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alt tag Lean C# Algorithmic Trading Engine

Join the chat at https://gitter.im/QuantConnect/Lean     

Lean Home - lean.quantconnect.com | Documentation | Download Zip

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. The community has contributed additional connectors to F#, Visual Basic and Java.

Lean drives the web based backtesting 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.

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.

Build Status

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.