We're happy to share we've completed integration with Theta Data, a New York data feed provider for LEAN - enabling support for US Equities, Options and Index asset types. 

Theta Data is a live data feed provider based in New York. Initially, they focused on US Equity Options but have since expanded into Equities and Indexes data feeds. With this expansion, QuantConnect's LEAN CLI can now integrate and provide data download, backtesting, research, and live trading support! The integration supports Tick, Second, and Minute bars across all the Theta Data asset types.

The LEAN CLI is a pip package wrapper on our open-source algorithmic trading engine, LEAN. The CLI has a low monthly subscription and enables using LEAN easily in a command line environment. For more information on this integration see our documentation. 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"

As always, this integration is fully open-source. We're excited to be driving forward with our mission to radically open-source all the infrastructure for algorithmic trading, leveling the playing field for funds of all sizes and enabling quants to focus on their investments. 

Best,

QuantConnect Team