the DataNormalizationMode property. This is required for backward-compatibility. TODO: to be deleted with the DataNormalizationMode property
set_buying_power_model(buying_power_model)Sets the buying power model
- buying_power_model (IBuyingPowerModel)
set_buying_power_model(py_object)Sets the buying power model
- py_object (PyObject)
set_data_filter(py_object)Set Security Data Filter
- py_object (PyObject)
set_data_filter(data_filter)Set Security Data Filter
- data_filter (ISecurityDataFilter)
set_data_normalization_mode(mode)Sets the data normalization mode to be used by this security
- mode (DataNormalizationMode)
set_fee_model(feel_model)Sets the fee model
- feel_model (IFeeModel | PyObject)
set_fill_model(fill_model)Sets the fill model
- fill_model (PyObject | IFillModel)
set_filter(min_strike, max_strike, min_expiry, max_expiry)Sets the ContractFilter to a new instance of the filter using the specified min and max strike values. Contracts with expirations further than 35 days out will also be filtered.
- min_strike (int)
- max_strike (int)
- min_expiry (timedelta)
- max_expiry (timedelta)
set_filter(min_strike, max_strike, min_expiry_days, max_expiry_days)Sets the ContractFilter to a new instance of the filter using the specified min and max strike values. Contracts with expirations further than 35 days out will also be filtered.
- min_strike (int)
- max_strike (int)
- min_expiry_days (int)
- max_expiry_days (int)
set_filter(universe_func)Sets the ContractFilter to a new instance of the filter using the specified min and max strike values. Contracts with expirations further than 35 days out will also be filtered.
- universe_func (0, Culture=neutral, PublicKeyToken=null]] | PyObject)
set_leverage(leverage)Set the leverage parameter for this security
- leverage (float)
set_local_time_keeper(local_time_keeper)Sets the LocalTimeKeeper to be used for this
- local_time_keeper (LocalTimeKeeper)
set_margin_interest_rate_model(margin_interest_rate_model)Sets the margin interests rate model
- margin_interest_rate_model (IMarginInterestRateModel)
set_margin_interest_rate_model(py_object)Sets the margin interests rate model
- py_object (PyObject)
set_margin_model(py_object)Sets the margin model
- py_object (PyObject)
set_margin_model(margin_model)Sets the margin model
- margin_model (IBuyingPowerModel)
set_market_price(data)Update any security properties based on the latest market data and time
- data (BaseData)
set_option_assignment_model(py_object)Sets the automatic option assignment model
- py_object (PyObject)
set_option_assignment_model(option_assignment_model)Sets the automatic option assignment model
- option_assignment_model (IOptionAssignmentModel)
set_option_exercise_model(py_object)Sets the option exercise model
- py_object (PyObject)
set_option_exercise_model(option_exercise_model)Sets the option exercise model
- option_exercise_model (IOptionExerciseModel)
set_settlement_model(settlement_model)Sets the settlement model
- settlement_model (PyObject | ISettlementModel)
set_shortable_provider(py_object)set_shortable_provider(shortable_provider)set_slippage_model(slippage_model)Sets the slippage model
- slippage_model (PyObject | ISlippageModel)
set_volatility_model(volatility_model)Sets the volatility model
- volatility_model (PyObject | IVolatilityModel)
update(data, data_type, contains_fill_forward_data=None)Updates all of the security properties, such as price/OHLCV/bid/ask based on the data provided. Data is also stored into the security's data cache
- data (IReadOnlyList[BaseData])
- data_type (Type)
- contains_fill_forward_data (bool, optional)
ask_priceGets the most recent ask price if available
Gets the most recent ask price if available
float
ask_sizeGets the most recent ask size if available
Gets the most recent ask size if available
float
bid_priceGets the most recent bid price if available
Gets the most recent bid price if available
float
bid_sizeGets the most recent bid size if available
Gets the most recent bid size if available
float
buying_power_modelGets the buying power model used for this security
Gets the buying power model used for this security
IBuyingPowerModel
cacheData cache for the security to store previous price information.
Data cache for the security to store previous price information.
SecurityCache
closeIf this uses tradebar data, return the most recent close.
If this uses tradebar data, return the most recent close.
float
contract_filterGets or sets the contract filter
Gets or sets the contract filter
IDerivativeSecurityFilter
contract_multiplierThe contract multiplier for the option security
The contract multiplier for the option security
int
contract_unit_of_tradeWhen the holder of an equity option exercises one contract, or when the writer of an equity option is assigned an exercise notice on one contract, this unit of trade, usually 100 shares of the underlying security, changes hands.
When the holder of an equity option exercises one contract, or when the writer of an equity option is assigned an exercise notice on one contract, this unit of trade, usually 100 shares of the underlying security, changes hands.
int
dataProvides dynamic access to data in the cache
Provides dynamic access to data in the cache
object
data_filterCustomizable data filter to filter outlier ticks before they are passed into user event handlers. By default all ticks are passed into the user algorithms.
Customizable data filter to filter outlier ticks before they are passed into user event handlers. By default all ticks are passed into the user algorithms.
ISecurityDataFilter
exchangeExchange class contains the market opening hours, along with pre-post market hours.
Exchange class contains the market opening hours, along with pre-post market hours.
SecurityExchange
exercise_settlementSpecifies if option contract has physical or cash settlement on exercise
Specifies if option contract has physical or cash settlement on exercise
SettlementType
expiryGets the expiration date
Gets the expiration date
datetime
fee_modelFee model used to compute order fees for this security
Fee model used to compute order fees for this security
IFeeModel
fill_modelFill model used to produce fill events for this security
Fill model used to produce fill events for this security
IFillModel
fundamentalsGets the fundamental data associated with the security if there is any, otherwise null.
Gets the fundamental data associated with the security if there is any, otherwise null.
has_dataThere has been at least one datapoint since our algorithm started running for us to determine price.
There has been at least one datapoint since our algorithm started running for us to determine price.
bool
highIf this uses tradebar data, return the most recent high.
If this uses tradebar data, return the most recent high.
float
hold_stockRead only property that checks if we currently own stock in the company.
Read only property that checks if we currently own stock in the company.
bool
holdingsHoldings class contains the portfolio, cash and processes order fills.
Holdings class contains the portfolio, cash and processes order fills.
SecurityHolding
investedAlias for HoldStock - Do we have any of this security
Alias for HoldStock - Do we have any of this security
bool
is_delistedTrue if the security has been delisted from exchanges and is no longer tradable
True if the security has been delisted from exchanges and is no longer tradable
bool
is_option_chainReturns true if this is the option chain security, false if it is a specific option contract
Returns true if this is the option chain security, false if it is a specific option contract
bool
is_option_contractReturns true if this is a specific option contract security, false if it is the option chain security
Returns true if this is a specific option contract security, false if it is the option chain security
bool
is_tradableGets or sets whether or not this security should be considered tradable
Gets or sets whether or not this security should be considered tradable
bool
itemGets or sets the specified custom property through the indexer. This is a wrapper around the String) and
Gets or sets the specified custom property through the indexer. This is a wrapper around the String) and
object
leverageLeverage for this Security.
Leverage for this Security.
float
local_timeLocal time for this market
Local time for this market
datetime
lowIf this uses tradebar data, return the most recent low.
If this uses tradebar data, return the most recent low.
float
margin_interest_rate_modelGets or sets the margin interest rate model
Gets or sets the margin interest rate model
IMarginInterestRateModel
margin_modelGets the buying power model used for this security, an alias for BuyingPowerModel
Gets the buying power model used for this security, an alias for BuyingPowerModel
IBuyingPowerModel
openIf this uses tradebar data, return the most recent open.
If this uses tradebar data, return the most recent open.
float
open_interestAccess to the open interest of the security today
Access to the open interest of the security today
int
option_assignment_modelThe automatic option assignment model
The automatic option assignment model
IOptionAssignmentModel
option_exercise_modelFill model used to produce fill events for this security
Fill model used to produce fill events for this security
IOptionExerciseModel
portfolio_modelGets the portfolio model used by this security
Gets the portfolio model used by this security
ISecurityPortfolioModel
priceGet the current value of the security.
Get the current value of the security.
float
price_modelGets or sets the price model for this option security
Gets or sets the price model for this option security
IOptionPriceModel
price_variation_modelCustomizable price variation model used to define the minimum price variation of this security. By default minimum price variation is a constant find in the symbol-properties-database.
Customizable price variation model used to define the minimum price variation of this security. By default minimum price variation is a constant find in the symbol-properties-database.
IPriceVariationModel
quote_currencyGets the Cash object used for converting the quote currency to the account currency
Gets the Cash object used for converting the quote currency to the account currency
Cash
rightGets the right being purchased (call [right to buy] or put [right to sell])
Gets the right being purchased (call [right to buy] or put [right to sell])
OptionRight
scaled_strike_priceGets the strike price multiplied by the strike multiplier
Gets the strike price multiplied by the strike multiplier
float
settlement_modelGets the settlement model used for this security
Gets the settlement model used for this security
ISettlementModel
shortable_providerThis securities IShortableProvider
This securities IShortableProvider
IintableProvider
slippage_modelSlippage model use to compute slippage of market orders
Slippage model use to compute slippage of market orders
ISlippageModel
strike_priceGets the strike price
Gets the strike price
float
styleGets the option style
Gets the option style
OptionStyle
subscriptionsGets all the subscriptions for this security
Gets all the subscriptions for this security
List[SubscriptionDataConfig]
symbolsymbol_propertiesGets the symbol properties for this security
Gets the symbol properties for this security
typeunderlyingGets or sets the underlying security object.
Gets or sets the underlying security object.
volatility_modelGets the volatility model used for this security
Gets the volatility model used for this security
IVolatilityModel
volumeAccess to the volume of the equity today
Access to the volume of the equity today
float
DEFAULT_SETTLEMENT_DAYSThe default number of days required to settle an equity sale
The default number of days required to settle an equity sale
int
DEFAULT_SETTLEMENT_TIMEThe default time of day for settlement
The default time of day for settlement
timedelta
OptionStrategy
Option strategy specification class. Describes option strategy and its parameters for trading.
canonical_optionThe canonical Option symbol of the strategy
The canonical Option symbol of the strategy
nameOption strategy name
Option strategy name
str
option_legsOption strategy legs
Option strategy legs
List[OptionLegData]
underlyingunderlying_legsOption strategy underlying legs (usually 0 or 1 legs)
Option strategy underlying legs (usually 0 or 1 legs)
List[UnderlyingLegData]
OrderEvent
Order Event - Messaging class signifying a change in an order state and record the change in the user's algorithm portfolio
clone()short_to_string()Returns a short string that represents the current object.
str
absolute_fill_quantityPublic Property Absolute Getter of Quantity -Filled
Public Property Absolute Getter of Quantity -Filled
float
directionOrder direction.
Order direction.
OrderDirection
fill_priceFill price information about the order
Fill price information about the order
float
fill_price_currencyCurrency for the fill price
Currency for the fill price
str
fill_quantityNumber of shares of the order that was filled in this event.
Number of shares of the order that was filled in this event.
float
idThe unique order event id for each order
The unique order event id for each order
int
is_assignmentTrue if the order event is an assignment
True if the order event is an assignment
bool
is_in_the_moneyTrue if the order event's option is In-The-Money (ITM)
True if the order event's option is In-The-Money (ITM)
bool
limit_priceThe current limit price
The current limit price
float
messageAny message from the exchange.
Any message from the exchange.
str
order_feeThe fee associated with the order
The fee associated with the order
OrderFee
order_idId of the order this event comes from.
Id of the order this event comes from.
int
quantityThe current order quantity
The current order quantity
float
statusStatus message of the order.
Status message of the order.
OrderStatus
stop_priceThe current stop price
The current stop price
float
symbolEasy access to the order symbol associated with this event.
Easy access to the order symbol associated with this event.
ticketThe order ticket associated to the order
The order ticket associated to the order
trailing_amountThe trailing stop amount
The trailing stop amount
float
trailing_as_percentageWhether the TrailingAmount is a percentage or an absolute currency value
Whether the TrailingAmount is a percentage or an absolute currency value
bool
trigger_priceThe current trigger price
The current trigger price
float
utc_timeThe date and time of this event (UTC).
The date and time of this event (UTC).
datetime
OrderTicket
Provides a single reference to an order for the algorithm to maintain. As the order gets updated this ticket will also get updated
cancel(tag=None)Submits a new request to cancel this order
- tag (str, optional)
OrderResponse
get(field)Gets the specified field from the ticket
- field (OrderField)
float
get_most_recent_order_request()Gets the most recent OrderRequest for this ticket
OrderRequest
get_most_recent_order_response()Gets the most recent OrderResponse for this ticket
OrderResponse
update(fields)Submits an UpdateOrderRequest with the
- fields (UpdateOrderFields)
OrderResponse
update_limit_price(limit_price, tag=None)Submits an UpdateOrderRequest with the
- limit_price (float)
- tag (str, optional)
OrderResponse
update_quantity(quantity, tag=None)Submits an UpdateOrderRequest with the
- quantity (float)
- tag (str, optional)
OrderResponse
update_stop_price(stop_price, tag=None)Submits an UpdateOrderRequest with the
- stop_price (float)
- tag (str, optional)
OrderResponse
update_stop_trailing_amount(trailing_amount, tag=None)Submits an UpdateOrderRequest with the
- trailing_amount (float)
- tag (str, optional)
OrderResponse
update_tag(tag)Submits an UpdateOrderRequest with the
- tag (str)
OrderResponse
update_trigger_price(trigger_price, tag=None)Submits an UpdateOrderRequest with the
- trigger_price (float)
- tag (str, optional)
OrderResponse
average_fill_priceGets the average fill price for this ticket. If no fills have been processed then this will return a value of zero.
Gets the average fill price for this ticket. If no fills have been processed then this will return a value of zero.
float
cancel_requestGets the CancelOrderRequest if this order was canceled. If this order was not canceled, this will return null
Gets the CancelOrderRequest if this order was canceled. If this order was not canceled, this will return null
CancelOrderRequest
has_orderReturns true if the order has been set for this ticket
Returns true if the order has been set for this ticket
bool
order_closedGets a wait handle that can be used to wait until this order has filled
Gets a wait handle that can be used to wait until this order has filled
WaitHandle
order_eventsGets a list of all order events for this ticket
Gets a list of all order events for this ticket
IReadOnlyList[OrderEvent]
order_idGets the order id of this ticket
Gets the order id of this ticket
int
order_setGets a wait handle that can be used to wait until the order has been set
Gets a wait handle that can be used to wait until the order has been set
WaitHandle
order_typeGets the type of order
Gets the type of order
OrderType
quantityGets the number of units ordered
Gets the number of units ordered
float
quantity_filledGets the total qantity filled for this ticket. If no fills have been processed then this will return a value of zero.
Gets the total qantity filled for this ticket. If no fills have been processed then this will return a value of zero.
float
security_typestatusGets the current status of this order ticket
Gets the current status of this order ticket
OrderStatus
submit_requestGets the SubmitOrderRequest that initiated this order
Gets the SubmitOrderRequest that initiated this order
symboltagGets the order's current tag
Gets the order's current tag
str
timeGets the time this order was last updated
Gets the time this order was last updated
datetime
update_requestsGets a list of UpdateOrderRequest containing an item for each UpdateOrderRequest that was sent for this order id
Gets a list of UpdateOrderRequest containing an item for each UpdateOrderRequest that was sent for this order id
IReadOnlyList[UpdateOrderRequest]
PandasConverter
Collection of methods that converts lists of objects in pandas.DataFrame
get_data_frame(data, data_type=None)Converts an enumerable of Slice in a pandas.DataFrame
- data (0, Culture=neutral, PublicKeyToken=null]] | None)
- data_type (Type, optional)
PyObject
get_indicator_data_frame(data)Converts a dictionary with a list of IndicatorDataPoint in a pandas.DataFrame
- data (PyObject | 0, Culture=neutral, PublicKeyToken=7cec85d7bea7798e]])
PyObject
Resolution
Resolution of data requested.
DAILYHOURMINUTESECONDTICKScheduleManager
Provides access to the real time handler's event scheduling feature
add(scheduled_event)event(name)Entry point for the fluent scheduled event builder
- name (str)
IFluentSchedulingDateSpecifier
on(name, date_rule, time_rule, callback)Schedules the callback to run using the specified date and time rules
- name (str)
- date_rule (IDateRule)
- time_rule (ITimeRule)
- callback (Action | PyObject | 0, Culture=neutral, PublicKeyToken=7cec85d7bea7798e]])
remove(scheduled_event)training(date_rule, time_rule, training_code)Schedules the provided training code to execute immediately
- date_rule (IDateRule)
- time_rule (ITimeRule)
- training_code (Action | 0, Culture=neutral, PublicKeyToken=7cec85d7bea7798e]] | PyObject)
training_now(training_code)Schedules the provided training code to execute immediately
- training_code (Action | PyObject)
date_rulesGets the date rules helper object to make specifying dates for events easier
Gets the date rules helper object to make specifying dates for events easier
time_rulesGets the time rules helper object to make specifying times for events easier
Gets the time rules helper object to make specifying times for events easier
ScheduledEvent
Real time self scheduling event
enabledGets or sets whether this event is enabled
Gets or sets whether this event is enabled
bool
nameGets an identifier for this event
Gets an identifier for this event
str
next_event_utc_timeGets the next time this scheduled event will fire in UTC
Gets the next time this scheduled event will fire in UTC
datetime
ALGORITHM_END_OF_DAY_DELTAGets the default time before midnight end of day events will fire
Gets the default time before midnight end of day events will fire
timedelta
SECURITY_END_OF_DAY_DELTAGets the default time before market close end of trading day events will fire
Gets the default time before market close end of trading day events will fire
timedelta
Security
A base vehicle properties class for providing a common interface to all assets in QuantConnect.
clear()Removes every custom property that had been set.
get_last_data()Get the last price update set to the security if any else null
BaseData
refresh_data_normalization_mode_property()This method will refresh the value of the DataNormalizationMode property. This is required for backward-compatibility. TODO: to be deleted with the DataNormalizationMode property
set_buying_power_model(buying_power_model)Sets the buying power model
- buying_power_model (IBuyingPowerModel)
set_buying_power_model(py_object)Sets the buying power model
- py_object (PyObject)
set_data_filter(py_object)Set Security Data Filter
- py_object (PyObject)
set_data_filter(data_filter)Set Security Data Filter
- data_filter (ISecurityDataFilter)
set_fee_model(feel_model)Sets the fee model
- feel_model (IFeeModel | PyObject)
set_fill_model(fill_model)Sets the fill model
- fill_model (PyObject | IFillModel)
set_leverage(leverage)Set the leverage parameter for this security
- leverage (float)
set_local_time_keeper(local_time_keeper)Sets the LocalTimeKeeper to be used for this
- local_time_keeper (LocalTimeKeeper)
set_margin_interest_rate_model(margin_interest_rate_model)Sets the margin interests rate model
- margin_interest_rate_model (IMarginInterestRateModel)
set_margin_interest_rate_model(py_object)Sets the margin interests rate model
- py_object (PyObject)
set_margin_model(py_object)Sets the margin model
- py_object (PyObject)
set_margin_model(margin_model)Sets the margin model
- margin_model (IBuyingPowerModel)
set_market_price(data)Update any security properties based on the latest market data and time
- data (BaseData)
set_settlement_model(settlement_model)Sets the settlement model
- settlement_model (PyObject | ISettlementModel)
set_shortable_provider(py_object)set_shortable_provider(shortable_provider)set_slippage_model(slippage_model)Sets the slippage model
- slippage_model (PyObject | ISlippageModel)
set_volatility_model(volatility_model)Sets the volatility model
- volatility_model (PyObject | IVolatilityModel)
update(data, data_type, contains_fill_forward_data=None)Updates all of the security properties, such as price/OHLCV/bid/ask based on the data provided. Data is also stored into the security's data cache
- data (IReadOnlyList[BaseData])
- data_type (Type)
- contains_fill_forward_data (bool, optional)
ask_priceGets the most recent ask price if available
Gets the most recent ask price if available
float
ask_sizeGets the most recent ask size if available
Gets the most recent ask size if available
float
bid_priceGets the most recent bid price if available
Gets the most recent bid price if available
float
bid_sizeGets the most recent bid size if available
Gets the most recent bid size if available
float
buying_power_modelGets the buying power model used for this security
Gets the buying power model used for this security
IBuyingPowerModel
cacheData cache for the security to store previous price information.
Data cache for the security to store previous price information.
SecurityCache
closeIf this uses tradebar data, return the most recent close.
If this uses tradebar data, return the most recent close.
float
dataProvides dynamic access to data in the cache
Provides dynamic access to data in the cache
object
data_filterCustomizable data filter to filter outlier ticks before they are passed into user event handlers. By default all ticks are passed into the user algorithms.
Customizable data filter to filter outlier ticks before they are passed into user event handlers. By default all ticks are passed into the user algorithms.
ISecurityDataFilter
exchangeExchange class contains the market opening hours, along with pre-post market hours.
Exchange class contains the market opening hours, along with pre-post market hours.
SecurityExchange
fee_modelFee model used to compute order fees for this security
Fee model used to compute order fees for this security
IFeeModel
fill_modelFill model used to produce fill events for this security
Fill model used to produce fill events for this security
IFillModel
fundamentalsGets the fundamental data associated with the security if there is any, otherwise null.
Gets the fundamental data associated with the security if there is any, otherwise null.
has_dataThere has been at least one datapoint since our algorithm started running for us to determine price.
There has been at least one datapoint since our algorithm started running for us to determine price.
bool
highIf this uses tradebar data, return the most recent high.
If this uses tradebar data, return the most recent high.
float
hold_stockRead only property that checks if we currently own stock in the company.
Read only property that checks if we currently own stock in the company.
bool
holdingsHoldings class contains the portfolio, cash and processes order fills.
Holdings class contains the portfolio, cash and processes order fills.
SecurityHolding
investedAlias for HoldStock - Do we have any of this security
Alias for HoldStock - Do we have any of this security
bool
is_delistedTrue if the security has been delisted from exchanges and is no longer tradable
True if the security has been delisted from exchanges and is no longer tradable
bool
is_tradableGets or sets whether or not this security should be considered tradable
Gets or sets whether or not this security should be considered tradable
bool
itemGets or sets the specified custom property through the indexer. This is a wrapper around the String) and
Gets or sets the specified custom property through the indexer. This is a wrapper around the String) and
object
leverageLeverage for this Security.
Leverage for this Security.
float
local_timeLocal time for this market
Local time for this market
datetime
lowIf this uses tradebar data, return the most recent low.
If this uses tradebar data, return the most recent low.
float
margin_interest_rate_modelGets or sets the margin interest rate model
Gets or sets the margin interest rate model
IMarginInterestRateModel
margin_modelGets the buying power model used for this security, an alias for BuyingPowerModel
Gets the buying power model used for this security, an alias for BuyingPowerModel
IBuyingPowerModel
openIf this uses tradebar data, return the most recent open.
If this uses tradebar data, return the most recent open.
float
open_interestAccess to the open interest of the security today
Access to the open interest of the security today
int
portfolio_modelGets the portfolio model used by this security
Gets the portfolio model used by this security
ISecurityPortfolioModel
priceGet the current value of the security.
Get the current value of the security.
float
price_variation_modelCustomizable price variation model used to define the minimum price variation of this security. By default minimum price variation is a constant find in the symbol-properties-database.
Customizable price variation model used to define the minimum price variation of this security. By default minimum price variation is a constant find in the symbol-properties-database.
IPriceVariationModel
quote_currencyGets the Cash object used for converting the quote currency to the account currency
Gets the Cash object used for converting the quote currency to the account currency
Cash
settlement_modelGets the settlement model used for this security
Gets the settlement model used for this security
ISettlementModel
shortable_providerThis securities IShortableProvider
This securities IShortableProvider
IintableProvider
slippage_modelSlippage model use to compute slippage of market orders
Slippage model use to compute slippage of market orders
ISlippageModel
subscriptionsGets all the subscriptions for this security
Gets all the subscriptions for this security
List[SubscriptionDataConfig]
symbolsymbol_propertiesGets the symbol properties for this security
Gets the symbol properties for this security
typevolatility_modelGets the volatility model used for this security
Gets the volatility model used for this security
IVolatilityModel
volumeAccess to the volume of the equity today
Access to the volume of the equity today
float
NULL_LEVERAGEA null security leverage value
A null security leverage value
float
SecurityChanges
Defines the additions and subtractions to the algorithm's security subscriptions
added_securitiesGets the symbols that were added by universe selection
Gets the symbols that were added by universe selection
IReadOnlyList[Security]
countGets the total count of added and removed securities
Gets the total count of added and removed securities
int
filter_custom_securitiesTrue will filter out custom securities from the AddedSecurities and
True will filter out custom securities from the AddedSecurities and
bool
filter_internal_securitiesTrue will filter out internal securities from the AddedSecurities and
True will filter out internal securities from the AddedSecurities and
bool
removed_securitiesGets the symbols that were removed by universe selection. This list may include symbols that were removed, but are still receiving data due to existing holdings or open orders
Gets the symbols that were removed by universe selection. This list may include symbols that were removed, but are still receiving data due to existing holdings or open orders
IReadOnlyList[Security]
NONEGets an instance that represents no changes have been made
Gets an instance that represents no changes have been made
SecurityExchangeHours
Represents the schedule of a security exchange. This includes daily regular and extended market hours as well as holidays, early closes and late opens.
get_market_hours(local_date_time)Helper to access the market hours field based on the day of week
- local_date_time (datetime)
LocalMarketHours
get_next_market_close(local_date_time, extended_market_hours)Gets the local date time corresponding to the next market close following the specified time
- local_date_time (datetime)
- extended_market_hours (bool)
datetime
get_next_market_open(local_date_time, extended_market_hours)Gets the local date time corresponding to the next market open following the specified time
- local_date_time (datetime)
- extended_market_hours (bool)
datetime
get_next_trading_day(date)Gets the next trading day
- date (datetime)
datetime
get_previous_market_open(local_date_time, extended_market_hours)Gets the local date time corresponding to the previous market open to the specified time
- local_date_time (datetime)
- extended_market_hours (bool)
datetime
get_previous_trading_day(local_date)Gets the previous trading day
- local_date (datetime)
datetime
is_date_open(local_date_time)Determines if the exchange will be open on the date specified by the local date time
- local_date_time (datetime)
bool
is_open(start_local_date_time, end_local_date_time, extended_market_hours)Determines if the exchange is open at the specified local date time.
- start_local_date_time (datetime)
- end_local_date_time (datetime)
- extended_market_hours (bool)
bool
is_open(local_date_time, extended_market_hours)Determines if the exchange is open at the specified local date time.
- local_date_time (datetime)
- extended_market_hours (bool)
bool
early_closesGets the early closes for this exchange
Gets the early closes for this exchange
IReadOnlyDict[datetime, timedelta]
holidaysGets the holidays for the exchange
Gets the holidays for the exchange
HashSet[datetime]
is_market_always_openChecks whether the market is always open or not
Checks whether the market is always open or not
bool
late_opensGets the late opens for this exchange
Gets the late opens for this exchange
IReadOnlyDict[datetime, timedelta]
market_hoursGets the market hours for this exchange
Gets the market hours for this exchange
IReadOnlyDict[DayOfWeek, LocalMarketHours]
regular_market_durationGets the most common tradable time during the market week. For a normal US equity trading day this is 6.5 hours. This does NOT account for extended market hours and only considers Market
Gets the most common tradable time during the market week. For a normal US equity trading day this is 6.5 hours. This does NOT account for extended market hours and only considers Market
timedelta
time_zoneGets the time zone this exchange resides in
Gets the time zone this exchange resides in
datetimeZone
SecurityManager
Enumerable security management class for grouping security objects into an array and providing any common properties.
clear()Clear the securities array to delete all the portfolio and asset information.
contains(pair)Check if this collection contains this key value pair.
- pair (Dict[Symbol, Security])
bool
contains_key(symbol)copy()Creates a shallow copy of the dictionary.
PyDict
copy_to(array, number)Copy from the internal array to an external array.
- array (Dict`2)
- number (int)
create_security(symbol, subscription_data_config_list, leverage=0.0, add_to_symbol_cache=True, underlying=None)Creates a new security
- symbol (Symbol)
- subscription_data_config_list (List[SubscriptionDataConfig])
- leverage (float, optional)
- add_to_symbol_cache (bool, optional)
- underlying (Security, optional)
create_security(symbol, subscription_data_config, leverage=0.0, add_to_symbol_cache=True, underlying=None)Creates a new security
- symbol (Symbol)
- subscription_data_config (SubscriptionDataConfig)
- leverage (float, optional)
- add_to_symbol_cache (bool, optional)
- underlying (Security, optional)
fromkeys(sequence, value)Creates a new dictionary from the given sequence of elements.
PyDict
items()Returns a view object that displays a list of dictionary's (Symbol, value) tuple pairs.
PyList
keys()Returns a view object that displays a list of all the Symbol objects in the dictionary
PyList
pop(symbol, default_value)Returns and removes an arbitrary element (Symbol, value) pair from the dictionary.
popitem()Returns and removes an arbitrary element (Symbol, value) pair from the dictionary.
PyTuple
set_live_mode(is_live_mode)Set live mode state of the algorithm
- is_live_mode (bool)
set_security_service(security_service)Sets the Security Service to be used
- security_service (SecurityService)
setdefault(symbol, default_value)Returns the value of a Symbol (if the Symbol is in dictionary). If not, it inserts Symbol with a value to the dictionary.
try_get_value(symbol, security)Try and get this security object with matching symbol and return true on success.
bool
update(other)Updates the dictionary with the elements from the another dictionary object or from an iterable of Symbol/value pairs. The update() method adds element(s) to the dictionary if the Symbol is not in the dictionary.If the Symbol is in the dictionary, it updates the Symbol with the new value.
- other (PyObject)
values()Returns a view object that displays a list of all the values in the dictionary.
PyList
countCount of the number of securities in the collection.
Count of the number of securities in the collection.
int
is_read_onlyFlag indicating if the internal array is read only.
Flag indicating if the internal array is read only.
bool
itemIndexer method for the security manager to access the securities objects by their symbol.
Indexer method for the security manager to access the securities objects by their symbol.
keysList of the symbol-keys in the collection of securities.
List of the symbol-keys in the collection of securities.
ICollection[Symbol]
totalGet a list of the complete security objects for this collection, including non active or delisted securities
Get a list of the complete security objects for this collection, including non active or delisted securities
ICollection[Security]
utc_timeGets the most recent time this manager was updated
Gets the most recent time this manager was updated
datetime
valuesGet a list of the security objects for this collection.
Get a list of the security objects for this collection.
ICollection[Security]
SecurityPortfolioManager
Portfolio manager class groups popular properties and makes them accessible through one interface. It also provide indexing by the vehicle symbol to get the Security.Holding objects.
add_transaction_record(time, transaction_profit_loss, is_win)Record the transaction value and time in a list to later be processed for statistics creation.
- time (datetime)
- transaction_profit_loss (float)
- is_win (bool)
apply_dividend(dividend, live_mode, mode)Applies a dividend to the portfolio
- dividend (Dividend)
- live_mode (bool)
- mode (DataNormalizationMode)
apply_split(split, security, live_mode, mode)Applies a split to the portfolio
- split (Split)
- security (Security)
- live_mode (bool)
- mode (DataNormalizationMode)
clear()Clear the portfolio of securities objects.
contains(pair)Check if the portfolio contains this symbol string.
- pair (Dict[Symbol, SecurityHolding])
bool
contains_key(symbol)copy()Creates a shallow copy of the dictionary.
PyDict
copy_to(array, index)Copy contents of the portfolio collection to a new destination.
- array (Dict`2)
- index (int)
fromkeys(sequence, value)Creates a new dictionary from the given sequence of elements.
- sequence (Symbol)
- value (SecurityHolding)
PyDict
get_buying_power(symbol, direction=0)Gets the margin available for trading a specific symbol in a specific direction. Alias for OrderDirection)
- symbol (Symbol)
- direction (OrderDirection, optional)
float
get_margin_remaining(symbol, direction=0)Gets the remaining margin on the account in the account's currency for the given total portfolio value
- symbol (Symbol)
- direction (OrderDirection, optional)
float
get_margin_remaining(total_portfolio_value)Gets the remaining margin on the account in the account's currency for the given total portfolio value
- total_portfolio_value (float)
float
has_sufficient_buying_power_for_order(orders)Will determine if the algorithms portfolio has enough buying power to fill the given orders
- orders (List[Order])
HasSufficientBuyingPowerForOrderResult
invalidate_total_portfolio_value()Will flag the current TotalPortfolioValue as invalid so it is recalculated when gotten
items()Returns a view object that displays a list of dictionary's (Symbol, value) tuple pairs.
PyList
keys()Returns a view object that displays a list of all the Symbol objects in the dictionary
PyList
log_margin_information(order_request=None)Logs margin information for debugging
- order_request (OrderRequest, optional)
pop(symbol, default_value)Returns and removes an arbitrary element (Symbol, value) pair from the dictionary.
- symbol (Symbol)
- default_value (SecurityHolding)
SecurityHolding
popitem()Returns and removes an arbitrary element (Symbol, value) pair from the dictionary.
PyTuple
process_fills(fills)Calculate the new average price after processing a list of partial/complete order fill events.
- fills (List[OrderEvent])
set_account_currency(account_currency, starting_cash=None)Sets the account currency cash symbol this algorithm is to manage, as well as the starting cash in this currency if given
- account_currency (str)
- starting_cash (float, optional)
set_cash(symbol, cash, conversion_rate)Set the account currency cash this algorithm is to manage.
- symbol (str)
- cash (float)
- conversion_rate (float)
set_margin_call_model(margin_call_model)Sets the margin call model
- margin_call_model (IMarginCallModel)
set_margin_call_model(py_object)Sets the margin call model
- py_object (PyObject)
set_positions(position_group_model)Will set the security position group model to use
- position_group_model (SecurityPositionGroupModel)
setdefault(symbol, default_value)Returns the value of a Symbol (if the Symbol is in dictionary). If not, it inserts Symbol with a value to the dictionary.
- symbol (Symbol)
- default_value (SecurityHolding)
SecurityHolding
try_get_value(symbol, holding)Attempt to get the value of the securities holding class if this symbol exists.
- symbol (Symbol)
- holding (SecurityHolding&)
bool
update(other)Updates the dictionary with the elements from the another dictionary object or from an iterable of Symbol/value pairs. The update() method adds element(s) to the dictionary if the Symbol is not in the dictionary.If the Symbol is in the dictionary, it updates the Symbol with the new value.
- other (PyObject)
values()Returns a view object that displays a list of all the values in the dictionary.
PyList
cashSum of all currencies in account in US dollars (only settled cash)
Sum of all currencies in account in US dollars (only settled cash)
float
cash_bookGets the cash book that keeps track of all currency holdings (only settled cash)
Gets the cash book that keeps track of all currency holdings (only settled cash)
CashBook
countCount the securities objects in the portfolio.
Count the securities objects in the portfolio.
int
hold_stockBoolean flag indicating we have any holdings in the portfolio.
Boolean flag indicating we have any holdings in the portfolio.
bool
investedAlias for HoldStock. Check if we have any holdings.
Alias for HoldStock. Check if we have any holdings.
bool
is_read_onlyCheck if the underlying securities array is read only.
Check if the underlying securities array is read only.
bool
itemIndexer for the PortfolioManager class to access the underlying security holdings objects.
Indexer for the PortfolioManager class to access the underlying security holdings objects.
SecurityHolding
keysSymbol keys collection of the underlying assets in the portfolio.
Symbol keys collection of the underlying assets in the portfolio.
ICollection[Symbol]
margin_call_modelGets or sets the MarginCallModel for the portfolio. This is used to executed margin call orders.
Gets or sets the MarginCallModel for the portfolio. This is used to executed margin call orders.
IMarginCallModel
margin_remainingGets the remaining margin on the account in the account's currency
Gets the remaining margin on the account in the account's currency
float
positionsLocal access to the position manager
Local access to the position manager
SecurityPositionGroupModel
total_absolute_holdings_costGets the total absolute holdings cost of the portfolio. This sums up the individual absolute cost of each holding
Gets the total absolute holdings cost of the portfolio. This sums up the individual absolute cost of each holding
float
total_feesTotal fees paid during the algorithm operation across all securities in portfolio.
Total fees paid during the algorithm operation across all securities in portfolio.
float
total_holdings_valueAbsolute sum the individual items in portfolio.
Absolute sum the individual items in portfolio.
float
total_margin_usedGets the total margin used across all securities in the account's currency
Gets the total margin used across all securities in the account's currency
float
total_net_profitSum of all net profit across all securities in portfolio and dividend payments.
Sum of all net profit across all securities in portfolio and dividend payments.
float
total_portfolio_valueTotal portfolio value if we sold all holdings at current market rates.
Total portfolio value if we sold all holdings at current market rates.
float
total_portfolio_value_less_free_bufferReturns the adjusted total portfolio value removing the free amount If the FreePortfolioValue has not been set, the free amount will have a trailing behavior and be updated when requested
Returns the adjusted total portfolio value removing the free amount If the FreePortfolioValue has not been set, the free amount will have a trailing behavior and be updated when requested
float
total_profitSum of all gross profit across all securities in portfolio and dividend payments.
Sum of all gross profit across all securities in portfolio and dividend payments.
float
total_sale_volumeTotal sale volume since the start of algorithm operations.
Total sale volume since the start of algorithm operations.
float
total_unlevered_absolute_holdings_costAbsolute value of cash discounted from our total cash by the holdings we own.
Absolute value of cash discounted from our total cash by the holdings we own.
float
total_unrealised_profitGet the total unrealised profit in our portfolio from the individual security unrealized profits.
Get the total unrealised profit in our portfolio from the individual security unrealized profits.
float
total_unrealized_profitGet the total unrealised profit in our portfolio from the individual security unrealized profits.
Get the total unrealised profit in our portfolio from the individual security unrealized profits.
float
unsettled_cashSum of all currencies in account in US dollars (only unsettled cash)
Sum of all currencies in account in US dollars (only unsettled cash)
float
unsettled_cash_bookGets the cash book that keeps track of all currency holdings (only unsettled cash)
Gets the cash book that keeps track of all currency holdings (only unsettled cash)
CashBook
valuesCollection of securities objects in the portfolio.
Collection of securities objects in the portfolio.
ICollection[SecurityHolding]
securitiesLocal access to the securities collection for the portfolio summation.
Local access to the securities collection for the portfolio summation.
transactionsLocal access to the transactions collection for the portfolio summation and updates.
Local access to the transactions collection for the portfolio summation and updates.
SecurityTransactionManager
Algorithm Transactions Manager - Recording Transactions
add_order(request)Add an order to collection and return the unique order id or negative if an error.
- request (SubmitOrderRequest)
add_transaction_record(time, transaction_profit_loss, is_win)Record the transaction value and time in a list to later be processed for statistics creation.
- time (datetime)
- transaction_profit_loss (float)
- is_win (bool)
cancel_open_orders(symbol, tag=None)Cancels all open orders for all symbols
- symbol (Symbol)
- tag (str, optional)
List[OrderTicket]
cancel_order(order_id, order_tag=None)Added alias for RemoveOrder -
- order_id (int)
- order_tag (str, optional)
get_increment_group_order_manager_id()Get a new group order manager id, and increment the internal counter.
int
get_increment_order_id()Get a new order id, and increment the internal counter.
int
get_open_order_tickets(symbol)Get an enumerable of open OrderTicket for the specified symbol
- symbol (Symbol)
List[OrderTicket]
get_open_order_tickets(filter)Get an enumerable of open OrderTicket for the specified symbol
- filter (PyObject | 0, Culture=neutral, PublicKeyToken=7cec85d7bea7798e]])
List[OrderTicket]
get_open_orders(symbol)Gets the remaining quantity to be filled from open orders, i.e. order size minus quantity filled
- symbol (Symbol)
List[Order]
get_open_orders(filter)Gets the remaining quantity to be filled from open orders, i.e. order size minus quantity filled
- filter (PyObject | 0, Culture=neutral, PublicKeyToken=7cec85d7bea7798e]])
List[Order]
get_open_orders_remaining_quantity(filter)Gets the remaining quantity to be filled from open orders, i.e. order size minus quantity filled
- filter (PyObject | 0, Culture=neutral, PublicKeyToken=7cec85d7bea7798e]])
float
get_open_orders_remaining_quantity(symbol)Gets the remaining quantity to be filled from open orders, i.e. order size minus quantity filled
- symbol (Symbol)
float
get_order_by_id(order_id)Get the order by its id
- order_id (int)
Order
get_order_ticket(order_id)Gets an enumerable of OrderTicket matching the specified filter
- order_id (int)
get_order_tickets(filter)Gets an enumerable of OrderTicket matching the specified filter
- filter (PyObject | 0, Culture=neutral, PublicKeyToken=7cec85d7bea7798e]])
List[OrderTicket]
get_orders(filter)Gets the order by its brokerage id
- filter (PyObject | 0, Culture=neutral, PublicKeyToken=7cec85d7bea7798e]])
List[Order]
get_orders_by_brokerage_id(brokerage_id)Gets the order by its brokerage id
- brokerage_id (str)
List[Order]
process_request(request)remove_order(order_id, tag=None)Remove this order from outstanding queue: user is requesting a cancel.
- order_id (int)
- tag (str, optional)
set_live_mode(is_live_mode)Set live mode state of the algorithm
- is_live_mode (bool)
set_order_id(request)set_order_processor(order_provider)Sets the IOrderProvider used for fetching orders for the algorithm
- order_provider (IOrderProcessor)
update_order(request)Update an order yet to be filled such as stop or limit orders.
- request (UpdateOrderRequest)
wait_for_order(order_id)Wait for a specific order to be either Filled, Invalid or Canceled
- order_id (int)
bool
last_order_idGet the last order id.
Get the last order id.
int
losing_transactionsTrade record of profits and losses for each trade statistics calculations that are considered losing trades
Trade record of profits and losses for each trade statistics calculations that are considered losing trades
Dict[datetime, float]
loss_countGets the number of losing transactions
Gets the number of losing transactions
int
market_order_fill_timeoutConfigurable timeout for market order fills
Configurable timeout for market order fills
timedelta
orders_countGets the current number of orders that have been processed
Gets the current number of orders that have been processed
int
transaction_recordTrade record of profits and losses for each trade statistics calculations
Trade record of profits and losses for each trade statistics calculations
Dict[datetime, float]
utc_timeGets the time the security information was last updated
Gets the time the security information was last updated
datetime
win_countGets the number or winning transactions
Gets the number or winning transactions
int
winning_transactionsTrade record of profits and losses for each trade statistics calculations that are considered winning trades
Trade record of profits and losses for each trade statistics calculations that are considered winning trades
Dict[datetime, float]
SecurityType
Type of tradable security / underlying asset
BASEBase class for all security types (0)
Base class for all security types (0)
CFDContract For a Difference Security Type (6)
Contract For a Difference Security Type (6)
COMMODITYCRYPTOCryptocurrency Security Type (7)
Cryptocurrency Security Type (7)
CRYPTO_FUTUREEQUITYFOREXFUTUREFUTURE_OPTIONFutures Options Security Type (8)
Futures Options Security Type (8)
INDEXINDEX_OPTIONOPTIONSeriesType
Available types of chart series
BARCANDLEFLAGHEATMAPHeatmap Plot (9) -- NOTE: 8 is reserved
Heatmap Plot (9) -- NOTE: 8 is reserved
LINEPIESCATTERScatter Plot for Chart Distinct Types (1)
Scatter Plot for Chart Distinct Types (1)
SCATTER_3DSTACKED_AREA100% area chart showing relative proportions of series values at each time index (5)
100% area chart showing relative proportions of series values at each time index (5)
TREEMAPSignalExportManager
Class manager to send portfolio targets to different 3rd party API's For example, it allows Collective2, CrunchDAO and Numerai signal export providers
add_signal_export_providers(signal_exports)Adds one or more new signal exports providers
- signal_exports (ISignalExportTarget)
set_target_portfolio(portfolio_targets)Sets the portfolio targets from the algorihtm's Portfolio and sends them with the algorithm being ran to the signal exports providers already set
- portfolio_targets (PortfolioTarget)
bool
set_target_portfolio_from_portfolio()Sets the portfolio targets from the algorihtm's Portfolio and sends them with the algorithm being ran to the signal exports providers already set
bool
Slice
Provides a data structure for all of an algorithm's data at a single time step
clear()Removes all keys and values from the dictionary.
contains_key(symbol)Determines whether this instance contains data for the specified symbol
- symbol (Symbol)
bool
copy()Creates a shallow copy of the dictionary.
PyDict
fromkeys(sequence, value)Creates a new dictionary from the given sequence of elements.
- sequence (Symbol)
- value (object)
PyDict
get(symbol, value)Returns the value for the specified Symbol if Symbol is in dictionary.
- symbol (Symbol)
- value (object)
object
get(type)Gets the DataDictionary`1 for all data of the specified type
- type (Type)
object
get_enumerator()Returns an enumerator that iterates through the collection.
IEnumerator[Dict[Symbol, BaseData]]
items()Returns a view object that displays a list of dictionary's (Symbol, value) tuple pairs.
PyList
keys()Returns a view object that displays a list of all the Symbol objects in the dictionary
PyList
merge_slice(input_slice)pop(symbol, default_value)Returns and removes an arbitrary element (Symbol, value) pair from the dictionary.
- symbol (Symbol)
- default_value (object)
object
popitem()Returns and removes an arbitrary element (Symbol, value) pair from the dictionary.
PyTuple
remove(symbol)setdefault(symbol, default_value)Returns the value of a Symbol (if the Symbol is in dictionary). If not, it inserts Symbol with a value to the dictionary.
- symbol (Symbol)
- default_value (object)
object
try_get_value(symbol, data)Gets the data associated with the specified symbol
- symbol (Symbol)
- data (Object&)
bool
update(other)Updates the dictionary with the elements from the another dictionary object or from an iterable of Symbol/value pairs. The update() method adds element(s) to the dictionary if the Symbol is not in the dictionary.If the Symbol is in the dictionary, it updates the Symbol with the new value.
- other (PyObject)
values()Returns a view object that displays a list of all the values in the dictionary.
PyList
all_dataAll the data hold in this slice
All the data hold in this slice
List[BaseData]
barsGets the TradeBars for this slice of data
Gets the TradeBars for this slice of data
TradeBars
countGets the number of symbols held in this slice
Gets the number of symbols held in this slice
int
delistingsGets the Delistings for this slice of data
Gets the Delistings for this slice of data
dividendsGets the Dividends for this slice of data
Gets the Dividends for this slice of data
future_chainsGets the FuturesChains for this slice of data
Gets the FuturesChains for this slice of data
FuturesChains
futures_chainsGets the FuturesChains for this slice of data
Gets the FuturesChains for this slice of data
FuturesChains
has_dataGets whether or not this slice has data
Gets whether or not this slice has data
bool
is_read_onlyGets a value indicating whether the IDictionary object is read-only.
Gets a value indicating whether the IDictionary object is read-only.
bool
itemGets the data corresponding to the specified symbol. If the requested data is of Tick, then a
Gets the data corresponding to the specified symbol. If the requested data is of Tick, then a
object
keysGets all the symbols in this slice
Gets all the symbols in this slice
IReadOnlyList[Symbol]
margin_interest_ratesGets the MarginInterestRates for this slice of data
Gets the MarginInterestRates for this slice of data
MarginInterestRates
option_chainsGets the OptionChains for this slice of data
Gets the OptionChains for this slice of data
OptionChains
quote_barsGets the QuoteBars for this slice of data
Gets the QuoteBars for this slice of data
QuoteBars
splitssymbol_changed_eventsGets the SymbolChangedEvents for this slice of data
Gets the SymbolChangedEvents for this slice of data
ticksGets the Ticks for this slice of data
Gets the Ticks for this slice of data
Ticks
timeGets the timestamp for this slice of data
Gets the timestamp for this slice of data
datetime
utc_timeGets the timestamp for this slice of data in UTC
Gets the timestamp for this slice of data in UTC
datetime
valuesGets a list of all the data in this slice
Gets a list of all the data in this slice
IReadOnlyList[BaseData]
Splits
Collection of splits keyed by Symbol
add(key, value)add(item)Adds an item to the list.
- item (Dict[Symbol, Split])
clear()Removes all keys and values from the dictionary.
contains(item)Determines whether the list contains a specific value.
- item (Dict[Symbol, Split])
bool
contains_key(key)Determines whether the dictionary contains an element with the specified key.
- key (Symbol)
bool
copy()Creates a shallow copy of the dictionary.
PyDict
copy_to(array, array_index)Copies the elements of the list to an
- array (Dict`2)
- array_index (int)
fromkeys(sequence, value)Creates a new dictionary from the given sequence of elements.
- sequence (Symbol)
- value (Split)
PyDict
get(symbol, value)Returns the value for the specified Symbol if Symbol is in dictionary.
- symbol (Symbol)
- value (Split)
Split
get_enumerator()Returns an enumerator that iterates through the collection.
IEnumerator[Dict[Symbol, Split]]
get_value(key)items()Returns a view object that displays a list of dictionary's (Symbol, value) tuple pairs.
PyList
keys()Returns a view object that displays a list of all the Symbol objects in the dictionary
PyList
pop(symbol, default_value)Returns and removes an arbitrary element (Symbol, value) pair from the dictionary.
- symbol (Symbol)
- default_value (Split)
Split
popitem()Returns and removes an arbitrary element (Symbol, value) pair from the dictionary.
PyTuple
remove(item)Removes the first occurrence of a specific object from the list.
- item (Dict[Symbol, Split])
bool
remove(key)Removes the first occurrence of a specific object from the list.
- key (Symbol)
bool
setdefault(symbol, default_value)Returns the value of a Symbol (if the Symbol is in dictionary). If not, it inserts Symbol with a value to the dictionary.
- symbol (Symbol)
- default_value (Split)
Split
try_get_value(key, value)Gets the value associated with the specified key.
bool
update(other)Updates the dictionary with the elements from the another dictionary object or from an iterable of Symbol/value pairs. The update() method adds element(s) to the dictionary if the Symbol is not in the dictionary.If the Symbol is in the dictionary, it updates the Symbol with the new value.
- other (PyObject)
values()Returns a view object that displays a list of all the values in the dictionary.
PyList
countGets the number of elements contained in the list.
Gets the number of elements contained in the list.
int
is_read_onlyGets a value indicating whether the list is read-only.
Gets a value indicating whether the list is read-only.
bool
itemGets or sets the Split with the specified ticker.
Gets or sets the Split with the specified ticker.
Split
keysGets a list containing the keys of the
Gets a list containing the keys of the
ICollection[Symbol]
timeGets or sets the time associated with this collection of data
Gets or sets the time associated with this collection of data
datetime
valuesGets a list containing the values in the
Gets a list containing the values in the
ICollection[Split]
StatisticsResults
The StatisticsResults class represents total and rolling statistics for an algorithm
rolling_performancesThe rolling performance of the algorithm over 1, 3, 6, 12 month periods
The rolling performance of the algorithm over 1, 3, 6, 12 month periods
Dict[str, AlgorithmPerformance]
summaryReturns a summary of the algorithm performance as a dictionary
Returns a summary of the algorithm performance as a dictionary
Dict[str, str]
total_performanceThe performance of the algorithm over the whole period
The performance of the algorithm over the whole period
AlgorithmPerformance
SubmitOrderRequest
Defines a request to submit a new order
set_response(response, status=3)Sets the Response for this request
- response (OrderResponse)
- status (OrderRequestStatus, optional)
group_order_managerGets the manager for the combo order. If null, the order is not a combo order.
Gets the manager for the combo order. If null, the order is not a combo order.
GroupOrderManager
limit_priceGets the limit price of the order, zero if not a limit order
Gets the limit price of the order, zero if not a limit order
float
order_idGets the order id the request acts on
Gets the order id the request acts on
int
order_propertiesGets the order properties for this request
Gets the order properties for this request
IOrderProperties
order_request_typeGets Submit
Gets Submit
OrderRequestType
order_typeGets the order type od the order
Gets the order type od the order
OrderType
quantityGets the quantity of the order
Gets the quantity of the order
float
responseGets the response for this request. If this request was never processed then this will equal Unprocessed. This value is never equal to null.
Gets the response for this request. If this request was never processed then this will equal Unprocessed. This value is never equal to null.
OrderResponse
security_typeGets the security type of the symbol
Gets the security type of the symbol
statusGets the status of this request
Gets the status of this request
OrderRequestStatus
stop_priceGets the stop price of the order, zero if not a stop order
Gets the stop price of the order, zero if not a stop order
float
symboltagGets a tag for this request
Gets a tag for this request
str
timeGets the UTC time the request was created
Gets the UTC time the request was created
datetime
trailing_amountTrailing amount for a trailing stop order
Trailing amount for a trailing stop order
float
trailing_as_percentageDetermines whether the TrailingAmount is a percentage or an absolute currency value
Determines whether the TrailingAmount is a percentage or an absolute currency value
bool
trigger_pricePrice which must first be reached before a limit order can be submitted.
Price which must first be reached before a limit order can be submitted.
float
SubscriptionManager
Enumerable Subscription Management Class
add(data_type, tick_type, symbol, resolution, data_time_zone, exchange_time_zone, is_custom_data, fill_forward=True, extended_market_hours=False, is_internal_feed=False, is_filtered_subscription=True, data_normalization_mode=1)Add Market Data Required (Overloaded method for backwards compatibility).
- data_type (Type)
- tick_type (TickType)
- symbol (Symbol)
- resolution (Resolution)
- data_time_zone (datetimeZone)
- exchange_time_zone (datetimeZone)
- is_custom_data (bool)
- fill_forward (bool, optional)
- extended_market_hours (bool, optional)
- is_internal_feed (bool, optional)
- is_filtered_subscription (bool, optional)
- data_normalization_mode (DataNormalizationMode, optional)
SubscriptionDataConfig
add(symbol, resolution, time_zone, exchange_time_zone, is_custom_data=False, fill_forward=True, extended_market_hours=False)Add Market Data Required (Overloaded method for backwards compatibility).
- symbol (Symbol)
- resolution (Resolution)
- time_zone (datetimeZone)
- exchange_time_zone (datetimeZone)
- is_custom_data (bool, optional)
- fill_forward (bool, optional)
- extended_market_hours (bool, optional)
SubscriptionDataConfig
add_consolidator(symbol, consolidator, tick_type=None)Add a consolidator for the symbol
- symbol (Symbol)
- consolidator (IDataConsolidator)
- tick_type (TickType, optional)
add_consolidator(symbol, py_consolidator)get_data_types_for_security(security_type)Get the available data types for a security
- security_type (SecurityType)
IReadOnlyList[TickType]
lookup_subscription_config_data_types(symbol_security_type, resolution, is_canonical)Get the data feed types for a given SecurityType
- symbol_security_type (SecurityType)
- resolution (Resolution)
- is_canonical (bool)
List[Tuple[Type, TickType]]
remove_consolidator(symbol, consolidator)Removes the specified consolidator for the symbol
- symbol (Symbol)
- consolidator (IDataConsolidator)
scan_past_consolidators(new_utc_time, algorithm)Will trigger past consolidator scans
- new_utc_time (datetime)
- algorithm (IAlgorithm)
set_data_manager(subscription_manager)Sets the Subscription Manager
- subscription_manager (IAlgorithmSubscriptionManager)
available_data_typesThe different TickType each
The different TickType each
Dict[SecurityType, List[TickType]]
countGet the count of assets:
Get the count of assets:
int
subscription_data_config_serviceInstance that implements ISubscriptionDataConfigService
Instance that implements ISubscriptionDataConfigService
ISubscriptionDataConfigService
subscriptionsReturns an IEnumerable of Subscriptions
Returns an IEnumerable of Subscriptions
List[SubscriptionDataConfig]
Symbol
Represents a unique security identifier. This is made of two components, the unique SID and the Value. The value is the current ticker symbol while the SID is constant over the life of a security
has_canonical()Determines whether the symbol has a canonical representation
bool
has_underlying_symbol(symbol)Determines if the specified symbol is an underlying of this symbol instance
- symbol (Symbol)
bool
is_canonical()Method returns true, if symbol is a derivative canonical symbol
bool
update_mapped_symbol(mapped_symbol, contract_depth_offset=0)Creates new symbol with updated mapped symbol. Symbol Mapping: When symbols change over time (e.g. CHASE-> JPM) need to update the symbol requested. Method returns newly created symbol
- mapped_symbol (str)
- contract_depth_offset (int, optional)
canonicalGet's the canonical representation of this symbol
Get's the canonical representation of this symbol
cikThe Central Index Key number (CIK) corresponding to this Symbol
The Central Index Key number (CIK) corresponding to this Symbol
int
composite_figiThe composite Financial Instrument Global Identifier (FIGI) corresponding to this Symbol
The composite Financial Instrument Global Identifier (FIGI) corresponding to this Symbol
str
cusipThe Committee on Uniform Securities Identification Procedures (CUSIP) number corresponding to this Symbol
The Committee on Uniform Securities Identification Procedures (CUSIP) number corresponding to this Symbol
str
has_underlyingGets whether or not this Symbol is a derivative, that is, it has a valid
Gets whether or not this Symbol is a derivative, that is, it has a valid
bool
idGets the security identifier for this symbol
Gets the security identifier for this symbol
SecurityIdentifier
isinThe International Securities Identification Number (ISIN) corresponding to this Symbol
The International Securities Identification Number (ISIN) corresponding to this Symbol
str
security_typeGets the security type of the symbol
Gets the security type of the symbol
sedolThe Stock Exchange Daily Official List (SEDOL) security identifier corresponding to this Symbol
The Stock Exchange Daily Official List (SEDOL) security identifier corresponding to this Symbol
str
underlyingGets the security underlying symbol, if any
Gets the security underlying symbol, if any
valueGets the current symbol for this ticker
Gets the current symbol for this ticker
str
EMPTYRepresents an unassigned symbol. This is intended to be used as an uninitialized, default value
Represents an unassigned symbol. This is intended to be used as an uninitialized, default value
NONERepresents no symbol. This is intended to be used when no symbol is explicitly intended
Represents no symbol. This is intended to be used when no symbol is explicitly intended
SymbolChangedEvents
Collection of SymbolChangedEvent keyed by the original, requested symbol
add(key, value)add(item)Adds an item to the list.
- item (Dict[Symbol, SymbolChangedEvent])
clear()Removes all keys and values from the dictionary.
contains(item)Determines whether the list contains a specific value.
- item (Dict[Symbol, SymbolChangedEvent])
bool
contains_key(key)Determines whether the dictionary contains an element with the specified key.
- key (Symbol)
bool
copy()Creates a shallow copy of the dictionary.
PyDict
copy_to(array, array_index)Copies the elements of the list to an
- array (Dict`2)
- array_index (int)
fromkeys(sequence, value)Creates a new dictionary from the given sequence of elements.
- sequence (Symbol)
- value (SymbolChangedEvent)
PyDict
get(symbol, value)Returns the value for the specified Symbol if Symbol is in dictionary.
- symbol (Symbol)
- value (SymbolChangedEvent)
SymbolChangedEvent
get_enumerator()Returns an enumerator that iterates through the collection.
IEnumerator[Dict[Symbol, SymbolChangedEvent]]
get_value(key)Gets the value associated with the specified key.
- key (Symbol)
SymbolChangedEvent
items()Returns a view object that displays a list of dictionary's (Symbol, value) tuple pairs.
PyList
keys()Returns a view object that displays a list of all the Symbol objects in the dictionary
PyList
pop(symbol, default_value)Returns and removes an arbitrary element (Symbol, value) pair from the dictionary.
- symbol (Symbol)
- default_value (SymbolChangedEvent)
SymbolChangedEvent
popitem()Returns and removes an arbitrary element (Symbol, value) pair from the dictionary.
PyTuple
remove(item)Removes the first occurrence of a specific object from the list.
- item (Dict[Symbol, SymbolChangedEvent])
bool
remove(key)Removes the first occurrence of a specific object from the list.
- key (Symbol)
bool
setdefault(symbol, default_value)Returns the value of a Symbol (if the Symbol is in dictionary). If not, it inserts Symbol with a value to the dictionary.
- symbol (Symbol)
- default_value (SymbolChangedEvent)
SymbolChangedEvent
try_get_value(key, value)Gets the value associated with the specified key.
- key (Symbol)
- value (SymbolChangedEvent&)
bool
update(other)Updates the dictionary with the elements from the another dictionary object or from an iterable of Symbol/value pairs. The update() method adds element(s) to the dictionary if the Symbol is not in the dictionary.If the Symbol is in the dictionary, it updates the Symbol with the new value.
- other (PyObject)
values()Returns a view object that displays a list of all the values in the dictionary.
PyList
countGets the number of elements contained in the list.
Gets the number of elements contained in the list.
int
is_read_onlyGets a value indicating whether the list is read-only.
Gets a value indicating whether the list is read-only.
bool
itemGets or sets the SymbolChangedEvent with the specified ticker.
Gets or sets the SymbolChangedEvent with the specified ticker.
SymbolChangedEvent
keysGets a list containing the keys of the
Gets a list containing the keys of the
ICollection[Symbol]
timeGets or sets the time associated with this collection of data
Gets or sets the time associated with this collection of data
datetime
valuesGets a list containing the values in the
Gets a list containing the values in the
ICollection[SymbolChangedEvent]
SymbolProperties
Represents common properties for a specific security, uniquely identified by market, symbol and security type
contract_multiplierThe contract multiplier for the security
The contract multiplier for the security
float
descriptionThe description of the security
The description of the security
str
lot_sizeThe lot size (lot size of the order) for the security
The lot size (lot size of the order) for the security
float
market_tickerThe market ticker
The market ticker
str
minimum_order_sizeThe minimum order size allowed For crypto/forex pairs it's expected to be expressed in base or quote currency i.e For BTC/USD the minimum order size allowed with Coinbase is 0.0001 BTC while on Binance the minimum order size allowed is 10 USD
The minimum order size allowed For crypto/forex pairs it's expected to be expressed in base or quote currency i.e For BTC/USD the minimum order size allowed with Coinbase is 0.0001 BTC while on Binance the minimum order size allowed is 10 USD
float
minimum_price_variationThe minimum price variation (tick size) for the security
The minimum price variation (tick size) for the security
float
price_magnifierAllows normalizing live asset prices to US Dollars for Lean consumption. In some exchanges, for some securities, data is expressed in cents like for example for corn futures ('ZC').
Allows normalizing live asset prices to US Dollars for Lean consumption. In some exchanges, for some securities, data is expressed in cents like for example for corn futures ('ZC').
float
quote_currencyThe quote currency of the security
The quote currency of the security
str
strike_multiplierScale factor for option's strike price. For some options, such as NQX, the strike price is based on a fraction of the underlying, thus this paramater scales the strike price so that it can be used in comparation with the underlying such as in Int32)
Scale factor for option's strike price. For some options, such as NQX, the strike price is based on a fraction of the underlying, thus this paramater scales the strike price so that it can be used in comparation with the underlying such as in Int32)
float
TimeRules
Helper class used to provide better syntax when defining time rules
after_market_open(symbol, minutes_after_open=0.0, extended_market_open=False)Specifies an event should fire at market open +- minutesAfterOpen
- symbol (Symbol)
- minutes_after_open (float, optional)
- extended_market_open (bool, optional)
ITimeRule
at(hour, minute, second, time_zone)Specifies an event should fire at the specified time of day in the algorithm's time zone
- hour (int)
- minute (int)
- second (int)
- time_zone (datetimeZone)
ITimeRule
at(time_of_day, time_zone)Specifies an event should fire at the specified time of day in the algorithm's time zone
- time_of_day (timedelta)
- time_zone (datetimeZone)
ITimeRule
before_market_close(symbol, minutes_before_close=0.0, extended_market_close=False)Specifies an event should fire at the market close +- minutesBeforeClose
- symbol (Symbol)
- minutes_before_close (float, optional)
- extended_market_close (bool, optional)
ITimeRule
every(interval)Specifies an event should fire periodically on the requested interval
- interval (timedelta)
ITimeRule
set_default_time_zone(time_zone)Sets the default time zone
- time_zone (datetimeZone)
midnightConvenience property for running a scheduled event at midnight in the algorithm time zone
Convenience property for running a scheduled event at midnight in the algorithm time zone
ITimeRule
noonConvenience property for running a scheduled event at noon in the algorithm time zone
Convenience property for running a scheduled event at noon in the algorithm time zone
ITimeRule
nowSpecifies an event should fire at the current time
Specifies an event should fire at the current time
ITimeRule
TradeBar
TradeBar class for second and minute resolution data: An OHLC implementation of the QuantConnect BaseData class with parameters for candles.
clone(fill_forward)Return a new instance clone of this object, used in fill forward
- fill_forward (bool)
BaseData
data_time_zone()Specifies the data time zone for this data type. This is useful for custom data types
datetimeZone
default_resolution()get_source(config, date, is_live_mode)Get Source for Custom Data File >> What source file location would you prefer for each type of usage:
- config (SubscriptionDataConfig)
- date (datetime)
- is_live_mode (bool)
SubscriptionDataSource
is_sparse_data()Indicates that the data set is expected to be sparse
bool
reader(config, line, date, is_live_mode)TradeBar Reader: Fetch the data from the QC storage and feed it line by line into the engine.
- config (SubscriptionDataConfig)
- line (str)
- date (datetime)
- is_live_mode (bool)
BaseData
reader(config, stream, date, is_live_mode)TradeBar Reader: Fetch the data from the QC storage and feed it line by line into the engine.
- config (SubscriptionDataConfig)
- stream (StreamReader)
- date (datetime)
- is_live_mode (bool)
BaseData
requires_mapping()Indicates if there is support for mapping
bool
should_cache_to_security()Indicates whether this contains data that should be stored in the security cache
bool
supported_resolutions()Gets the supported resolution for this data and security type
List[Resolution]
update(last_trade, bid_price, ask_price, volume, bid_size, ask_size)Update the tradebar - build the bar from this pricing information:
- last_trade (float)
- bid_price (float)
- ask_price (float)
- volume (float)
- bid_size (float)
- ask_size (float)
update_ask(ask_price, ask_size)Updates this base data with the new quote ask information
- ask_price (float)
- ask_size (float)
update_bid(bid_price, bid_size)Updates this base data with the new quote bid information
- bid_price (float)
- bid_size (float)
update_quote(bid_price, bid_size, ask_price, ask_size)Updates this base data with new quote information
- bid_price (float)
- bid_size (float)
- ask_price (float)
- ask_size (float)
update_trade(last_trade, trade_size)Updates this base data with a new trade
- last_trade (float)
- trade_size (float)
closeClosing price of the TradeBar. Defined as the price at Start Time + TimeSpan.
Closing price of the TradeBar. Defined as the price at Start Time + TimeSpan.
float
data_typeMarket Data Type of this data - does it come in individual price packets or is it grouped into OHLC.
Market Data Type of this data - does it come in individual price packets or is it grouped into OHLC.
MarketDataType
end_timeThe closing time of this bar, computed via the Time and Period
The closing time of this bar, computed via the Time and Period
datetime
highHigh price of the TradeBar during the time period.
High price of the TradeBar during the time period.
float
is_fill_forwardTrue if this is a fill forward piece of data
True if this is a fill forward piece of data
bool
lowLow price of the TradeBar during the time period.
Low price of the TradeBar during the time period.
float
openOpening price of the bar: Defined as the price at the start of the time period.
Opening price of the bar: Defined as the price at the start of the time period.
float
periodThe period of this trade bar, (second, minute, daily, ect...)
The period of this trade bar, (second, minute, daily, ect...)
timedelta
priceAs this is a backtesting platform we'll provide an alias of value as price.
As this is a backtesting platform we'll provide an alias of value as price.
float
symbolSymbol representation for underlying Security
Symbol representation for underlying Security
timeCurrent time marker of this data packet.
Current time marker of this data packet.
datetime
valueValue representation of this data packet. All data requires a representative value for this moment in time. For streams of data this is the price now, for OHLC packets this is the closing price.
Value representation of this data packet. All data requires a representative value for this moment in time. For streams of data this is the price now, for OHLC packets this is the closing price.
float
volumeVolume:
Volume:
float
TradingCalendar
Class represents trading calendar, populated with variety of events relevant to currently trading instruments
get_days_by_type(type, start, end)Method returns TradingDay of the specified type (
- type (TradingDayType)
- start (datetime)
- end (datetime)
List[TradingDay]
get_trading_day(day)Method returns TradingDay that contains trading events associated with today's date
- day (datetime)
TradingDay
get_trading_days(start, end)Method returns TradingDay that contains trading events associated with the range of dates
- start (datetime)
- end (datetime)
List[TradingDay]
Universe
Provides a base class for all universes to derive from.
can_remove_member(utc_time, security)Determines whether or not the specified security can be removed from this universe. This is useful to prevent securities from being taken out of a universe before the algorithm has had enough time to make decisions on the security
- utc_time (datetime)
- security (Security)
bool
contains_member(symbol)Determines whether or not the specified symbol is currently a member of this universe
- symbol (Symbol)
bool
dispose()Marks this universe as disposed and ready to remove all child subscriptions
get_subscription_requests(security, current_time_utc, maximum_end_time_utc, subscription_service)Gets the subscription requests to be added for the specified security
- security (Security)
- current_time_utc (datetime)
- maximum_end_time_utc (datetime)
- subscription_service (ISubscriptionDataConfigService)
List[SubscriptionRequest]
perform_selection(utc_time, data)Performs universe selection using the data specified
- utc_time (datetime)
- data (BaseDataCollection)
List[Symbol]
select_symbols(utc_time, data)Performs universe selection using the data specified
- utc_time (datetime)
- data (BaseDataCollection)
List[Symbol]
asynchronousTrue if this universe filter can run async in the data stack
True if this universe filter can run async in the data stack
bool
configurationGets the configuration used to get universe data
Gets the configuration used to get universe data
SubscriptionDataConfig
data_typeGets the data type of this universe
Gets the data type of this universe
Type
dispose_requestedFlag indicating if disposal of this universe has been requested
Flag indicating if disposal of this universe has been requested
bool
marketGets the market of this universe
Gets the market of this universe
str
membersGets the current listing of members in this universe. Modifications to this dictionary do not change universe membership.
Gets the current listing of members in this universe. Modifications to this dictionary do not change universe membership.
Dict[Symbol, Security]
securitiesGets the internal security collection used to define membership in this universe
Gets the internal security collection used to define membership in this universe
ConcurrentDict[Symbol, Member]
security_typeGets the security type of this universe
Gets the security type of this universe
selectedThe currently selected symbol set
The currently selected symbol set
HashSet[Symbol]
symboluniverse_settingsGets the settings used for subscriptions added for this universe
Gets the settings used for subscriptions added for this universe
UNCHANGEDGets a value indicating that no change to the universe should be made
Gets a value indicating that no change to the universe should be made
UniverseDefinitions
Provides helpers for defining universes in algorithms
etf(etf_ticker, market, universe_settings, universe_filter_func)Creates a universe for the constituents of the provided etfTicker
- etf_ticker (str)
- market (str)
- universe_settings (UniverseSettings)
- universe_filter_func (PyObject | 0, Culture=neutral, PublicKeyToken=7cec85d7bea7798e]])
etf(symbol, universe_settings, universe_filter_func)Creates a universe for the constituents of the provided etfTicker
- symbol (Symbol)
- universe_settings (UniverseSettings)
- universe_filter_func (PyObject | 0, Culture=neutral, PublicKeyToken=7cec85d7bea7798e]])
index(index_ticker, market, universe_settings, universe_filter_func)Creates a universe for the constituents of the provided indexTicker
- index_ticker (str)
- market (str)
- universe_settings (UniverseSettings)
- universe_filter_func (PyObject | 0, Culture=neutral, PublicKeyToken=7cec85d7bea7798e]])
index(index_symbol, universe_settings, universe_filter_func)Creates a universe for the constituents of the provided indexTicker
- index_symbol (Symbol)
- universe_settings (UniverseSettings)
- universe_filter_func (PyObject | 0, Culture=neutral, PublicKeyToken=7cec85d7bea7798e]])
top(count, universe_settings=None)Creates a new coarse universe that contains the top count of stocks by daily dollar volume
- count (int)
- universe_settings (UniverseSettings, optional)
dollar_volumeGets a helper that provides methods for creating universes based on daily dollar volumes
Gets a helper that provides methods for creating universes based on daily dollar volumes
DollarVolumeUniverseDefinitions
qc_500Creates a new fine universe that contains the constituents of QC500 index based onthe company fundamentals The algorithm creates a default tradable and liquid universe containing 500 US equities which are chosen at the first trading day of each month.
Creates a new fine universe that contains the constituents of QC500 index based onthe company fundamentals The algorithm creates a default tradable and liquid universe containing 500 US equities which are chosen at the first trading day of each month.
unchangedSpecifies that universe selection should not make changes on this iteration
Specifies that universe selection should not make changes on this iteration
UniverseManager
Manages the algorithm's collection of universes
clear()Removes all items from the list.
contains(item)Determines whether the list contains a specific value.
- item (Dict[Symbol, Universe])
bool
contains_key(key)Determines whether the dictionary contains an element with the specified key.
- key (Symbol)
bool
copy_to(array, array_index)Copies the elements of the list to an
- array (Dict`2)
- array_index (int)
get_enumerator()Returns an enumerator that iterates through the collection.
IEnumerator[Dict[Symbol, Universe]]
process_changes()Will trigger collection changed event if required
try_get_value(key, value)active_securitiesRead-only dictionary containing all active securities. An active security is a security that is currently selected by the universe or has holdings or open orders.
Read-only dictionary containing all active securities. An active security is a security that is currently selected by the universe or has holdings or open orders.
IReadOnlyDict[Symbol, Security]
countGets the number of elements contained in the list.
Gets the number of elements contained in the list.
int
is_read_onlyGets a value indicating whether the list is read-only.
Gets a value indicating whether the list is read-only.
bool
itemGets or sets the element with the specified key.
Gets or sets the element with the specified key.
keysGets a list containing the keys of the
Gets a list containing the keys of the
ICollection[Symbol]
valuesGets a list containing the values in the
Gets a list containing the values in the
ICollection[Universe]
UniverseSettings
Defines settings required when adding a subscription
asynchronousTrue if universe selection can run asynchronous
True if universe selection can run asynchronous
bool
contract_depth_offsetThe continuous contract desired offset from the current front month. For example, 0 (default) will use the front month, 1 will use the back month contra
The continuous contract desired offset from the current front month. For example, 0 (default) will use the front month, 1 will use the back month contra
int
data_mapping_modeDefines how universe data is mapped together
Defines how universe data is mapped together
DataMappingMode
data_normalization_modeDefines how universe data is normalized before being send into the algorithm
Defines how universe data is normalized before being send into the algorithm
DataNormalizationMode
extended_market_hoursTrue to allow extended market hours data, false otherwise
True to allow extended market hours data, false otherwise
bool
fill_forwardTrue to fill data forward, false otherwise
True to fill data forward, false otherwise
bool
leverageThe leverage to be used
The leverage to be used
float
minimum_time_in_universeDefines the minimum amount of time a security must be in the universe before being removed.
Defines the minimum amount of time a security must be in the universe before being removed.
timedelta
resolutionscheduleIf configured, will be used to determine universe selection schedule and filter or skip selection data that does not fit the schedule
If configured, will be used to determine universe selection schedule and filter or skip selection data that does not fit the schedule
Schedule
subscription_data_typesAllows a universe to specify which data types to add for a selected symbol
Allows a universe to specify which data types to add for a selected symbol
List[Tuple[Type, TickType]]
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