QuantConnect Python API Update: How to Migrate to the PEP8 Naming Convention

To update your old QuantConnect trading script to the new PEP8 API format, you need to transition from C#-style PascalCase to Pythonic snake_case. This involves renaming methods, properties, and event handlers, as well as capitalizing constants.

Below is a guide and a comparison to help you migrate your code.

Core Migration Rules

1. Methods & Properties: Convert PascalCase to snake_case (lowercase with underscores).
   • self.AddEquity $\rightarrow$ self.add_equity
   • self.Portfolio $\rightarrow$ self.portfolio
2. Event Handlers: Convert to snake_case.
   • def Initialize(self): $\rightarrow$ def initialize(self):
   • def OnData(self, data): $\rightarrow$ def on_data(self, data):
3. Constants & Enums: Convert to UPPERCASE.
   • Resolution.Minute $\rightarrow$ Resolution.MINUTE
   • SecurityChanges.None $\rightarrow$ SecurityChanges.NONE
4. Classes: Remain CamelCase.
   • ManualUniverseSelectionModel remains the same.

Code Comparison: Before vs. After

Here is a side-by-side comparison of a standard algorithm structure.

Old API (PascalCase)

class OldAlgorithm(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2020, 1, 1)
        self.SetCash(100000)
        self.AddEquity("SPY", Resolution.Minute)
        self.spy = self.Securities["SPY"].Symbol

    def OnData(self, data):
        if not self.Portfolio.Invested:
            self.SetHoldings("SPY", 1.0)
            self.Debug("Purchased SPY")

New API (PEP8 / snake_case)

class NewAlgorithm(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2020, 1, 1)
        self.set_cash(100000)
        self.add_equity("SPY", Resolution.MINUTE)
        # Note: self.securities is now lowercase
        self.spy = self.securities["SPY"].symbol 

    def on_data(self, data):
        # Note: self.portfolio is now lowercase
        if not self.portfolio.invested:
            self.set_holdings("SPY", 1.0)
            self.debug("Purchased SPY")

Common Pitfalls

Variable Name Conflicts
In the old API, it was common to create a custom variable named self.securities to store a list of tickers. In the new API, self.securities is a reserved system property (formerly self.Securities).

• Fix: Rename your custom lists to something else, such as self.my_tickers or self.active_securities, to avoid overwriting the system object.

Enum Capitalization
Ensure you capitalize the properties of Enums.

• Incorrect: Resolution.Daily
• Correct: Resolution.DAILY

Request for Code

If you provide your specific script, I can rewrite it for you in the new format immediately. Please paste your code below.

Q&A: QuantConnect API Migration

Q: Can I still use the old API format?
A: Yes, but you must select an older version of the LEAN engine (e.g., "master v16356") in your project settings. New projects default to the PEP8 version.

Q: How do I handle private variables in the new format?
A: The new convention encourages using an underscore prefix for private variables (e.g., self._ema instead of self.ema) to distinguish them from public API methods.

Q: Do I need to change class names like QCAlgorithm?
A: No, class names generally remain in CamelCase (e.g., QCAlgorithm, AlphaModel, PortfolioConstructionModel). Only instances, methods, and properties change to snake_case.

Q: What happens if I mix formats?
A: Mixing formats (e.g., calling self.AddEquity in a project set to the new LEAN version) will result in AttributeError because the Python wrapper no longer exposes the PascalCase aliases by default in the new version.