Lean: An Open Source Algorithmic Trading Engine
Lean is a revolutionary open-source project on GitHub, specifically tailored for enthusiasts of financial markets and trading. Conceived and executed by QuantConnect, the project aims to promote accessibility and efficiency in algorithmic trading. Its relevance lies in the democratization of quantitative finance, offering valuable resources for developers and traders alike.
Project Overview:
Lean provides an algorithmic trading engine, enabling users to design and test their strategies across a multitude of financial securities - equities, futures, options, cryptocurrencies, and more. It caters to individuals in the field of finance, particularly those interested in quantitative analysis and high-frequency trading. The project is geared towards solving the complex problem of creating a reliable trade execution system, allowing users to backtest their algorithms using historical data and deploy them live through supported brokerage connections.
Project Features:
Lean opens doors to a world of features including strategy design, backtest simulation, and real-time trading. The project aids in optimizing user trading strategies against historical financial data and executing trades once they go live. Furthermore, Lean integrates with QuantConnect's web interface, allowing users to analyze their backtests and strategies with comprehensive statistics and reports. This intricate feature-set provides a one-stop solution for individuals or organizations looking to venture into algorithmic trading.
Technology Stack:
Lean primarily utilises C# and Python languages. The choice of these languages is strategic. C# is used for its speed and efficiency, ideal for high-frequency trading algorithms. Meanwhile, Python is employed for its ease of use, readability, and vast support for financial libraries. Noteworthy frameworks utilized include NET 2, a popular framework for building modern applications, and NodaTime, a library to manage dates and times.
Project Structure and Architecture:
The Lean project adopts a systematic and modular structure divided into configuration, engine, common properties, data, and execution modules. Each module interacts seamlessly to ensure the efficient running of the algorithmic trading engine. A critical architectural principle employed in Lean is the separation of concerns - each part of the project is designed to address a specific aspect of functionality.
