Release Notes v2.3.0.1

This release fixed minor bugs in LEAN to improve its stability and consistency across backtesting and live trading. There were no breaking changes in regression tests or the API of LEAN.

Features

  • Update AlgoSeek data converter to accept input file mask only to convert specific source files.
  • Added IsAssignable to detect assignment orders in backtesting*.
  • Added demonstration algorithm for consolidating futures data.
  • Simplified the basic template options algorithm to demonstrate other tickers.

Bug Fixes

  • Fixed race condition creating fill-forward subscriptions incorrectly, resulting in different statistics.
  • Fixed bug in AlgoSeek options data converter when processing massive files.
  • Fixed issue where Interactive Brokers was not connected before making history requests.
  • Updated default history provider for OANDA and FXCM configurations to be the brokerage.
  • Fixed issue where CFD datatype defaulted to Quote, preventing algorithms from receiving data.
  • Fix the issue in live trading where multiple threads are accessing the cashbook-killed algorithms.
  • Upgraded FXCM account holdings logic to handle multiple positions of the same ticker.
  • Additional logging in scheduled event manager to help debug time issues.
  • Refactored options exercise logic.

  Thank you for the continuing bug reports and assistance from the community! A special shout out to h2o, Denny Caldwell and James Reily for helping us work through some issues! * Note: IB does not generate assignment events in live trading. We are looking into heuristic ways to detect this, but currently, assignments are not handled in live trading.

About LEAN

LEAN aims to empower investors to invest confidently using cutting-edge algorithmic trading technology. Through the power of open source, we are building the world's best algorithmic trading platform, capable of accurately modeling global markets to give you insight into your strategy. Trading algorithms can be seamlessly deployed from backtesting into production without changing or moving between brokerages. The LEAN user community reaches over 28,000 quants from all over the world. LEAN supports C#, F#, VB, Java, and Python programming languages and can be used in Equity, Forex, CFD, Options, and Futures markets. It supports live paper trading or execution by Interactive Brokers, FXCM, and Oanda Brokerage. For more information, join the LEAN Community on GitHub.