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Connecting LEAN to Different Brokerages Manually

Would it be possible for someone to modify the lean code that connects with IB to another brokerage or is this locked behind a dll? In addition if that would even be possible is this something that is legal to do with your codebase?

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It is possible to connect LEAN to another brokerage, however, it a challenging endeavor. To make it easier, QuantConnect is currently developing a tutorial on how to properly connect to other brokerages. While the tutorial is not fully complete, it should help you get started:

https://www.quantconnect.com/tutorials/open-source/brokerage-development-guide
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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.


Does it means that it could be possible for LEAN to send limit spread orders to IB (and follow them), or is this impossible because of the built-in code of LEAN itself?

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There are 100 things required to successfully model that spread position; none of which are done yet in LEAN. We support underlying assets/derivatives like options and futures but not spreads (asset-asset) yet.

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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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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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