I want to contribute to LEAN. by Aytac Asan

Aytac Asan INVESTOR

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Hi,

I see there is IQFeedDataQueueHandler in LEAN. First i think i can use it for realtime trading and backtesting. After a short search i see we can not use it for backtesting. And decide to write one.

After work on an IQFeed api documentation. I see almoust all necessary codes are inside LEAN already. So i wrote IQFeedDataDownloader under ToolBox project and do some little changes on an existing codes. It's working fine.

I see some others persons asking IQFeed data downloader and i want to share this downloader with others. But i'm not github person and dont know how can i share my codes from there and hesitate do something wrong action.

Is there any other way for contribute to project? Or i have to learn that how can i do that from github?

Thanks,

Aytac

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Aytac Asan

Accepted Answer

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Jared Broad

Awesome Aytac! Check out the contributor guide, there is an initial setup section which will step you through step by step to making your first pull request.

There is also a bounty for IQFeed if your PR is accepted! :)

Aytac Asan

151 ,

Hi Jared,

Nice to see there is a bounty for IQFeed donloader. But i'm not interested. My purpose is solve the problem as fast i can for QuantConnect and it's community. I do first commit a few minutes ago. But i have to do some tests before final because i'm using latest stable release (2.4.0.1) and see there is some minor changes HistoryRequest class.

Anyway i'll inform you when my work is finished. I don't know if that's really necessary but i'll :D

Thanks,

Aytac

Aytac Asan

151 ,

Hi Jared,

I try to finish as fast as possible and and try to write as clean as possible. Could you please check it?

https://github.com/aytacasan/Lean

But I have some issues;

1. Downloader performance is so poor. I didn't test but i think other downloader's performance must be poor. I used iqfeed sample project for download one week tick data for AAPL and process finishing in a 45 seconds. If i do same thing with our downloader its take a time almost 15 minutes. Gap is so high :(

2. Sample tick data under LEAN have these informations; time (in miliseconds), last price, quantity, exchange, scale condition and suspicious. I checked other downloaders code that can donwlod tick data also, they are not writing many of these data. They are using this constructor;

Tick(DateTime time, Symbol symbol, decimal last, decimal bid, decimal ask)

So where is the AskSize, BidSize, LastSize(Quantity), exchange, scale condition and suspicious? How can i write these info in to data file.

For lastsize/quantity let's say we write code like that new Tick(...) { Quantity = t.LastSize }. But why other tick donwloaders not like that?
For example in sample data there is P, T, @ etc. for exchange column. What is these codes mean? Are they market maker's codes?

Could you please explain me with detaitl or share me a source if there is.

Thanks,

Aytac

Link Liang

6.1k ,

Hi Aytac,

Thanks for your contribution and support to the community! Would you join our slack channel for further discussion?

Aytac Asan INVESTOR

Update Backtest

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