Using Pybind11 ...

To integrate your C++ code with Python using Pybind11 in QuantConnect, you need to follow these steps:

1. Create a Shared Library: Use Pybind11 to create a shared library from your C++ code. This will allow you to call C++ functions from Python. Ensure that your compiled shared library file is within the size limit of 32,000 characters.

2. Optimize Your C++ Code: If your compiled file exceeds the size limit, consider breaking down your C++ code into smaller components or optimizing it to reduce its size.

3. Use QuantConnect Libraries: QuantConnect allows you to create project libraries that can be shared across multiple projects. You can create a new project specifically for your C++ library and then add it as a library to your main algorithm project.

4. Import the Library: Once your library is added to your project, you can import it into your algorithm using the appropriate import statements. Ensure that the library files are correctly referenced in your project.

5. Test the Integration: Run a simple algorithm that utilizes functions from your C++ library to ensure everything is working as expected.

6. Request New Libraries: If you need additional libraries that are not currently supported, you can request them through QuantConnect. The process takes 2-4 weeks for review and deployment.

Here's a basic example of how you might structure your algorithm to use a shared library:

from MyLibrary.my_cpp_module import MyCppFunction

class MyAlgorithm(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2020, 1, 1)
        self.set_end_date(2020, 12, 31)
        self.set_cash(100000)
        self.add_equity("SPY", Resolution.DAILY)

    def on_data(self, data):
        if not self.portfolio.invested:
            self.set_holdings("SPY", 1)
            result = MyCppFunction()
            self.debug(f'Result from C++ function: {result}')

Make sure to replace MyLibrary.my_cpp_module and MyCppFunction with the actual names of your library and function.

Sources: Shared Libraries - QuantConnect.com, Shared Libraries - QuantConnect.com, Libraries - QuantConnect.com

Thank you for your quick response!

My issue is that my C++ code consists of a single (but big) function call (cant split it). The file size is 148 KB. I have already optimized the compilation to reduce the size and removed debug symbols to shrink it further. 

That said, is there any way to bypass the file size constraint? A 150 KB shared library is really not that large …

Is there limitation imposed by the plan tier? In what payment tier can you use custom compiled libraries? 

Hi Aryan

Indeed the plan tier will affect the file size limitation of a single file:

Best
Louis