Crypto

Requesting Data

Introduction

Request Crypto data in your algorithm to receive a feed of asset prices in the OnDataon_data method. For more information about the specific datasets we use for backtests, see the CoinAPI datasets. To trade Crypto live, you can use the QuantConnect data provider.

Create Subscriptions

To create a Crypto subscription, in the Initializeinitialize method, call the AddCryptoadd_crypto method. The AddCryptoadd_crypto method returns a Crypto object, which contains a Symbolsymbol property. Save a reference to the Symbolsymbol so you can use it in OnDataon_data to access the security data in the Slice.

_symbol = AddCrypto("BTCUSD").Symbol;
self._symbol = self.add_crypto("BTCUSD").symbol

The AddCryptoadd_crypto method creates a subscription for a single Crypto asset and adds it to your user-defined universe. To create a dynamic universe of Crypto assets, add a Crypto universe.

To view the supported assets, see the CoinAPI datasets.

Fungible Assets

Fungible assets are assets that are interchangeable with each other. For example, every Bitcoin is effectively identical to every other Bitcoin. In contrast, non-fungible tokens (NFTs) are non-fungible because each one is unique. An example of an NFT is the Bored Ape Yacht Club collection. LEAN doesn't currently support trading NFTs.

Resolutions

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

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

The default resolution for Crypto subscriptions is Resolution.MinuteResolution.MINUTE. To change the resolution, pass a resolution argument to the AddCryptoadd_crypto method.

_symbol = AddCrypto("BTCUSD", Resolution.Daily).Symbol;
self._symbol = self.add_crypto("BTCUSD", Resolution.DAILY).symbol

To create custom resolution periods, see Consolidating Data.

Supported Markets

The following Market enumeration members are available for Crypto:

To set the market for a security, pass a market argument to the AddCryptoadd_crypto method.

_symbol = AddCrypto("BTCUSD", market: Market.Coinbase).Symbol;
self._symbol = self.add_crypto("BTCUSD", market=Market.COINBASE).symbol

The brokerage models have a default market for each asset class. If you set a brokerage model, you may not need to specify the market to use.

Fill Forward

Fill forward means if there is no data point for the current slice, LEAN uses the previous data point. Fill forward is the default data setting. If you disable fill forward, you may get stale fills or you may see trade volume as zero.

To disable fill forward for a security, set the fillForwardfill_forward argument to false when you create the security subscription.

_symbol = AddCrypto("BTCUSD", fillForward: false).Symbol;
self._symbol = self.add_crypto("BTCUSD", fill_forward=False).symbol

Margin and Leverage

LEAN models buying power and margin calls to ensure your algorithm stays within the margin requirements. The amount of leverage available to you depends on the brokerage you use. To change the amount of leverage you can use for a security, pass a leverage argument to the AddCryptoadd_crypto method.

_symbol = AddCrypto("BTCUSD", leverage: 3).Symbol;
self._symbol = self.add_crypto("BTCUSD", leverage=3).symbol

For more information about the leverage each brokerage provides, see Brokerages.

Data Normalization

The data normalization mode doesn't affect the data that LEAN passes to OnDataon_data or the data from history request. If you change the data normalization mode, it won't change the outcome.

Properties

The AddCryptoadd_crypto method returns a Crypto object, which have the following properties:

Examples

The following examples demonstrate some common practices for requesting Crypto data.

Example 1: Initialize Binance Algorithms

The following algorithm requests data for the BTC/USDT and ETH/USDT Crypto pairs on Binance. The Binance brokerage model provides realistic fee and fill modeling for the backtest. Since the quote currency of both pairs is USDT, set the account currency to USDT instead of USD. Otherwise, some order will fail since the brokerage doesn't automatically convert USD to USDT for you. 

public class CryptoExampleAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        // Set the brokerage and account type for accurate fee and margin behavior.
        SetBrokerageModel(BrokerageName.Binance, AccountType.Cash);

        // In some Crypto brokerages, USD is not a valid currency to trade.
        // Therefore, set the account currency to USDT and add the starting cash.
        SetAccountCurrency("USDT", 100000);

        // Subscribe to the Crypto pairs.
        // You don't need to specify the market because the Binance brokerage model already does that.
        AddCrypto("BTCUSDT");
        AddCrypto("ETHUSDT");
    }
}
class CryptoExampleAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        # Set the brokerage and account type for accurate fee and margin behavior.
        self.set_brokerage_model(BrokerageName.BINANCE, AccountType.CASH)

        # In some Crypto brokerages, USD is not a valid currency to trade.
        # Therefore, set the account currency to USDT and add the starting cash.
        self.set_account_currency("USDT", 100000)

        # Subscribe to the Crypto pairs.
        # You don't need to specify the market because the Binance brokerage model already does that.
        self.add_crypto("BTCUSDT", market=Market.BINANCE)
        self.add_crypto("ETHUSDT", market=Market.BINANCE)

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