Automated trading and backtesting library
Roles
Rocco Ghielmini - Software Engineer
Oct, 2021 - Oct, 2023
Technologies Used
.NETC#PythonREST APIsCI/CDData VisualizationStatistical modelling
QuantConnect strategy toolkit
I built a library on top of QuantConnect’s LEAN framework that lets me compose live trading systems from interchangeable modules. It powers discretionary experiments as well as automated futures and equities strategies that run through Interactive Brokers.
Problem
LEAN offers flexible primitives but was missing pre-made modules to be wired into reusable workflows. I needed a way to spin up new universes, alphas, and execution models quickly by only choosing the correct parameters.
My Contributions
- Created parametrised modules for universe selection, alpha generation, risk management, and execution that can be slotted together per strategy.
- Expanded the Python research notebooks into production-ready C# code using LEAN’s event-driven architecture and brokerage integrations.