QuantConnect Lean Algorithmic Trading Engine
Inheritance Hierarchy
QuantConnect.Securities Namespace
Classes
 ClassDescription
Class Messaging class signifying a change in a user's account
ClassProvides an implementation of IPriceVariationModel for use when data is QuantConnect.DataNormalizationMode.Adjusted.
ClassProvides an implementation of ISecurityInitializer that initializes a security by settings the Security.FillModel, Security.FeeModel, Security.SlippageModel, and the Security.SettlementModel properties
Class Represents a holding of a currency in cash.
Class Provides a means of keeping track of the different cash holdings of an algorithm
ClassProvides an implementation of ISecurityInitializer that executes each initializer in order
Class Provides a transaction model that always returns the same order fee.
Class Represents the model responsible for picking which orders should be executed during a margin call
Class Represents the model responsible for applying cash settlement rules
ClassProvides an implementation of IPriceVariationModel for use in defining the minimum price variation for a given equity under Regulation NMS – Rule 612 (a.k.a – the “sub-penny rule”)
ClassProvides a functional implementation of IDerivativeSecurityFilter
ClassProvides a functional implementation of ISecurityInitializer
Class Seed a security price from a history function
Class Static class contains definitions of popular futures expiration cycles
Class Represents futures symbols universe used in filtering.
Class Extensions for Linq support
Class Represents a simple margining model for margining futures. Margin file contains Initial and Maintenance margins
Class 
Class Futures static class contains shortcut definitions of major futures contracts available for trading
Class Currencies group
Class Energies group
Class Financials group
Class Grains and Oilseeds group
Class Indices group
Class Meats group
Class Metals group
Class Softs group
Class Represents the model responsible for applying cash settlement rules
ClassProvides an implementation of IVolatilityModel that uses an indicator to compute its value
Class Represents the market hours under normal conditions for an exchange and a specific day of the week in terms of local time
ClassProvides access to a null implementation for IMarginCallModel
Class 
Class Provides access to exchange hours and raw data times zones in various markets
ClassRepresents a single entry in the MarketHoursDatabase
Class Represents the state of an exchange during a specified time range
Class Represents options symbols universe used in filtering.
Class Extensions for Linq support
Class Represents a simple option margining model.
ClassProvides extension methods for the IOrderProvider interface
Class Represents a simple margining model where margin/leverage depends on market state (open or close). During regular market hours, leverage is 4x, otherwise 2x
ClassProvides an implementation of IVolatilityModel that computes the relative standard deviation as the volatility of the security
Class A base vehicle properties class for providing a common interface to all assets in QuantConnect.
Class Base class caching caching spot for security data and any other temporary properties.
ClassRepresents the key to a single entry in the MarketHoursDatabase or the SymbolPropertiesDatabase
Class Base class implementation for packet by packet data filtering mechanism to dynamically detect bad ticks.
Class Base exchange class providing information and helper tools for reading the current exchange situation
Class Represents the schedule of a security exchange. This includes daily regular and extended market hours as well as holidays and early closes.
Class SecurityHolding is a base class for purchasing and holding a market item which manages the asset portfolio
ClassProvides static access to the Null security initializer
Class 
Class Enumerable security management class for grouping security objects into an array and providing any common properties.
Class Represents a simple, constant margining model by specifying the percentages of required margin.
Class Portfolio manager class groups popular properties and makes them accessible through one interface. It also provide indexing by the vehicle symbol to get the Security.Holding objects.
ClassProvides a default implementation of ISecurityPortfolioModel that simply applies the fills to the algorithm's portfolio. This implementation is intended to handle all security types.
ClassProvides default implementation of IPriceVariationModel for use in defining the minimum price variation.
ClassProvides extension methods for the ISecurityProvider interface.
ClassProvides access to a null implementation for ISecuritySeeder
Class 
Class Algorithm Transactions Manager - Recording Transactions
Class Default security transaction model for user defined securities.
ClassProvides an implementation of IVolatilityModel that computes the annualized sample standard deviation of daily returns as the volatility of the security
Class Represents common properties for a specific security, uniquely identified by market, symbol and security type
Class Provides access to specific properties for various symbols
Class Manages the algorithm's collection of universes
Class Represents a pending cash amount waiting for settlement time
ClassProvides access to a null implementation for IVolatilityModel
Class 
Interfaces
 InterfaceDescription
Interface 
Interface Filters a set of derivative symbols using the underlying price data.
Interface Represents derivative symbols universe used in filtering.
Interface Represents the model responsible for picking which orders should be executed during a margin call
Interface Represents a type capable of processing orders
Interface Represents a type capable of fetching Order instances by its QC order id or by a brokerage id
Interface Gets the minimum price variation of a given security
Interface Represents a type capable of initializing a new security
Interface Represents a security's model of margining
Interface Performs order fill application to portfolio
Interface Represents a type capable of fetching the holdings for the specified symbol
Interface Used to seed the security with the correct price
Interface Represents the model responsible for applying cash settlement rules
Interface Represents a model that computes the volatility of a security
Enumerations
 EnumerationDescription
EnumerationSpecifies the open/close state for a MarketHoursSegment
Enumeration Defines listed option types
See Also