Trading and back testing international stocks on QuantConnect

Thanks for pointing that our Herman, I've answered the original post. For completeness:

Yes its possible and many users from around the world have done international trading using the LEAN open source platform. Currently we don't support it on the QuantConnect.com website but we want to one day. We don't have any international data in QuantConnect.com - so its currently impossible to backtest their symbols with us.

To get started you'd need to create your own market; put your own backtesting data into the appropriate folder, and then update the symbol properties and market hours database. Its no small feat to do but it is possible!

You can see other users who've done it on the Google groups. 

Thanks for the prompt reply Jared.  I wasn't even aware of the google groups, let me dig into them and see how to do so.

Hi,

I am able to run a strategy on quantconnect.com and locally using lean.io engine (live only; as I haven't added local back testing data). I'm really interested in how to achieve local back test data and the following from Jared's post above.

"To get started you'd need to create your own market; put your own backtesting data into the appropriate folder, and then update the symbol properties and market hours database. Its no small feat to do but it is possible!” 

As I would like to trade in markets other than USA and India, specifically Australia.

Any helpful links would be appreciated. (Currently working through www.quantconnect.com/docs/v2/research-environment/datasets/custom-data for custom data) The other areas I'm struggling to find useful resources.

Thanks in advance.

Hi Lachlan,

You would need to change/edit the source code of LEAN on your computer. It is C# code. I don't know how much you are familiar with all that but I will assume you are in the following.

“Create your own market”: throughtout the LEAN codebase, you can see the concept of “Market” being used. You would need to grasp how it is structured and used so you can add “Australia”.

“Own backtesting data in appropriate folder”: yes, custom data is the good lead.

“Update symbol”: that's a very central concept in LEAN. You would need to edit Symbol so it recognizes your new Market (that's part of the first one above) and also add the Australian tickers to the unique identifiers system already in LEAN, use the Symbol Cache, etc.

“Market hours database”: this is for LEAN to be able to know when the market for such and such security is open/closed - so it converts orders when closed to market on open orders, etc.

So in a nutshell, you need to get accustomed to the inner workings of LEAN and extend it to include “another set of securities” (Australian). I don't think there is a lot of guidance out there to help you do that, especially anything self-contained. But once done, basically, LEAN would recognize Australian securities and would seek for data whenever appropriate - which you would have added to your instance…

Fred

Hi Fred,

Thanks for the quick response.  Looks to hard for me.  Looks like it's IBapi for me.

Lachlan