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Lean multiple exchanges / multiple positions

Hello, 
I would like to know if Lean supports arbitrage strategies, that is one strategy that operates on multiple exchanges simultaneously. 

Moreover, I read that Lean doesn't support heding (long/short at the same time). There's a technical reason behind this? This can easily be overcome modifying Lean source code?

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Hi Max,

You can run the same strategy one multiple different exchanges if you have a Prime or Professional subscription with QC. However, running one strategy deployment that accesses and interacts with multiple brokerages at the same time is not possible. Rather, you could copy-and-paste code into different projects and deploy them separately, with each interacting with a different brokerage.

We currently don't support shorting against the box-style hedging and we don't have any plans to implement this, but you are welcome to suggest improvements and code suggestions via GitHub.

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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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