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AlgoSeekFuturesConverter
AlgoSeekOptionsConverter
BitfinexDownloader
CoarseUniverseGenerator
CryptoiqDownloader
DukascopyDownloader
FxcmDownloader
FxcmVolumeDownloader
GDAXDownloader
GoogleDownloader
IBDownloader
IEX
IQFeed Refactor previous commits Dec 13, 2018
IVolatilityEquityConverter
KaikoDataConverter
KrakenDataDownloader
NseMarketDataConverter
OandaDownloader
Properties
QuandlBitfinexDownloader
QuantQuoteConverter
Visualizer
YahooDownloader
Bz2StreamProvider.cs
ConsolidatorDataProcessor.cs
CsvDataProcessor.cs
FactorFileGenerator.cs
FileStreamProvider.cs
FilteredDataProcessor.cs
GzipStreamProvider.cs
IDataDownloader.cs
IDataProcessor.cs
IStreamParser.cs
IStreamProvider.cs
LazyStreamWriter.cs
LeanDataReader.cs
LeanDataWriter.cs
LeanInstrument.cs
LeanParser.cs
PipeDataProcessor.cs
Program.cs
QuantConnect.ToolBox.csproj
README.md
RawFileProcessor.cs
TickAggregator.cs
ZipStreamProvider.cs
app.config
instruments_dukascopy.txt
instruments_fxcm.txt
instruments_oanda.txt
packages.config

README.md

alt tag Lean Data ToolBox

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

Lean Home | Documentation | Download Lean

Introduction

Lean Engine is an open-source algorithmic trading engine built for easy strategy research, backtesting and live trading. We integrate with common data providers and brokerages so you can quickly deploy algorithmic trading strategies.

The ToolBox project is a command line program which wraps over 15 tools.

Usage

Each tool requires a different set of parameters, the only required argument is '--app=', which defines the target tool and is case insensitive.

Help information is available using the '--help' parameter.

Example: --app=GoogleDownloader --tickers=SPY,AAPL --resolution=Minute --from-date=yyyyMMdd-HH:mm:ss --to-date=yyyyMMdd-HH:mm:ss

Available downloaders

  • '--app='
    • GDAXDownloader or GDAXDL
    • CryptoiqDownloader or CDL
    • DukascopyDownloader or DDL
    • FxcmDownloader or FDL
    • FxcmVolumeDownload or FVDL
    • GoogleDownloader or GDL
    • IBDownloader or IBDL
    • KrakenDownloader or KDL
    • OandaDownloader or ODL
    • QuandlBitfinexDownloader or QBDL
    • YahooDownloader or YDL
    • IEXDownloader or IEXDL
    • BitfinexDownloader or BFXDL
  • '--from-date=yyyyMMdd-HH:mm:ss' required
  • '--tickers=SPY,AAPL,etc' required, except for QuandlBitfinexDownloader (QBDL)
  • '--resolution=Tick/Second/Minute/Hour/Daily/All' required, except for QuandlBitfinexDownloader (QBDL), CryptoiqDownloader (CDL). Case sensitive. Not all downloaders support all resolutions, send empty for more information.
  • '--to-date=yyyyMMdd-HH:mm:ss' optional. If not provided 'DateTime.UtcNow' will be used

Available Converters

  • '--app='
    • AlgoSeekFuturesConverter or ASFC
      • '--date=yyyyMMdd' reference date.
    • AlgoSeekOptionsConverter or ASOC
      • '--date=yyyyMMdd' reference date.
    • IVolatilityEquityConverter or IVEC
      • '--source-dir=' source archived IVolatility data.
      • '--source-meta-dir=' source archived IVolatility meta data.
      • '--destination-dir=' directory where Lean Data is located "Lean/Data".
      • '--resolution=Minute/Hour/Daily' resolution of your IVolatility data. Case insensitive.
    • KaikoDataConverter or KDC
      • '--market=' the exchange the data represents.
      • '--tick-type=Quote/Trade' the tick type being processed. Case insensitive.
      • '--source-dir=' path to the raw Kaiko data.
    • NseMarketDataConverter or NMDC
      • '--source-dir=' source directory of unzipped NSE data.
      • '--destination-dir=' directory where Lean Data is located "Lean/Data".
    • QuantQuoteConverter or QQC
      • '--source-dir=' directory where your QuantQuote order is extracted.
      • '--destination-dir=' directory where Lean Data is located "Lean/Data".
      • '--resolution=' resolution of the QuantQuote data.

Other tools

  • '--app='
    • CoarseUniverseGenerator or CUG