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Getting started with QuantConnect, and I have some entry level questions.
What is the latest on Visual Studio Support? The instructions (https://www.youtube.com/watch?v=m6llfznP4d4) are deprecated with a replacement coming in 2020.
What are the coding limitations / restrictions? Specifically, can I import my own libraries for machine learning or api data access (alternative data sources).
What are the hosting limitations? Can I self host / run the framework on a localhost or owned server?
I have trouble understanding the lifecycle of the QCAlgorithom. When methods get called, and why. For instance, when I set the resolution of the Universe, can I assume that asset filtering and all subsequent methods in the algo will run hourly? A high level flow might be nice.
When is threading used? I noticed task 157 used concurrent dictionaries. When is threading a user concern?
I noticed level 1 quote data is in the works. What about Level 2 data? My current strategy includes looking at Level2 data for bid/ask walls.
Derek Melchin
Hi Nicholas,
I will break up my answer below into the separate topics discussed. In the future though, we appreciate focusing each community thread on a specific topic.
Visual Studio Support
We used to support a VS plugin, as our documentation shows. However, we no longer support this. Instead, we are developing Skylight, a solution for our users to code locally in any IDE they like while syncing their project files with our cloud servers. Learn more about it by reading our blog post, A New Era For Desktop Algorithmic Trading, and watching our YouTube video, How to Code Locally with Skylight.
Libraries
Consult our Supported Libraries documentation for an exhaustive list of the libraries we have available for use. For machine learning libraries specifically, we have an exclusive list available here.
Alternative Data Sources
We have several alternative data sources available. But if our Alternative Data Library does not suffice, our documentation explains how it's possible to import custom data.
Hosting
To host with us on our co-located servers, review our pricing packages. Alternatively, it is possible to run LEAN locally or on your own server. Simply follow the installation instructions found on our GitHub repo. Note that we have restrictions on the data we are able to freely share with users. Thanks to FXCM and OANDA we are able to provide FX and CFD for free to download through the Data Library. Cryptocurrency data is available for sale, but because of other data provider restrictions we are not able to resell Equity, Futures or Options data. When downloading data from QuantConnect we just ask a small fee to cover the bandwidth cost.
QCAlgorthim Lifecyle
When setting the universe resolution to hourly, the algorithm will receive pricing updates on an hourly basis. However, universe selection will remain a daily operation. I recommend reviewing our documentation and completing the Bootcamp lesson on the Algorithm Framework. Both of these resources provide great explanations for the entire process.
Threading
Threading is not typically a user concern. Almost all of the operations in our API are synchronous, with the exception to several order types.
Level 2 Data
We do not currently support access to Level 2 data, but we are always looking for ways to expand our functionality.
Best,
Derek Melchin
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