Automated accounting for splits, dividends, and corporate events like delistings and mergers
Avoid selection bias with dynamically generated assets. Create and select asset universes on proprietary data and indicators.
Automatically track portfolio performance, profit and loss, and holdings across multiple asset classes and margin models in the same strategy.
Trigger regular functions to occur at desired times — during market hours, on certain days of the week, or at specific times of day.
Backtest on almost any time series and import your proprietary signal data into your strategy.
Everything is configurable and pluggable. LEAN's highly modular foundation can easily be extended for your fund focus.
LEAN is modular in design, with each component pluggable and customizable. It ships with models for all major plug-in points.
Use combinations of margin, fill, and slippage models to simulate a liquidity endpoint.
100+ popular technical indicators built, tested, and ready for use. Applicable to any data source.
Use combinations of fees, fill models, and slippage models to simulate a brokerage endpoint.
Customize fee models to handle rebates and dynamic order pricing.
Simulate T+3 settlement, margin trading, and cash-margin models.
Backtest and live trade on your own signals, sourced from streaming, database, or file sources.
Join a global community of quants, engineers, and scientists choosing LEAN for their algorithmic trading. Leverage the power of open-source for your fund.
Contributing to the code base.
In C# & Python, all open-source.
Of code powering user strategies globally.
Successfully deployed live on LEAN since 2015.
Shared through the community forum.
Running live trading without interruption.
LEAN is free to download and extend for commercial purposes. QuantConnect believes in the power of a community of passionate users. Check out our manifesto.
We live this belief by making LEAN easy to use locally, and providing tutorials to ensure there is no vendor lock-in.
LEAN Algorithm Framework bakes in key quantitative finance concepts, providing you a well-defined scaffolding as you start designing your algorithm. The framework allows you to plug in modules created by the community and radically accelerate your process.
Select a universe of assets with predefined filter criteria to reduce selection bias, or pick from one of the community universe selection models to quickly get an index of the most tradable assets.
Generate an insight (expected return) for the assets you’ve selected from your universe. Fast-track algorithm development by spending the majority of your effort developing alpha insights, reusing pluggable modules for other parts of your algorithm.
Using defined insights, create a weighted combination of assets to form your ideal portfolio. LEAN ships with pre-made portfolio-construction models for Equal Weighting, Mean Variance, and Black Litterman Portfolios.
Apply cutting-edge algorithms to execute your target portfolio efficiently and quickly. Pluggable framework-execution models allow you to quickly backtest different execution models and use your optimal execution strategy.
Adjust position sizes and manage post-trade risk with plug-in risk models. Risk models can be passive or active by hedging exposed positions as required. Combine multiple risk models to handle a range of market conditions.
LEAN works on Equities, Forex, Options, Futures, Crypto, and CFD Assets. All assets are managed from a central portfolio, allowing you to trade on all 6 asset classes at the same time.
Seamlessly deploy to Windows, Mac OS, and Linux Platforms.
Write algorithm strategies in C#, F#, and Python.
LEAN ships with a rich toolbox of adaptors and plug-ins: the open-source LEAN ToolBox.
Code locally in Visual Studio and backtest in the cloud with QuantConnect data and computing. Monitor your backtests from your Visual Studio control window.
Iterate rapidly in a LEAN-Enabled Jupyter Lab command line environment with rich strategy backtest reports.
Take advantage of bundled implementations to many streaming data sources: IQFeed, Interactive Brokers, IEX Exchange, OANDA, RabbitMQ, and GDAX.
Download data from popular online repositories and brokerages: Dukascopy, OANDA, GDAX, Kraken, Interactive Brokers, Google Finance, and Yahoo Finance.