Theta Data is happy to share a new integration with the QuantConnect LEAN CLI application. This integration allows you to deploy algorithmic trading strategies far more easily than was previously possible - with all the data and broker connector plumbing handled.
QuantConnect’s LEAN CLI is a pip package for its open-source algorithm trading engine, LEAN. LEAN supports 11 asset classes and has open-source connectors to 20+ brokerages. Its engine lets you focus on your strategy and avoid writing heavy modeling or connector code. The QuantConnect-Theta Data plugin is completely open-source and will be maintained and extended as we grow.
QuantConnect's potential is pretty epic. With a few lines of Python code, you can search through thousands of options contracts, sort, and filter on greeks, and invest with complex strategies. Unlike any other platform in the world, LEAN can handle accurate backtesting of your option margin used in derivative and hedging strategies.
The plugin supports downloading data in LEAN format, backtesting, jupyter research, parameter optimization, and live trading -- using Tick, Second, and Minute bars on spot asset classes, and minute, hour, daily bars for derivatives . Examples of how to use this integration are below:
Downloading Data:
$ lean data download --data-provider-historical ThetaData --data-type Trade --resolution Daily --security-type Option --ticker NVDA,AMD --start 20240303 --end 20240404 --thetadata-subscription-plan Standard
Backtesting:
$ lean backtest "My Project" --data-provider-historical ThetaData --thetadata-subscription-plan Standard
Research Notebook:
$ lean research "My Project" --data-provider-historical ThetaData --thetadata-subscription-plan Standard
Live Trading:
$ lean live deploy "My Project" --data-provider-live ThetaData --thetadata-subscription-plan Standard --brokerage "Paper Trading"
You can read more about the integration on our QuantConnect integration page.
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