LEAN is the open source
algorithmic trading engine powering QuantConnect. Founded in 2013 LEAN has been built by a
global community of 80+ engineers and powers more than a dozen hedge funds today.
This is my first interaction with anyone about QuantConnect. Please do tell me if this is not the right forum for these kind of startup newbie questions.
See screenshot, I have made a simple experiment counting the number of time onData is called for Tick and Second resolution for the data subscription. As it turns out onData is called MORE times for SECOND resolution than TICK Resolution which is weird. I expected the opposite. What is the reason for this ?
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.
Hey Anders! Second Resolution is set to default fill-forward; so if a trade only happens once per hour you'll still get an event every second. Alot of people rely on those pulses to time and schedule their algorithm. Tick resolution is impossible to fill forward as ticks represent trades which happened at points in time, without a period.
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 Jared! Thanks for answering. I am onboarding on your platform atm and i am the type of guy who really wants to understand things before i write my first algo. If it not too much trouble could you point me to a place in the codebase where this is modeled and then i can continue my fact finding mission from there (i am open source dev).
Again thx!
Cheers
A
PS: I am also interested in reviewing your MatchingEngine, cheers
Recommend starting first with the open source project and tutorials. The code is well commented and there's alot of places to get started on GitHub. https://www.github.com/QuantConnect/Lean
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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.
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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