Datasets

Crypto Futures

Introduction

This page explains how to request, manipulate, and visualize historical Crypto Futures data.

Create Subscriptions

Follow these steps to subscribe to a perpetual Crypto Futures contract:

  1. Load the assembly files and data types in their own cell.
    2. #load "../Initialize.csx"
  2. Import the data types.
    3. #load "../QuantConnect.csx"
#r "../Microsoft.Data.Analysis.dll"

using QuantConnect;
using QuantConnect.Data;
using QuantConnect.Algorithm;
using QuantConnect.Research;
using QuantConnect.Indicators;
using QuantConnect.Securities.CryptoFuture;
using Microsoft.Data.Analysis;
  3. Create a QuantBook.
    4. var qb = new QuantBook();
    qb = QuantBook()
  4. (Optional) Set the time zone to the data time zone.
    5. qb.set_time_zone(TimeZones.UTC);
    qb.set_time_zone(TimeZones.UTC)
  5. Call the AddCryptoFutureadd_crypto_future method with a ticker and then save a reference to the Crypto Future Symbol.
    6. var btcusd = qb.AddCryptoFuture("BTCUSD").Symbol;
var ethusd = qb.AddCryptoFuture("ETHUSD").Symbol;
    btcusd = qb.add_crypto_future("BTCUSD").symbol
ethusd = qb.add_crypto_future("ETHUSD").symbol

To view the supported assets in the Crypto Futures datasets, see the Data Explorer.

Get Historical Data

You need a subscription before you can request historical data for a security. You can request an amount of historical data based on a trailing number of bars, a trailing period of time, or a defined period of time. You can also request historical data for a single contract, a subset of the contracts you created subscriptions for in your notebook, or all of the contracts in your notebook.

Trailing Number of Bars

To get historical data for a number of trailing bars, call the Historyhistory method with the Symbol object(s) and an integer.

// Slice objects
var singleHistorySlice = qb.History(btcusd, 10);
var subsetHistorySlice = qb.History(new[] {btcusd, ethusd}, 10);
var allHistorySlice = qb.History(10);

// TradeBar objects
var singleHistoryTradeBars = qb.History<TradeBar>(btcusd, 10);
var subsetHistoryTradeBars = qb.History<TradeBar>(new[] {btcusd, ethusd}, 10);
var allHistoryTradeBars = qb.History<TradeBar>(qb.Securities.Keys, 10);

// QuoteBar objects
var singleHistoryQuoteBars = qb.History<QuoteBar>(btcusd, 10);
var subsetHistoryQuoteBars = qb.History<QuoteBar>(new[] {btcusd, ethusd}, 10);
var allHistoryQuoteBars = qb.History<QuoteBar>(qb.Securities.Keys, 10);
# DataFrame of trade and quote data
single_history_df = qb.history(btcusd, 10)
subset_history_df = qb.history([btcusd, ethusd], 10)
all_history_df = qb.history(qb.securities.keys(), 10)

# DataFrame of trade data
single_history_trade_bar_df = qb.history(TradeBar, btcusd, 10)
subset_history_trade_bar_df = qb.history(TradeBar, [btcusd, ethusd], 10)
all_history_trade_bar_df = qb.history(TradeBar, qb.securities.keys(), 10)

# DataFrame of quote data
single_history_quote_bar_df = qb.history(QuoteBar, btcusd, 10)
subset_history_quote_bar_df = qb.history(QuoteBar, [btcusd, ethusd], 10)
all_history_quote_bar_df = qb.history(QuoteBar, qb.securities.keys(), 10)

# Slice objects
all_history_slice = qb.history(10)

# TradeBar objects
single_history_trade_bars = qb.history[TradeBar](btcusd, 10)
subset_history_trade_bars = qb.history[TradeBar]([btcusd, ethusd], 10)
all_history_trade_bars = qb.history[TradeBar](qb.securities.keys(), 10)

# QuoteBar objects
single_history_quote_bars = qb.history[QuoteBar](btcusd, 10)
subset_history_quote_bars = qb.history[QuoteBar]([btcusd, ethusd], 10)
all_history_quote_bars = qb.history[QuoteBar](qb.securities.keys(), 10)

Trailing Period of Time

To get historical data for a trailing period of time, call the Historyhistory method with the Symbol object(s) and a TimeSpantimedelta.

// Slice objects
var singleHistorySlice = qb.History(btcusd, TimeSpan.FromDays(3));
var subsetHistorySlice = qb.History(new[] {btcusd, ethusd}, TimeSpan.FromDays(3));
var allHistorySlice = qb.History(10);

// TradeBar objects
var singleHistoryTradeBars = qb.History<TradeBar>(btcusd, TimeSpan.FromDays(3));
var subsetHistoryTradeBars = qb.History<TradeBar>(new[] {btcusd, ethusd}, TimeSpan.FromDays(3));
var allHistoryTradeBars = qb.History<TradeBar>(TimeSpan.FromDays(3));

// QuoteBar objects
var singleHistoryQuoteBars = qb.History<QuoteBar>(btcusd, TimeSpan.FromDays(3), Resolution.Minute);
var subsetHistoryQuoteBars = qb.History<QuoteBar>(new[] {btcusd, ethusd}, TimeSpan.FromDays(3), Resolution.Minute);
var allHistoryQuoteBars = qb.History<QuoteBar>(qb.Securities.Keys, TimeSpan.FromDays(3), Resolution.Minute);

// Tick objects
var singleHistoryTicks = qb.History<Tick>(btcusd, TimeSpan.FromDays(3), Resolution.Tick);
var subsetHistoryTicks = qb.History<Tick>(new[] {btcusd, ethusd}, TimeSpan.FromDays(3), Resolution.Tick);
var allHistoryTicks = qb.History<Tick>(qb.Securities.Keys, TimeSpan.FromDays(3), Resolution.Tick);
# DataFrame of trade and quote data
single_history_df = qb.history(btcusd, timedelta(days=3))
subset_history_df = qb.history([btcusd, ethusd], timedelta(days=3))
all_history_df = qb.history(qb.securities.keys(), timedelta(days=3))

# DataFrame of trade data
single_history_trade_bar_df = qb.history(TradeBar, btcusd, timedelta(days=3))
subset_history_trade_bar_df = qb.history(TradeBar, [btcusd, ethusd], timedelta(days=3))
all_history_trade_bar_df = qb.history(TradeBar, qb.securities.keys(), timedelta(days=3))

# DataFrame of quote data
single_history_quote_bar_df = qb.history(QuoteBar, btcusd, timedelta(days=3))
subset_history_quote_bar_df = qb.history(QuoteBar, [btcusd, ethusd], timedelta(days=3))
all_history_quote_bar_df = qb.history(QuoteBar, qb.securities.keys(), timedelta(days=3))

# DataFrame of tick data
single_history_tick_df = qb.history(btcusd, timedelta(days=3), Resolution.TICK)
subset_history_tick_df = qb.history([btcusd, ethusd], timedelta(days=3), Resolution.TICK)
all_history_tick_df = qb.history(qb.securities.keys(), timedelta(days=3), Resolution.TICK)

# Slice objects
all_history_slice = qb.history(timedelta(days=3))

# TradeBar objects
single_history_trade_bars = qb.history[TradeBar](btcusd, timedelta(days=3))
subset_history_trade_bars = qb.history[TradeBar]([btcusd, ethusd], timedelta(days=3))
all_history_trade_bars = qb.history[TradeBar](qb.securities.keys(), timedelta(days=3))

# QuoteBar objects
single_history_quote_bars = qb.history[QuoteBar](btcusd, timedelta(days=3), Resolution.MINUTE)
subset_history_quote_bars = qb.history[QuoteBar]([btcusd, ethusd], timedelta(days=3), Resolution.MINUTE)
all_history_quote_bars = qb.history[QuoteBar](qb.securities.keys(), timedelta(days=3), Resolution.MINUTE)

# Tick objects
single_history_ticks = qb.history[Tick](btcusd, timedelta(days=3), Resolution.TICK)
subset_history_ticks = qb.history[Tick]([btcusd, ethusd], timedelta(days=3), Resolution.TICK)
all_history_ticks = qb.history[Tick](qb.securities.keys(), timedelta(days=3), Resolution.TICK)

Defined Period of Time

To get historical data for a specific period of time, call the History method with the Symbol object(s), a start DateTimedatetime, and an end DateTimedatetime. The start and end times you provide are based in the notebook time zone.

var startTime = new DateTime(2021, 1, 1);
var endTime = new DateTime(2021, 2, 1);

// Slice objects
var singleHistorySlice = qb.History(btcusd, startTime, endTime);
var subsetHistorySlice = qb.History(new[] {btcusd, ethusd}, startTime, endTime);
var allHistorySlice = qb.History(qb.Securities.Keys, startTime, endTime);

// TradeBar objects
var singleHistoryTradeBars = qb.History<TradeBar>(btcusd, startTime, endTime);
var subsetHistoryTradeBars = qb.History<TradeBar>(new[] {btcusd, ethusd}, startTime, endTime);
var allHistoryTradeBars = qb.History<TradeBar>(qb.Securities.Keys, startTime, endTime);

// QuoteBar objects
var singleHistoryQuoteBars = qb.History<QuoteBar>(btcusd, startTime, endTime, Resolution.Minute);
var subsetHistoryQuoteBars = qb.History<QuoteBar>(new[] {btcusd, ethusd}, startTime, endTime, Resolution.Minute);
var allHistoryQuoteBars = qb.History<QuoteBar>(qb.Securities.Keys, startTime, endTime, Resolution.Minute);

// Tick objects
var singleHistoryTicks = qb.History<Tick>(btcusd, startTime, endTime, Resolution.Tick);
var subsetHistoryTicks = qb.History<Tick>(new[] {btcusd, ethusd}, startTime, endTime, Resolution.Tick);
var allHistoryTicks = qb.History<Tick>(qb.Securities.Keys, startTime, endTime, Resolution.Tick);
start_time = datetime(2021, 1, 1)
end_time = datetime(2021, 2, 1)

# DataFrame of trade and quote data
single_history_df = qb.history(btcusd, start_time, end_time)
subset_history_df = qb.history([btcusd, ethusd], start_time, end_time)
all_history_df = qb.history(qb.securities.keys(), start_time, end_time)

# DataFrame of trade data
single_history_trade_bar_df = qb.history(TradeBar, btcusd, start_time, end_time)
subset_history_trade_bar_df = qb.history(TradeBar, [btcusd, ethusd], start_time, end_time)
all_history_trade_bar_df = qb.history(TradeBar, qb.securities.keys(), start_time, end_time)

# DataFrame of quote data
single_history_quote_bar_df = qb.history(QuoteBar, btcusd, start_time, end_time)
subset_history_quote_bar_df = qb.history(QuoteBar, [btcusd, ethusd], start_time, end_time)
all_history_quote_bar_df = qb.history(QuoteBar, qb.securities.keys(), start_time, end_time)

# DataFrame of tick data
single_history_tick_df = qb.history(btcusd, start_time, end_time, Resolution.TICK)
subset_history_tick_df = qb.history([btcusd, ethusd], start_time, end_time, Resolution.TICK)
all_history_tick_df = qb.history(qb.securities.keys(), start_time, end_time, Resolution.TICK)

# TradeBar objects
single_history_trade_bars = qb.history[TradeBar](btcusd, start_time, end_time)
subset_history_trade_bars = qb.history[TradeBar]([btcusd, ethusd], start_time, end_time)
all_history_trade_bars = qb.history[TradeBar](qb.securities.keys(), start_time, end_time)

# QuoteBar objects
single_history_quote_bars = qb.history[QuoteBar](btcusd, start_time, end_time, Resolution.MINUTE)
subset_history_quote_bars = qb.history[QuoteBar]([btcusd, ethusd], start_time, end_time, Resolution.MINUTE)
all_history_quote_bars = qb.history[QuoteBar](qb.securities.keys(), start_time, end_time, Resolution.MINUTE)

# Tick objects
single_history_ticks = qb.history[Tick](btcusd, start_time, end_time, Resolution.TICK)
subset_history_ticks = qb.history[Tick]([btcusd, ethusd], start_time, end_time, Resolution.TICK)
all_history_ticks = qb.history[Tick](qb.securities.keys(), start_time, end_time, Resolution.TICK)

Resolutions

The following table shows the available resolutions and data formats for Crypto Futures contract subscriptions:

ResolutionTradeBarQuoteBarTrade TickQuote Tick
TickTICKgreen checkgreen check
SecondSECONDgreen checkgreen check
MinuteMINUTEgreen checkgreen check
HourHOURgreen checkgreen check
DailyDAILYgreen checkgreen check

Markets

The following Market enumeration members are available for Cryptofuture:

Data Normalization

The data normalization mode doesn't affect data from history request. If you change the data normalization mode, it won't change the outcome.

Wrangle Data

You need some historical data to perform wrangling operations. The process to manipulate the historical data depends on its data type. To display pandas objects, run a cell in a notebook with the pandas object as the last line. To display other data formats, call the print method.

You need some historical data to perform wrangling operations. Use LINQ to wrangle the data and then call the Console.WriteLine method in a Jupyter Notebook to display the data. The process to manipulate the historical data depends on its data type.

DataFrame Objects

If the Historyhistory method returns a DataFrame, the first level of the DataFrame index is the encoded Crypto Future Symbol and the second level is the EndTimeend_time of the data sample. The columns of the DataFrame are the data properties.

DataFrame of two Crypto Futures contracts

To select the historical data of a single Crypto Future, index the loc property of the DataFrame with the Crypto Future Symbol.

all_history_df.loc[btcusd]  # or all_history_df.loc['BTCUSD']
DataFrame of one Crypto Future

To select a column of the DataFrame, index it with the column name.

all_history_df.loc[btcusd]['close']
Series of close values

If you request historical data for multiple Crypto Futures contracts, you can transform the DataFrame so that it's a time series of close values for all of the Crypto Futures contracts. To transform the DataFrame, select the column you want to display for each Crypto Futures contract and then call the unstack method.

all_history_df['close'].unstack(level=0)

The DataFrame is transformed so that the column indices are the Symbol of each Crypto Futures contract and each row contains the close value.

DataFrame of one Crypto Future

The historical data methods don't return DataFrame objects, but you can create one for efficient vectorized data wrangling.

using Microsoft.Data.Analysis; 

var columns = new DataFrameColumn[] {
    new PrimitiveDataFrameColumn("Time", history.Select(x => x[btcusd].EndTime)),
    new DecimalDataFrameColumn("BTCUSD Open", history.Select(x => x[btcusd].Open)),
    new DecimalDataFrameColumn("BTCUSD High", history.Select(x => x[btcusd].High)),
    new DecimalDataFrameColumn("BTCUSD Low", history.Select(x => x[btcusd].Low)),
    new DecimalDataFrameColumn("BTCUSD Close", history.Select(x => x[btcusd].Close))
};
var df = new DataFrame(columns);
df
Historical C# dataframe

To select a particular column of the DataFrame, index it with the column name.

df["BTCUSD close"]
Historical C# dataframe column

Slice Objects

If the Historyhistory method returns Slice objects, iterate through the Slice objects to get each one. The Slice objects may not have data for all of your Crypto Future subscriptions. To avoid issues, check if the Slice contains data for your Crypto Futures contract before you index it with the Crypto Future Symbol.

foreach (var slice in allHistorySlice) {
    if (slice.Bars.ContainsKey(btcusd))
    {
        var tradeBar = slice.Bars[btcusd];
    }
    if (slice.QuoteBars.ContainsKey(btcusd))
    {
        var quoteBar = slice.QuoteBars[btcusd];
    }
}
for slice in all_history_slice:
        if slice.bars.contains_key(btcusd):
        trade_bar = slice.bars[btcusd]
    if slice.quote_bars.contains_key(btcusd):
        quote_bar = slice.quote_bars[btcusd]

You can also iterate through each TradeBar and QuoteBar in the Slice.

foreach (var slice in allHistorySlice)
{
    foreach (var kvp in slice.Bars)
    {
        var symbol = kvp.Key;
        var tradeBar = kvp.Value;
    }
    foreach (var kvp in slice.QuoteBars)
    {
        var symbol = kvp.Key;
        var quoteBar = kvp.Value;
    }
}
for slice in all_history_slice:
    for kvp in slice.bars:
        symbol = kvp.key
        trade_bar = kvp.value
    for kvp in slice.quote_bars:
        symbol = kvp.key
        quote_bar = kvp.value

You can also use LINQ to select each TradeBar in the Slice for a given Symbol.

var tradeBars = allHistorySlice.Where(slice => slice.Bars.ContainsKey(btcusd)).Select(slice => slice.Bars[btcusd]);

TradeBar Objects

If the Historyhistory method returns TradeBar objects, iterate through the TradeBar objects to get each one.

foreach (var tradeBar in singleHistoryTradeBars)
{
    Console.WriteLine(tradeBar);
}
for trade_bar in single_history_trade_bars:
    print(trade_bar)

If the Historyhistory method returns TradeBars, iterate through the TradeBars to get the TradeBar of each Crypto Futures contract. The TradeBars may not have data for all of your Crypto Future subscriptions. To avoid issues, check if the TradeBars object contains data for your security before you index it with the Crypto Future Symbol.

foreach (var tradeBars in allHistoryTradeBars)
{
    if (tradeBars.ContainsKey(btcusd))
    {
        var tradeBar = tradeBars[btcusd];
    }
}
for trade_bars in all_history_trade_bars:
    if trade_bars.contains_key(btcusd):
        trade_bar = trade_bars[btcusd]

You can also iterate through each of the TradeBars.

foreach (var tradeBars in allHistoryTradeBars)
{
    foreach (var kvp in tradeBars)
    {
        var symbol = kvp.Key;
        var tradeBar = kvp.Value;
    }
}
for trade_bars in all_history_trade_bars:
    for kvp in trade_bars:
        symbol = kvp.Key
        trade_bar = kvp.Value

QuoteBar Objects

If the Historyhistory method returns QuoteBar objects, iterate through the QuoteBar objects to get each one.

foreach (var quoteBar in singleHistoryQuoteBars)
{
    Console.WriteLine(quoteBar);
}
for quote_bar in single_history_quote_bars:
    print(quote_bar)

If the Historyhistory method returns QuoteBars, iterate through the QuoteBars to get the QuoteBar of each Crypto Futures contract. The QuoteBars may not have data for all of your Crypto Future subscriptions. To avoid issues, check if the QuoteBars object contains data for your security before you index it with the Crypto Future Symbol.

foreach (var quoteBars in allHistoryQuoteBars)
{
    if (quoteBars.ContainsKey(btcusd))
    {
        var quoteBar = quoteBars[btcusd];
    }
}
for quote_bars in all_history_quote_bars:
    if quote_bars.contains_key(btcusd):
        quote_bar = quote_bars[btcusd]

You can also iterate through each of the QuoteBars.

foreach (var quoteBars in allHistoryQuoteBars)
{
    foreach (var kvp in quoteBars)
    {
        var symbol = kvp.Key;
        var quoteBar = kvp.Value;
    }
}
for quote_bars in all_history_quote_bars:
    for kvp in quote_bars:
        symbol = kvp.key
        quote_bar = kvp.value

Tick Objects

If the Historyhistory method returns TickTICK objects, iterate through the TickTICK objects to get each one.

foreach (var tick in singleHistoryTicks)
{
    Console.WriteLine(tick);
}
for tick in single_history_ticks:
    print(tick)

If the Historyhistory method returns Ticks, iterate through the Ticks to get the TickTICK of each Crypto Futures contract. The Ticks may not have data for all of your Crypto Future subscriptions. To avoid issues, check if the Ticks object contains data for your security before you index it with the Crypto Future Symbol.

foreach (var ticks in allHistoryTicks)
{
    if (ticks.ContainsKey(btcusd))
    {
        var tick = ticks[btcusd];
    }
}
for ticks in all_history_ticks:
    if ticks.contains_key(btcusd):
        ticks = ticks[btcusd]

You can also iterate through each of the Ticks.

foreach (var ticks in allHistoryTicks)
{
    foreach (var kvp in ticks)
    {
        var symbol = kvp.Key;
        var tick = kvp.Value;
    }
}
for ticks in all_history_ticks:
    for kvp in ticks:
        symbol = kvp.key
        tick = kvp.value

The Ticks objects only contain the last tick of each security for that particular timeslice

Plot Data

You need some historical Crypto Futures data to produce plots. You can use many of the supported plotting librariesPlot.NET package to visualize data in various formats. For example, you can plot candlestick and line charts.

Candlestick Chart

Follow these steps to plot candlestick charts:

  1. Get some historical data.
    2. history = qb.history(btcusd, datetime(2021, 11, 23), datetime(2021, 12, 8), Resolution.DAILY).loc[btcusd]
    var history = qb.History<TradeBar>(btcusd, new DateTime(2021, 11, 23), new DateTime(2021, 12, 8), Resolution.Daily);
  2. Import the plotlyPlot.NET library.
    3. import plotly.graph_objects as go
    #r "../Plotly.NET.dll"
using Plotly.NET;
using Plotly.NET.LayoutObjects;
  3. Create a Candlestick.
    4. candlestick = go.Candlestick(x=history.index,
                             open=history['open'],
                             high=history['high'],
                             low=history['low'],
                             close=history['close'])
    var chart = Chart2D.Chart.Candlestick<decimal, decimal, decimal, decimal, DateTime, string>(
    history.Select(x => x.Open),
    history.Select(x => x.High),
    history.Select(x => x.Low),
    history.Select(x => x.Close),
    history.Select(x => x.EndTime)
);
  4. Create a Layout.
    5. layout = go.Layout(title=go.layout.Title(text='BTCUSD 18R OHLC'),
                   xaxis_title='Date',
                   yaxis_title='Price',
                   xaxis_rangeslider_visible=False)
    LinearAxis xAxis = new LinearAxis();
xAxis.SetValue("title", "Time");
LinearAxis yAxis = new LinearAxis();
yAxis.SetValue("title", "Price ($)");
Title title = Title.init("BTCUSD 18R OHLC");

Layout layout = new Layout();
layout.SetValue("xaxis", xAxis);
layout.SetValue("yaxis", yAxis);
layout.SetValue("title", title);
  5. Create the Figure.
    6. fig = go.Figure(data=[candlestick], layout=layout)
  6. Assign the Layout to the chart.
    7. chart.WithLayout(layout);
  7. Show the Figure.
    8. fig.show()
    HTML(GenericChart.toChartHTML(chart))

    Candlestick charts display the open, high, low, and close prices of the security.

Candlestick plot of BTCUSD 18R OHLC Candlestick plot of BTCUSD 18R OHLC

Line Chart

Follow these steps to plot line charts using built-in methodsPlotly.NET package:

  1. Get some historical data.
    2. history = qb.history([btcusd, ethusd], datetime(2021, 11, 23), datetime(2021, 12, 8), Resolution.DAILY)
    var history = qb.history(new List<Symbol> { btcusd, ethusd }, new DateTime(2021, 11, 23), new DateTime(2021, 12, 8), Resolution.DAILY);
  2. Select the data to plot.
    3. volume = history['volume'].unstack(level=0)
  3. Call the plot method on the pandas object.
    4. volume.plot(title="Volume", figsize=(15, 10))
  4. Create Line charts.
    5. var chart1 = Chart2D.Chart.Line<DateTime, decimal, string>(
    history.Select(x => x[btcusd].EndTime),
    history.Select(x => x[btcusd].Volume),
    Name: "BTCUSD 18R"
);
var chart2 = Chart2D.Chart.Line<DateTime, decimal, string>(
    history.Select(x => x[ethusd].EndTime),
    history.Select(x => x[ethusd].Volume),
    Name: "ETHUSD 18R"
);
  5. Create a Layout.
    6. LinearAxis xAxis = new LinearAxis();
xAxis.SetValue("title", "Time");
LinearAxis yAxis = new LinearAxis();
yAxis.SetValue("title", "Volume");
Title title = Title.init("BTCUSD 18R & ETHUSD 18R Volume");

Layout layout = new Layout();
layout.SetValue("xaxis", xAxis);
layout.SetValue("yaxis", yAxis);
layout.SetValue("title", title);
  6. Combine the charts and assign the Layout to the chart.
    7. var chart = Plotly.NET.Chart.Combine(new []{chart1, chart2});
chart.WithLayout(layout);
  7. Show the plot.
    8. plt.show()
    HTML(GenericChart.toChartHTML(chart))

    Line charts display the value of the property you selected in a time series.

Line chart of volume of BTCUSD, & ETHUSD Line chart of volume of BTCUSD, & ETHUSD

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