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.
Each week we release a weekly updates list to show the small, regular steps we've been making to make QuantConnect better. In a given week we fix dozens of smaller bugs and often release a major feature, hopefully we can showcase these updates here.
Features:
1. Added Python algorithm support to the Lean open source project!
2. Added "Time Slice" event handler - get all your order event data in one event handler
3. Improved order update robustness by moving it to the Transaction Handler
Bug Fixes:
1. Fixed Tradier "unknown order" bug when live orders were rejected
2. Better regression testing (Thanks @dpavlenkov!)
3. Bug fixes in console result display (Thanks to @StefanoRaggi!)
4. Fixed build configuration settings (kudos @StefanoRaggi again)
5. Fix bug where live trading could potentially lock up
Awesome to see such high caliber community contributions -- @kaffeebrauer is hard at work on Oanda and @dpavlenkov is redesigning our order system! Soon @StefanoRaggi will have re-engineered the system to use binary data! Happy coding!
Jared
public override void OnData(Slice data) {
//Slice hold all event data:
//data.Bars are all the Trade Bars
//data.Ticks are all the Ticks
//Data is grouped in "time slices"
//You can also still access your data like before:
// data["IBM"].Close
}
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 @Alexis, this isn't public on quantconnect.com yet but the Lean engine supports it -- you can see the Lean Engine example on Github.
I'm working out the last bits of offering Python on the web. All going well this should be launched this week.
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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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