PLEASE READ

Master is now the main code branch.

For anyone wanting to get started you can now easily do it with a dotnet template.

dotnet new -i Xposure.Lean.Templates
mkdir newproj
cd newproj
dotnet new lean
code .

The above code will install the latest template, create a folder and project and then launch vscode. From here you can simply hit F5 to run and debug your algorithm.

I'm sorry I can no longer update the original issue with my progress since I have been blocked access to it. Please voice your concerns if you'd like, either way, happy coding.

As always, I can be reached on discord at xposure#8248 if you need any help with the templates.

A tale of getting banned from QuantConnect/Lean

As of now, @jaredbroad has decided to block me from the QuantConnect/Lean project without merit or reason or even a simple conversation on how I can help. Not only that, his official response was nothing more than a partial update and a condescending remark towards me. All I wanted to do was see .NET 5 come to the Lean framework and they instead choose to take my work and pass it off as their own (or the very least use all my work as a reference). This is a matter of fact and has now been hidden because they went through and scrubbed my updates from the net core issue which showed that every time I made an update to my branch, there would be a couple of merges of my exact changes to their master. Example of nuspec being removed or specific libraries being updated, removal of unneeded library references still around because someone didn't take the time to actually do a real csproj update to the new SDK format, updating docker images to contain the build process and so on.

I have virtually no respect for anyone that can act like this in an open source community and I felt a need to tell this story. I asked repeatedly for someone I could work with or talk to about my changes when my PR was rejected and I reached out to the individual that was doing the same changes I was doing after I did them. Neither @jaredbroad or @Martin-Molinero would respond to any of my requests to help. This is the eptimany of open source and I don't feel that the awesome community should have to suffer, so I will continue to work on this for anyone thats interested.

If anything, my sacrifice has at least got them to finally make an official announcement update and perhaps more will come of it and they will start communicating more frequently on this topic. Hopefully it will force their hand by trying to remove me from the playing field and get what everyone else wants proper .NET 5 support (I will happy go away when we have this).

I'm still open to helping @jaredbroad and the QuantConnect team to bring the project up to newer standards that doesn't just include .NET 5.0 despite all of this and would gladly have an offline conversation to remedy the situation. We could have had a simple dialogue about stopping the hammer approach and breaking up my PR in to little consumable pieces, there is plenty of value there that just isn't .NET 5 as @Martin-Molinero has obviously seen.

/continuing_my_profressional_grind

       

Lean Home - https://www.quantconnect.com/lean | Documentation | Download Zip | Docker Hub

---

.NET 5 SUPPORT

Getting started

To write your first algorithm you can use the dotnet template by running dotnet new -i Xposure.Lean.Templates (you can use -u to remove it). Once the template is installed, you can create a new project by dotnet new lean. This will create a sln and 2 projects, one project is your dll and the other project is the launcher. This direct also contains a .vscode folder for easy launching and debugging.

CHANGES

• All projects have been moved to NET5.0 target

• R.NET and WebSocketSharp were forked, added as a submodule and updated to NET5.0

• All csproj files have been cleaned up but still need more work

• Directory.Build.props is being used to share settings across all projects

• Updated dockerfile to use dotnet/sdk as a build stage and dotnet/runtime as the target image

  • A testing playground docker image can be ran at docker run -it --rm cphillips83/lean:1.0.0 or docker run -it --rm --entrypoint /bin/bash cphillips83/lean:1.0.0

• All nuspec files were removed in favor on dotnet pack and csproj file settings

• The packages for QuantConnect are stored on nuget.org will be temporarily stored at https://nuget.pkg.github.com/xposure/index.json

• There is a dotnet template located at nuget.org as Xposure.Lean.Templates dotnet new -i Xposure.Lean.Templates https://nuget.pkg.github.com/xposure/index.json

  • This will support skaffolding for easy debug and testing, but you could choose to run it without

• Mono tasks and launchers were removed

  • Support will be added for docker debugging soon

• Removed a lot of the build spam that doesn't seem relevant

• Packages can be built from...

  • dotnet pack -c Release -o packages once this is pushed to nuget, look at adding --include-symbols --include-source for better debugging support
  • dotnet nuget push packages\ --source <SOURCE> --api-key <API-KEY> you can add --skip-duplicate if something fails along the way

• Consider removing linux/windows/osx and just move to docker for a unified platform

• Made toolbox packable

• I have made the data folder a package that can be added to a project and then a copy entry can be added for testing purposes

TODOS

• moving all package reference versions to Directory.Build.props so that package reference versioning can be located in a single place
• quantconnect/pythonnet needs updated to .net5
• Currently InteractiveBroker and FXCM are not including in the .NET5.0 builds until their are updated If you would like to help complete this fork by running the tests and provide proper python support, please reach me on discord xposure#8248

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 core of the LEAN Engine is written in C#; but it operates seamlessly on Linux, Mac and Windows operating systems. It supports algorithms written in Python 3.6 or C#. Lean drives the web-based algorithmic trading platform QuantConnect.

Proudly Sponsored By

Want your company logo here? Sponsor LEAN to be part of radically open algorithmic-trading innovation.

QuantConnect is Hiring!

Join the team and solve some of the most difficult challenges in quantitative finance. If you are passionate about algorithmic trading we'd like to hear from you. The below roles are open in our Seattle, WA office. When applying, make sure to mention you came through GitHub:

• Senior UX Developer: Collaborate with QuantConnect to develop a world-leading online experience for a community of developers from all over the world.

System Overview

The Engine is broken into many modular pieces which can be extended without touching other files. The modules are configured in config.json as set "environments". Through these environments, you can control LEAN to operate in the mode required.

The most important plugins are:

• Result Processing (IResultHandler)

  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 (IDataFeed)

  Connect and download the 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 (ITransactionHandler)

  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 (IRealtimeHandler)

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

• Algorithm State Setup (ISetupHandler)

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

These are all configurable from the config.json file in the Launcher Project.

Installation Instructions

We recommend using the docker image. This is perfectly configured to run out of the box without interfering with your development environment. You can pull this image with docker pull quantconnect/lean

Refer to the following readme files for a detailed guide regarding using our docker image with your local IDE:

• VS Code
• VS
• Pycharm

To install locally, download the zip file with the latest 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 && sudo 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/ubuntu stable-xenial/snapshots/5.12.0.226 main" > /etc/apt/sources.list.d/mono-xamarin.list && \
    apt-get update && apt-get install -y binutils mono-complete ca-certificates-mono mono-vbnc nuget referenceassemblies-pcl && \
apt-get install -y fsharp && rm -rf /var/lib/apt/lists/* /tmp/*

If you get this error on the last command:

Unable to locate package referenceassemblies-pcl,

run the following command (it works on current version of Ubuntu - 17.10):

echo "deb http://download.mono-project.com/repo/ubuntu xenial main" | sudo tee /etc/apt/sources.list.d/mono-official.list

sudo apt-get update
sudo apt-get install -y binutils mono-complete ca-certificates-mono referenceassemblies-pcl fsharp

• Install Nuget

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

• Restore NuGet packages then compile:

nuget restore QuantConnect.Lean.sln
msbuild 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: "Confirm ... '.../QuantConnect.XX.csproj.*.props' is correct, and that the file exists on disk." -> Ensure that your installation path is free of reserved characters

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 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
• Build the solution by clicking Build Menu -> Build Solution (this should trigger the Nuget package restore)
• Press F5 to run

Nuget packages not being restored is the most common build issue. By default Visual Studio includes NuGet, if your installation of Visual Studio (or your IDE) cannot find DLL references, install Nuget, run nuget on the solution and re-build the Solution again.

Python Support

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

Local-Cloud Hybrid Development.

You can develop in your IDE and synchronize to the cloud with Skylight. For more information please see the Skylight Home.

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 LEAN Forum. Please use this to request assistance with your installations and setup questions.

Contributors and Pull Requests

Contributions are warmly very welcomed but we ask you to 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 support@quantconnect.com 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..