Lean C# Algorithmic Trading Engine

    

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Introduction

Lean Engine is an open-source fully managed C# algorithmic trading engine built for desktop and cloud usage. It was designed in Mono and operates in Windows, Linux and Mac platforms. Lean drives the web based algorithmic trading platform QuantConnect.

System Overview

Lean outsourced key infrastructure management to plugins. The most important plugins are:

• Result Processing

  Handle all messages from the algorithmic trading engine. Decide what should be sent, and where the messages should go. The result processing system can send messages to a local GUI, or the web interface.

• Datafeed Sourcing

  Connect and download data required for the algorithmic trading engine. For backtesting this sources files from the disk, for live trading it connects to a stream and generates the data objects.

• Transaction Processing

  Process new order requests; either using the fill models provided by the algorithm, or with an actual brokerage. Send the processed orders back to the algorithm's portfolio to be filled.

• Realtime Event Management

  Generate real time events - such as end of day events. Trigger callbacks to real time event handlers. For backtesting this is mocked-up an works on simulated time.

• Algorithm State Setup

  Configure the algorithm cash, portfolio and data requested. Initialize all state parameters required.

For more information on the system design and contributing please see the Lean Website Documentation.

Installation Instructions

Download the zip file with the lastest master and unzip it to your favorite location.

Alternatively, install Git and clone the repo:

git clone https://github.com/QuantConnect/Lean.git
cd Lean

macOS

• Install Visual Studio for Mac
• Open QuantConnect.Lean.sln in Visual Studio

Visual Studio will automatically start to restore the Nuget packages. If not, in the menu bar, click Project > Restore NuGet Packages.

• In the menu bar, click Run > Start Debugging.

Alternatively, run the compiled exe file. First, in the menu bar, click Build > Build All, then:

cd Lean/Launcher/bin/Debug
mono QuantConnect.Lean.Launcher.exe

Linux (Debian, Ubuntu)

• Install Mono:

sudo apt-get update && rm -rf /var/lib/apt/lists/*
sudo apt-key adv --keyserver hkp://keyserver.ubuntu.com:80 --recv-keys 3FA7E0328081BFF6A14DA29AA6A19B38D3D831EF
echo "deb http://download.mono-project.com/repo/debian wheezy/snapshots/4.6.1.5 main" > sudo /etc/apt/sources.list.d/mono-xamarin.list
sudo apt-get update
sudo apt-get install -y binutils mono-complete ca-certificates-mono referenceassemblies-pcl fsharp

• Install Nuget and Python

sudo apt-get update && sudo apt-get install -y nuget python-pip

• Restore NuGet packages then compile:

nuget restore QuantConnect.Lean.sln
xbuild QuantConnect.Lean.sln

If you get: "Error initializing task Fsc: Not registered task Fsc." -> sudo apt-get upgrade mono-complete

If you get: "XX not found" -> Make sure Nuget ran successfully, and re-run if neccessary.

If you get other errors that lead to the failure of your building, please refer to the commands in "DockerfileLeanFoundation" file for help.

• Run the compiled exe file:

cd Lean/Launcher/bin/Debug
mono ./QuantConnect.Lean.Launcher.exe

• Interactive Brokers set up details

Make sure you fix the ib-tws-dir and ib-controller-dir fields in the config.json file with the actual paths to the TWS and the IBController folders respectively.

If after all you still receive connection refuse error, try changing the ib-port field in the config.json file from 4002 to 4001 to match the settings in your IBGateway/TWS.

Windows

• Install Visual Studio
• Open QuantConnect.Lean.sln in Visual Studio
• Press F5 to run

By default Visual Studio includes NuGet, if your version cannot find DLL references, install Nuget and build again.

Python Support

A full explanation of the Python installation process can be found in the Algorithm.Python project.

R Support

• Install R-base if you need to call R in your algorithm. For Linux users:

sudo apt-get update && apt-get install -y r-base && apt-get install -y pandoc && apt-get install -y libcurl4-openssl-dev

For Windows and macOs users: Please visit the official R website to download R.

QuantConnect plugin

To install QuantConnect plugin build the VisualStudioPlugin project in Release mode. Then go to VisualStudioPlugin/bin/Release and run QuantConnect.VisualStudioPlugin.vsix file. Restart VisualStudio. In VisualStudio go to Tools -> Options -> QuantConnect and set "/Data" value to "Price data path".

VisualStudio plugin writes log data to the VisualStudio activity log, but only if VisualStudio is started with the /log parameter passed to it. To debug the QuantConnect plugin start VisualStudio with the following command:

devenv /log <path-to-log>

Issues and Feature Requests

Please submit bugs and feature requests as an issue to the Lean Repository. Before submitting an issue please read others to ensure it is not a duplicate.

Mailing List

The mailing list for the project can be found on Google Groups

Contributors and Pull Requests

Contributions are warmly very welcomed but we ask you read the existing code to see how it is formatted, commented and ensure contributions match the existing style. All code submissions must include accompanying tests. Please see the contributor guide lines.

All accepted pull requests will get a 2mo free Prime subscription on QuantConnect. Once your pull-request has been merged write to us at [email protected] with a link to your PR to claim your free live trading. QC <3 Open Source.

Acknowledgements

The open sourcing of QuantConnect would not have been possible without the support of the Pioneers. The Pioneers formed the core 100 early adopters of QuantConnect who subscribed and allowed us to launch the project into open source.

Ryan H, Pravin B, Jimmie B, Nick C, Sam C, Mattias S, Michael H, Mark M, Madhan, Paul R, Nik M, Scott Y, BinaryExecutor.com, Tadas T, Matt B, Binumon P, Zyron, Mike O, TC, Luigi, Lester Z, Andreas H, Eugene K, Hugo P, Robert N, Christofer O, Ramesh L, Nicholas S, Jonathan E, Marc R, Raghav N, Marcus, Hakan D, Sergey M, Peter McE, Jim M, INTJCapital.com, Richard E, Dominik, John L, H. Orlandella, Stephen L, Risto K, E.Subasi, Peter W, Hui Z, Ross F, Archibald112, MooMooForex.com, Jae S, Eric S, Marco D, Jerome B, James B. Crocker, David Lypka, Edward T, Charlie Guse, Thomas D, Jordan I, Mark S, Bengt K, Marc D, Al C, Jan W, Ero C, Eranmn, Mitchell S, Helmuth V, Michael M, Jeremy P, PVS78, Ross D, Sergey K, John Grover, Fahiz Y, George L.Z., Craig E, Sean S, Brad G, Dennis H, Camila C, Egor U, David T, Cameron W, Napoleon Hernandez, Keeshen A, Daniel E, Daniel H, M.Patterson, Asen K, Virgil J, Balazs Trader, Stan L, Con L, Will D, Scott K, Barry K, Pawel D, S Ray, Richard C, Peter L, Thomas L., Wang H, Oliver Lee, Christian L.