Algoseek & Lean Integration
LEAN is an open-source algorithmic trading platform designed for python and C# quantitative researchers to handle data plumbing and trade modeling. LEAN launched in 2014 and has 150+ contributors from around the world. QuantConnect maintains the project with a team of full-time engineers.
Complete
API
LEAN is an open-source algorithmic trading platform designed for python and C# quantitative researchers to handle data plumbing and trade modeling. LEAN launched in 2014 and has 150+ contributors from around the world. QuantConnect maintains the project with a team of full-time engineers.
Fetching and Synchronizing Data
Loading Historical Data
Scheduling Events Market Hours
Complex Trading and Fill Modeling
Training Machine Learning Models
Linking Securities of Alternative and Financial Data
Multi-Asset
Class
LEAN fully models a wide range of asset types, including US Equities, US Equity Options, Futures, Future Options, FX, and Index Options. Asset classes are modeled in backtesting and live trading, with an “engineering first” design, seeking to model the asset class perfectly.
AlgoSeek data is available in the LEAN format, ready to be plugged in and used. Skip the traditionally tedious ETL(“Extract Transform Load”) operations and focus your time on high-value strategy research.
Move from Realistic
Research to Trading
Strategies developed in the LEAN engine are immediately tradable in live markets with no changes to the code. The platform allows researchers to do backtesting and jupyter research notebooks with high-fidelity L1 fills and asset by asset fill, slippage, and fee modeling.
The LEAN platform models the nuanced edge cases of actual market trading. LEAN lets you focus on your core signal and avoid rewriting data plumbing infrastructure.
Partial Fills
Fee Models
Slippage Models
Option Strategies Margin Models
Margin Call Models, derivative contract expiry dates, and option exercise transfers.
On-Premise or in
QuantConnect Cloud
Run your jupyter research simulations on your internal hardware or scale in QuantConnect cloud. QuantConnect data is sourced from AlgoSeek and maintained ready for use by your research teams.