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DTN/IQFeed data integration?

Does anyone integrate DNT/IQFeed data with their QuantConnect work (or know how to)?  I imagine either Quantconnect can get the data from their URL or local computer could download DTN data and QuantConnect could pick it up from specified location.

Thanks for any help!

Update Backtest








An IQFeed datafeed implementation is open sourced in the LEAN project. You can see this here.

QuantConnect.com cannot connect to your IQFeed account.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Thanks Jared.  What I don't understand is the relationship of Lean to QuantConnect. I thought QuantConnect runs 'on top of' Lean - but from your comment that QuantConnect can't connect to IQFeed, are you saying that QuantConnect only access a portion of Lean's capabilities?

Also, it appears QuantConnect supports Interactive Brokers (https://www.quantconnect.com/docs#Supported-Brokerages - which supports Futures), but when I look at the Lean documentation (https://www.quantconnect.com/lean/docs#topic3.html) it shows Lean Interactive Brokers doesn't support futures?

Also, is there a central place or project board where I can ask for individual help with my project?  Or any kind of mentorship program?  What is the best way to get that kind of assistance?

Thanks, Rafi

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Hi Rafi,

Lean is QuantConnect's trading engine.

In Lean, we have the Toolbox
 

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Hi Rafi,

Lean is QuantConnect's trading engine.

In Lean, we have the Toolbox project where there are some tools that we can use to, for example, write data in Lean's format. We also put the IQFeed datafeed there as an example for developers and be used to develop features in live mode.

QuantConnect does not use IQFeed since we have chosen other datafeeds.

We do not support Futures yet.
As you know, each security class has its own features that have to me modeled. Since we haven't modeled Futures in Lean, we cannot have a backtest that would reflect the futures behavior, for instance, what happens at expiration date.

Finally, you could read the docs and study the QuantConnect University examples to teach yourself how to use Lean. Whenever you have a question, you can ask here at the forum and we will help.
 

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Thanks Alexandre,



Personally, I'm out by end of day, so rollover doesn't affect me. But for

someone in a trade, why can't Lean require the user to specify behavior at

expiration: Exit or roll-over at new price. And also require the user to

specify contract rollover behavior: based on volume (move to the new

contract when volume is larger than the old contract volume), or roll over

on specified day of week based on expiration. I'm think that the IQFeed

issue would go away if I just download it myself and read it into Lean for

historical testing.



However, for life trading, could I use Lean (without QuantConnect) and get

data from IQFeed to trade live with International Brokers? (separating the

data feed from the trade execution feed)? If not, I would simply use my

own historical futures data for back testing (either Lean or QC), and use

Lean for live futures trading with IB? Can I trade live with Lean via IB

in futures?



Would you be available to chat? and what time zone? My skype

is rafi.algorythm.



Thanks, Rafi
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Update Backtest





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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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