quantconnect--lean/Algorithm.Python

QuantConnect Python Algorithm Project:

Before we enable python support, follow the installation instructions to get LEAN running C# algorithms in your machine.

Windows

1. Install Python 3.6:

1. Use the Windows x86-64 MSI installer from https://www.python.org/downloads/release/python-364/.
2. When asked to select the features to be installed, make sure you select "Add python.exe to Path"
3. Once installed confirm the python36.dll is in place in C:\Windows\System32.
4. Add python36.dll location to the system path:
   1. Right mouse button on My Computer. Click Properties.
   2. Click Advanced System Settings -> Environment Variables -> System Variables
   3. On the "Path" section click New and enter the python36.dll path, in our example this was C:\Windows\System32
   4. Create two new system variables: PYTHONHOME and PYTHONPATH which values must be, respectively, the location of your python installation (e.g. C:\Python36amd64) and its Lib folder (e.g. C:\Python36amd64\Lib).
   5. C:\Windows\System32 is normally in the path, thus this procedure is not necessary.
5. Install pandas and its dependencies.

2. Run python algorithm:

1. Prepare Python.Runtime.dll. This is needed to run Python algorithms in LEAN.
   1. Delete the existing files in \Lean\packages\QuantConnect.pythonnet.1.0.5.5\lib
   2. Using windows you'll need to copy the \Lean\packages\QuantConnect.pythonnet.1.0.5.5\build\ Python.Runtime.win file into the ..\lib\ directory and rename it to Python.Runtime.dll.
2. Update the config to run the python algorithm:

"algorithm-type-name": "BasicTemplateAlgorithm",
"algorithm-language": "Python",
"algorithm-location": "../../../Algorithm.Python/BasicTemplateAlgorithm.py",

3. Rebuild LEAN. This step will ensure that the Python.Runtime.dll you set in 2.1 will be used.
4. Run LEAN. You should see the same result of the C# algorithm you tested earlier.

macOS

Known issue with macOS: Python.Runtime.dll cannot import CLR modules after their reference is added. Please follow this Github Issue for updates.

Linux

1. Install Python 3.6 with Miniconda: By default, miniconda is installed in the users home directory ($HOME):

export PATH="$HOME/miniconda3/bin:$PATH"
wget http://cdn.quantconnect.com.s3.amazonaws.com/miniconda/Miniconda3-4.3.31-Linux-x86_64.sh
bash Miniconda3-4.3.31-Linux-x86_64.sh -b
rm -rf Miniconda3-4.3.31-Linux-x86_64.sh
sudo ln -s $HOME/miniconda3/lib/libpython3.6m.so /usr/lib/libpython3.6.so
conda update -y python conda pip
conda install -y cython pandas

2 Run python algorithm:

1. Update the config to run the python algorithm:

"algorithm-type-name": "BasicTemplateAlgorithm",
"algorithm-language": "Python",
"algorithm-location": "../../../Algorithm.Python/BasicTemplateAlgorithm.py",

2. Run LEAN. You should see the same result of the C# algorithm you tested earlier.

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Python.Runtime.dll compilation

LEAN users do not need to compile Python.Runtime.dll. The information below is targeted to developers who wish to improve it.

Download QuantConnect/pythonnet github clone or downloading the zip. If downloading the zip - unzip to a local pathway.

Note: QuantConnect's version of pythonnet is an enhanced of pythonnet with support to System.Decimal and System.DateTime.

Below we can find the compilation flags that create a suitable Python.Runtime.dll for each operating system.

Windows

msbuild pythonnet.sln /nologo /v:quiet /t:Clean;Rebuild /p:Platform=x64 /p:PythonInteropFile="interop36.cs" /p:Configuration=ReleaseWin /p:DefineConstants="PYTHON36,PYTHON3,UCS2"

macOS UCS2

msbuild pythonnet.sln /nologo /v:quiet /t:Clean;Rebuild /p:Platform=x64 /p:PythonInteropFile="interop36.cs" /p:Configuration=ReleaseMono /p:DefineConstants="PYTHON36,PYTHON3,UCS2,MONO_OSX"

macOS UCS4

msbuild pythonnet.sln /nologo /v:quiet /t:Clean;Rebuild /p:Platform=x64 /p:PythonInteropFile="interop36.cs" /p:Configuration=ReleaseMono /p:DefineConstants="PYTHON36,PYTHON3,UCS4,MONO_OSX"

Linux

msbuild pythonnet.sln /nologo /v:quiet /t:Clean;Rebuild /p:Platform=x64 /p:PythonInteropFile="interop36.cs" /p:Configuration=ReleaseMono /p:DefineConstants="PYTHON36,PYTHON3,UCS4,MONO_LINUX"