lean 0.1.59

A CLI aimed at making it easier to run QuantConnect's LEAN engine locally and in the cloud

QuantConnect Lean CLI

The Lean CLI is a cross-platform CLI aimed at making it easier to develop with the LEAN engine locally and in the cloud.

Visit the documentation website for comprehensive and up-to-date documentation.

Highlights

• Project scaffolding
• Local autocomplete
• Local data downloading
• Local backtesting
• Local debugging
• Local research environment
• Local optimization
• Local live trading
• Local backtest report creation
• Cloud synchronization
• Cloud backtesting
• Cloud optimization
• Cloud live trading

Installation

The CLI can be installed and updated by running pip install --upgrade lean.

Note that many commands in the CLI require Docker to run. See Get Docker for instructions on how to install Docker for your operating system.

After installing the CLI, open a terminal in an empty directory and run lean init. This command downloads the latest configuration file and sample data from the QuantConnect/Lean repository. We recommend running all Lean CLI commands in the same directory lean init was ran in.

Usage

The Lean CLI supports multiple workflows. The examples below serve as a starting point, you're free to mix local and cloud features in any way you'd like.

A cloud-focused workflow (local development, cloud execution) with the CLI may look like this:

1. Open a terminal in the directory you ran lean init in.
2. Run lean cloud pull to pull remotely changed files.
3. Start programming locally and run backtests in the cloud with lean cloud backtest "Project Name" --open --push whenever there is something to backtest. The --open flag means that the backtest results will be opened in the browser when done, while the --push flag means that local changes are pushed to the cloud before running the backtest.
4. Whenever you want to create a new project, run lean create-project "Project Name" and lean cloud push --project "Project Name" to create a new project containing some basic code and to push it to the cloud.
5. When you're finished for the moment, run lean cloud push to push all locally changed files to the cloud.

A locally-focused workflow (local development, local execution) with the CLI may look like this:

1. Open a terminal in the directory you ran lean init in.
2. Run lean create-project "Project Name" to create a new project with some basic code to get you started.
3. Work on your strategy in ./Project Name.
4. Run lean research "Project Name" to start a Jupyter Lab session to perform research in.
5. Run lean backtest "Project Name" to run a backtest whenever there's something to test. This runs your strategy in a Docker container containing the same packages as the ones used on QuantConnect.com, but with your own data.

Commands

Note: the readme only contains the --help text of all commands. Visit the documentation website for more comprehensive documentation.

• lean backtest
• lean build
• lean cloud backtest
• lean cloud live
• lean cloud optimize
• lean cloud pull
• lean cloud push
• lean config get
• lean config list
• lean config set
• lean config unset
• lean create-project
• lean data download
• lean data generate
• lean init
• lean library add
• lean library remove
• lean live
• lean login
• lean logout
• lean optimize
• lean report
• lean research

lean backtest

Backtest a project locally using Docker.

Usage: lean backtest [OPTIONS] PROJECT

  Backtest a project locally using Docker.

  If PROJECT is a directory, the algorithm in the main.py or Main.cs file inside it will be executed.
  If PROJECT is a file, the algorithm in the specified file will be executed.

  Go to the following url to learn how to debug backtests locally using the Lean CLI:
  https://www.lean.io/docs/lean-cli/tutorials/backtesting/debugging-local-backtests

  By default the official LEAN engine image is used. You can override this using the --image option. Alternatively you
  can set the default engine image for all commands using `lean config set engine-image <image>`.

Options:
  --output DIRECTORY              Directory to store results in (defaults to PROJECT/backtests/TIMESTAMP)
  --debug [pycharm|ptvsd|vsdbg|rider]
                                  Enable a certain debugging method (see --help for more information)
  --image TEXT                    The LEAN engine image to use (defaults to quantconnect/lean:latest)
  --update                        Pull the LEAN engine image before running the backtest
  --lean-config FILE              The Lean configuration file that should be used (defaults to the nearest lean.json)
  --verbose                       Enable debug logging
  --help                          Show this message and exit.

See code: lean/commands/backtest.py

lean build

Build Docker images of your own version of LEAN and the Alpha Streams SDK.

Usage: lean build [OPTIONS] ROOT

  Build Docker images of your own version of LEAN and the Alpha Streams SDK.

  ROOT must point to a directory containing the LEAN repository and the Alpha Streams SDK repository:
  https://github.com/QuantConnect/Lean & https://github.com/QuantConnect/AlphaStreams

  This command performs the following actions:
  1. The lean-cli/foundation:latest image is built from Lean/DockerfileLeanFoundation(ARM).
  2. LEAN is compiled in a Docker container using the lean-cli/foundation:latest image.
  3. The Alpha Streams SDK is compiled in a Docker container using the lean-cli/foundation:latest image.
  4. The lean-cli/engine:latest image is built from Lean/Dockerfile using lean-cli/foundation:latest as base image.
  5. The lean-cli/research:latest image is built from Lean/DockerfileJupyter using lean-cli/engine:latest as base image.
  6. The default engine image is set to lean-cli/engine:latest.
  7. The default research image is set to lean-cli/research:latest.

Options:
  --verbose  Enable debug logging
  --help     Show this message and exit.

See code: lean/commands/build.py

lean cloud backtest

Backtest a project in the cloud.

Usage: lean cloud backtest [OPTIONS] PROJECT

  Backtest a project in the cloud.

  PROJECT must be the name or id of the project to run a backtest for.

  If the project that has to be backtested has been pulled to the local drive with `lean cloud pull` it is possible to
  use the --push option to push local modifications to the cloud before running the backtest.

Options:
  --name TEXT  The name of the backtest (a random one is generated if not specified)
  --push       Push local modifications to the cloud before running the backtest
  --open       Automatically open the results in the browser when the backtest is finished
  --verbose    Enable debug logging
  --help       Show this message and exit.

See code: lean/commands/cloud/backtest.py

lean cloud live

Start live trading for a project in the cloud.

Usage: lean cloud live [OPTIONS] PROJECT

  Start live trading for a project in the cloud.

  An interactive prompt will be shown to configure the deployment.

  PROJECT must be the name or the id of the project to start live trading for.

  If the project that has to be live traded has been pulled to the local drive with `lean cloud pull` it is possible
  to use the --push option to push local modifications to the cloud before starting live trading.

Options:
  --push     Push local modifications to the cloud before starting live trading
  --open     Automatically open the live results in the browser once the deployment starts
  --verbose  Enable debug logging
  --help     Show this message and exit.

See code: lean/commands/cloud/live.py

lean cloud optimize

Optimize a project in the cloud.

Usage: lean cloud optimize [OPTIONS] PROJECT

  Optimize a project in the cloud.

  An interactive prompt will be shown to configure the optimizer.

  PROJECT must be the name or id of the project to optimize.

  If the project that has to be optimized has been pulled to the local drive with `lean cloud pull` it is possible to
  use the --push option to push local modifications to the cloud before running the optimization.

Options:
  --name TEXT  The name of the optimization (a random one is generated if not specified)
  --push       Push local modifications to the cloud before starting the optimization
  --verbose    Enable debug logging
  --help       Show this message and exit.

See code: lean/commands/cloud/optimize.py

lean cloud pull

Pull projects from QuantConnect to the local drive.

Usage: lean cloud pull [OPTIONS]

  Pull projects from QuantConnect to the local drive.

  This command overrides the content of local files with the content of their respective counterparts in the cloud.

  This command will not delete local files for which there is no counterpart in the cloud.

Options:
  --project TEXT   Name or id of the project to pull (all cloud projects if not specified)
  --pull-bootcamp  Pull Boot Camp projects (disabled by default)
  --verbose        Enable debug logging
  --help           Show this message and exit.

See code: lean/commands/cloud/pull.py

lean cloud push

Push local projects to QuantConnect.

Usage: lean cloud push [OPTIONS]

  Push local projects to QuantConnect.

  This command overrides the content of cloud files with the content of their respective local counterparts.

  This command will not delete cloud files which don't have a local counterpart.

Options:
  --project DIRECTORY  Path to the local project to push (all local projects if not specified)
  --verbose            Enable debug logging
  --help               Show this message and exit.

See code: lean/commands/cloud/push.py

lean config get

Get the current value of a configurable option.

Usage: lean config get [OPTIONS] KEY

  Get the current value of a configurable option.

  Sensitive options like credentials cannot be retrieved this way for security reasons. Please open
  ~/.lean/credentials if you want to see your currently stored credentials.

  Run `lean config list` to show all available options.

Options:
  --verbose  Enable debug logging
  --help     Show this message and exit.

See code: lean/commands/config/get.py

lean config list

List the configurable options and their current values.

Usage: lean config list [OPTIONS]

  List the configurable options and their current values.

Options:
  --verbose  Enable debug logging
  --help     Show this message and exit.

See code: lean/commands/config/list.py

lean config set

Set a configurable option.

Usage: lean config set [OPTIONS] KEY VALUE

  Set a configurable option.

  Run `lean config list` to show all available options.

Options:
  --verbose  Enable debug logging
  --help     Show this message and exit.

See code: lean/commands/config/set.py

lean config unset

Unset a configurable option.

Usage: lean config unset [OPTIONS] KEY

  Unset a configurable option.

  Run `lean config list` to show all available options.

Options:
  --verbose  Enable debug logging
  --help     Show this message and exit.

See code: lean/commands/config/unset.py

lean create-project

Create a new project containing starter code.

Usage: lean create-project [OPTIONS] NAME

  Create a new project containing starter code.

  If NAME is a path containing subdirectories those will be created automatically.

  The default language can be set using `lean config set default-language python/csharp`.

Options:
  -l, --language [python|csharp]  The language of the project to create
  --verbose                       Enable debug logging
  --help                          Show this message and exit.

See code: lean/commands/create_project.py

lean data download

Purchase and download data from QuantConnect's Data Library.

Usage: lean data download [OPTIONS]

  Purchase and download data from QuantConnect's Data Library.

  An interactive wizard will show to walk you through the process of selecting data, accepting the CLI API Access and
  Data Agreement and payment. After this wizard the selected data will be downloaded automatically.

  See the following url for the data that can be purchased and downloaded with this command:
  https://www.lean.io/docs/lean-cli/user-guides/local-data#03-QuantConnect-Data-Library

Options:
  --overwrite         Overwrite existing local data
  --lean-config FILE  The Lean configuration file that should be used (defaults to the nearest lean.json)
  --verbose           Enable debug logging
  --help              Show this message and exit.

See code: lean/commands/data/download.py

lean data generate

Generate random market data.

Usage: lean data generate [OPTIONS]

  Generate random market data.

  This uses the random data generator in LEAN to generate realistic market data using a Brownian motion model.
  This generator supports the following security types, tick types and resolutions:
  | Security type | Generated tick types | Supported resolutions                |
  | ------------- | -------------------- | ------------------------------------ |
  | Equity        | Trade                | Tick, Second, Minute, Hour and Daily |
  | Forex         | Quote                | Tick, Second, Minute, Hour and Daily |
  | CFD           | Quote                | Tick, Second, Minute, Hour and Daily |
  | Future        | Trade and Quote      | Tick, Second, Minute, Hour and Daily |
  | Crypto        | Trade and Quote      | Tick, Second, Minute, Hour and Daily |
  | Option        | Trade and Quote      | Minute                               |

  The following data densities are available:
  - Dense: at least one data point per resolution step.
  - Sparse: at least one data point per 5 resolution steps.
  - VerySparse: at least one data point per 50 resolution steps.

  Example which generates minute data for 100 equity symbols since 2015-01-01:
  $ lean data generate --start=20150101 --symbol-count=100

  Example which generates daily data for 100 crypto symbols since 2015-01-01:
  $ lean data generate --start=20150101 --symbol-count=100 --security-type=Crypto --resolution=Daily

  By default the official LEAN engine image is used. You can override this using the --image option. Alternatively you
  can set the default engine image for all commands using `lean config set engine-image <image>`.

Options:
  --start [yyyyMMdd]              Start date for the data to generate in yyyyMMdd format  [required]
  --end [yyyyMMdd]                End date for the data to generate in yyyyMMdd format (defaults to today)
  --symbol-count INTEGER RANGE    The number of symbols to generate data for  [required]
  --security-type [Equity|Forex|Cfd|Future|Crypto|Option]
                                  The security type to generate data for (defaults to Equity)
  --resolution [Tick|Second|Minute|Hour|Daily]
                                  The resolution of the generated data (defaults to Minute)
  --data-density [Dense|Sparse|VerySparse]
                                  The density of the generated data (defaults to Dense)
  --include-coarse BOOLEAN        Whether coarse universe data should be generated for Equity data (defaults to True)
  --market TEXT                   The market to generate data for (defaults to standard market for the security type)
  --image TEXT                    The LEAN engine image to use (defaults to quantconnect/lean:latest)
  --update                        Pull the LEAN engine image before running the generator
  --lean-config FILE              The Lean configuration file that should be used (defaults to the nearest lean.json)
  --verbose                       Enable debug logging
  --help                          Show this message and exit.

See code: lean/commands/data/generate.py

lean init

Scaffold a Lean configuration file and data directory.

Usage: lean init [OPTIONS]

  Scaffold a Lean configuration file and data directory.

Options:
  --verbose  Enable debug logging
  --help     Show this message and exit.

See code: lean/commands/init.py

lean library add

Add a custom library to a project.

Usage: lean library add [OPTIONS] PROJECT NAME

  Add a custom library to a project.

  PROJECT must be the path to the project.

  NAME must be the name of a NuGet package (for C# projects) or of a PyPI package (for Python projects).

  If --version is not given, the package is pinned to the latest compatible version. For C# projects, this is the
  latest available version. For Python projects, this is the latest version compatible with Python 3.6 (which is what
  the Docker images use).

  Custom C# libraries are added to your project's .csproj file, which is then restored if dotnet is on your PATH and
  the --no-local flag has not been given.

  Custom Python libraries are added to your project's requirements.txt file and are installed in your local Python
  environment so you get local autocomplete for the library. The last step can be skipped with the --no-local flag.

  C# example usage:
  $ lean library add "My CSharp Project" Microsoft.ML
  $ lean library add "My CSharp Project" Microsoft.ML --version 1.5.5

  Python example usage:
  $ lean library add "My Python Project" tensorflow
  $ lean library add "My Python Project" tensorflow --version 2.5.0

Options:
  --version TEXT  The version of the library to add (defaults to latest compatible version)
  --no-local      Skip making changes to your local environment
  --verbose       Enable debug logging
  --help          Show this message and exit.

See code: lean/commands/library/add.py

lean library remove

Remove a custom library from a project.

Usage: lean library remove [OPTIONS] PROJECT NAME

  Remove a custom library from a project.

  PROJECT must be the path to the project directory.

  NAME must be the name of the NuGet package (for C# projects) or of the PyPI package (for Python projects) to remove.

  Custom C# libraries are removed from the project's .csproj file, which is then restored if dotnet is on your PATH
  and the --no-local flag has not been given.

  Custom Python libraries are removed from the project's requirements.txt file.

  C# example usage:
  $ lean library remove "My CSharp Project" Microsoft.ML

  Python example usage:
  $ lean library remove "My Python Project" tensorflow

Options:
  --no-local  Skip making changes to your local environment
  --verbose   Enable debug logging
  --help      Show this message and exit.

See code: lean/commands/library/remove.py

lean live

Start live trading a project locally using Docker.

Usage: lean live [OPTIONS] PROJECT ENVIRONMENT

  Start live trading a project locally using Docker.

  If PROJECT is a directory, the algorithm in the main.py or Main.cs file inside it will be executed.
  If PROJECT is a file, the algorithm in the specified file will be executed.

  ENVIRONMENT must be the name of an environment in the Lean configuration file with live-mode set to true.

  By default the official LEAN engine image is used. You can override this using the --image option. Alternatively you
  can set the default engine image for all commands using `lean config set engine-image <image>`.

Options:
  --output DIRECTORY  Directory to store results in (defaults to PROJECT/live/TIMESTAMP)
  --image TEXT        The LEAN engine image to use (defaults to quantconnect/lean:latest)
  --update            Pull the LEAN engine image before starting live trading
  --lean-config FILE  The Lean configuration file that should be used (defaults to the nearest lean.json)
  --verbose           Enable debug logging
  --help              Show this message and exit.

See code: lean/commands/live.py

lean login

Log in with a QuantConnect account.

Usage: lean login [OPTIONS]

  Log in with a QuantConnect account.

  If user id or API token is not provided an interactive prompt will show.

  Credentials are stored in ~/.lean/credentials and are removed upon running `lean logout`.

Options:
  -u, --user-id TEXT    QuantConnect user id
  -t, --api-token TEXT  QuantConnect API token
  --verbose             Enable debug logging
  --help                Show this message and exit.

See code: lean/commands/login.py

lean logout

Log out and remove stored credentials.

Usage: lean logout [OPTIONS]

  Log out and remove stored credentials.

Options:
  --verbose  Enable debug logging
  --help     Show this message and exit.

See code: lean/commands/logout.py

lean optimize

Optimize a project's parameters locally using Docker.

Usage: lean optimize [OPTIONS] PROJECT

  Optimize a project's parameters locally using Docker.

  If PROJECT is a directory, the algorithm in the main.py or Main.cs file inside it will be executed.
  If PROJECT is a file, the algorithm in the specified file will be executed.

  The --optimizer-config option can be used to specify the configuration to run the optimizer with.
  When using the option it should point to a file like this (the algorithm-* properties should be omitted):
  https://github.com/QuantConnect/Lean/blob/master/Optimizer.Launcher/config.json

  When --optimizer-config is not set, an interactive prompt will be shown to configure the optimizer.

  By default the official LEAN engine image is used. You can override this using the --image option. Alternatively you
  can set the default engine image for all commands using `lean config set engine-image <image>`.

Options:
  --output DIRECTORY       Directory to store results in (defaults to PROJECT/optimizations/TIMESTAMP)
  --optimizer-config FILE  The optimizer configuration file that should be used
  --image TEXT             The LEAN engine image to use (defaults to quantconnect/lean:latest)
  --update                 Pull the LEAN engine image before running the optimizer
  --lean-config FILE       The Lean configuration file that should be used (defaults to the nearest lean.json)
  --verbose                Enable debug logging
  --help                   Show this message and exit.

See code: lean/commands/optimize.py

lean report

Generate a report of a backtest.

Usage: lean report [OPTIONS]

  Generate a report of a backtest.

  This runs the LEAN Report Creator in Docker to generate a polished, professional-grade report of a backtest.

  The name, description, and version are optional and will be blank if not given.

  If the given backtest data source file is stored in a project directory (or one of its subdirectories, like the
  default <project>/backtests/<timestamp>), the default name is the name of the project directory and the default
  description is the description stored in the project's config.json file.

  By default the official LEAN engine image is used. You can override this using the --image option. Alternatively you
  can set the default engine image for all commands using `lean config set engine-image <image>`.

Options:
  --backtest-data-source-file FILE
                                  Path to the JSON file containing the backtest results  [required]
  --live-data-source-file FILE    Path to the JSON file containing the live trading results
  --report-destination FILE       Path where the generated report is stored as HTML (defaults to ./report.html)
  --strategy-name TEXT            Name of the strategy, will appear at the top-right corner of each page
  --strategy-version TEXT         Version number of the strategy, will appear next to the project name
  --strategy-description TEXT     Description of the strategy, will appear under the 'Strategy Description' section
  --overwrite                     Overwrite --report-destination if it already contains a file
  --image TEXT                    The LEAN engine image to use (defaults to quantconnect/lean:latest)
  --update                        Pull the LEAN engine image before running the report creator
  --lean-config FILE              The Lean configuration file that should be used (defaults to the nearest lean.json)
  --verbose                       Enable debug logging
  --help                          Show this message and exit.

See code: lean/commands/report.py

lean research

Run a Jupyter Lab environment locally using Docker.

Usage: lean research [OPTIONS] PROJECT

  Run a Jupyter Lab environment locally using Docker.

  By default the official LEAN research image is used. You can override this using the --image option. Alternatively
  you can set the default research image using `lean config set research-image <image>`.

Options:
  --port INTEGER      The port to run Jupyter Lab on (defaults to 8888)
  --image TEXT        The LEAN research image to use (defaults to quantconnect/research:latest)
  --update            Pull the LEAN research image before starting the research environment
  --lean-config FILE  The Lean configuration file that should be used (defaults to the nearest lean.json)
  --verbose           Enable debug logging
  --help              Show this message and exit.

See code: lean/commands/research.py

Development

To work on the Lean CLI, clone the repository, enter an environment containing Python 3.6+ and run pip install -r requirements.txt. This command will install the required dependencies and installs the CLI in editable mode. This means you'll be able to edit the code and immediately see the results the next time you run lean.

If you need to add dependencies, first update setup.py (if it is a production dependency) or requirements.txt (if it is a development dependency) and then re-run pip install -r requirements.txt.

The automated tests can be ran by running pytest. The filesystem and HTTP requests are mocked when running tests to make sure they run in an isolated environment.

To update the commands reference part of the readme run python scripts/readme.py from the root of the project.

Maintainers can publish new releases by pushing a Git tag containing the new version to GitHub. This will trigger a GitHub Actions workflow which releases the current master branch to PyPI with the value of the tag as version. Make sure the version is not prefixed with "v".