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Can the QC admins please provide a link to the python version of the LEAN SDK? The reason I (and others) have to ask so many questions on this forum (questions that apparently may or may not be answered) is that the documentation is insufficient to code up an algorithm. In every case I have seen, the documentation outlines the basic concepts and then fails to provide the crucial details we need to implement the code ourselves, forcing us to ask questions here and hope for answers. The source code for the C# version is out on github and easily findable. However, I have not found any github repo for the python version. It would be a great help to us to have this source code available so we can look at the actual classes and see what properties and methods are available.
Sunil Mishra
I'm new to the platform, and have been trying to understand this myself. It looks like the engine implementation relies on a C# to Python interoperation layer. All the core algorithms are in Algorithm.Framework. If you look at the source code, there are many situations where PyObject instances are translated to C#, and vice versa. For instance here:
https://github.com/QuantConnect/Lean/blob/master/Algorithm.Framework/Selection/ScheduledUniverseSelectionModel.cs#L83There are a few python files scattered through the codebase, presumably to bridge the gap between C# and Python.
I wish this were better explained in the documentation, which is definitely insufficient for understanding the implementation of Lean and the QC platform.
Sunil
Jack Simonson
Hi guys,
Sunil is correct. The main engine is C# with Python wrappers to allows for algorithm building in both languages. Our Python API can be found here if you want to view that.
Marc Ilgen
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