Forex

QuoteBar objects are bars that consolidate NBBO quotes from the exchanges. They contain the open, high, low, and close prices of the bid and ask. The Openopen, Highhigh, Lowlow, and Closeclose properties of the QuoteBar object are the mean of the respective bid and ask prices. If the bid or ask portion of the QuoteBar has no data, the Openopen, Highhigh, Lowlow, and Closeclose properties of the QuoteBar copy the values of either the Bidbid or Askask instead of taking their mean.

To get the QuoteBar objects in the Slice, index the QuoteBars property of the Slice with the Forex pair Symbolsymbol. If the Forex pair doesn't actively get quotes or you are in the same time step as when you added the Forex pair subscription, the Slice may not contain data for your Symbolsymbol. To avoid issues, check if the Slice contains data for your Forex pair before you index the Slice with the Forex pair Symbolsymbol.

public override void OnData(Slice slice)
{
    // Check if the symbol is contained in QuoteBars object
    if (slice.QuoteBars.ContainsKey(_symbol))
    {
        // Obtain the mapped QuoteBar of the symbol
        var quoteBar = slice.QuoteBars[_symbol];
    }
}

def on_data(self, slice: Slice) -> None:
    # Obtain the mapped QuoteBar of the symbol if any
    quote_bar = slice.quote_bars.get(self._symbol)   # None if not found

You can also iterate through the QuoteBars dictionary. The keys of the dictionary are the Symbol objects and the values are the QuoteBar objects.

public override void OnData(Slice slice)
{
    // Iterate all received Symbol-QuoteBar key-value pairs
    foreach (var kvp in slice.QuoteBars)
    {
        var symbol = kvp.Key;
        var quoteBar = kvp.Value;
        var askPrice = quoteBar.Ask.Close;
    }
}

def on_data(self, slice: Slice) -> None:
    # Iterate all received Symbol-QuoteBar key-value pairs
    for symbol, quote_bar in slice.quote_bars.items():
        ask_price = quote_bar.ask.close

QuoteBar objects let LEAN incorporate spread costs into your simulated trade fills to make backtest results more realistic.

QuoteBar objects have the following properties:

Tick objects represent a single trade or quote at a moment in time. A trade tick is a record of a transaction for the Forex pair. A quote tick is an offer to buy or sell the Forex pair at a specific price.

Trade ticks have a non-zero value for the Quantityquantity and Priceprice properties, but they have a zero value for the BidPricebid_price, BidSizebid_size, AskPriceask_price, and AskSizeask_size properties. Quote ticks have non-zero values for BidPricebid_price and BidSizebid_size properties or have non-zero values for AskPriceask_price and AskSizeask_size properties. To check if a tick is a trade or a quote, use the TickTypeticktype property.

In backtests, LEAN groups ticks into one millisecond buckets. In live trading, LEAN groups ticks into ~70-millisecond buckets. To get the Tick objects in the Slice, index the Ticks property of the Slice with a Symbolsymbol. If the Forex pair doesn't actively trade or you are in the same time step as when you added the Forex pair subscription, the Slice may not contain data for your Symbolsymbol. To avoid issues, check if the Slice contains data for your Forex pair before you index the Slice with the Forex pair Symbolsymbol.

public override void OnData(Slice slice)
{
    if (slice.Ticks.ContainsKey(_symbol))
    {
        var ticks = slice.Ticks[_symbol];
        foreach (var tick in ticks)
        {
            var price = tick.Price;
        }
    }
}

def on_data(self, slice: Slice) -> None:
    ticks = slice.ticks.get(self._symbol, [])   # Empty if not found
    for tick in ticks:
        price = tick.price

You can also iterate through the Ticks dictionary. The keys of the dictionary are the Symbol objects and the values are the List<Tick>list[Tick] objects.

public override void OnData(Slice slice)
{
    foreach (var kvp in slice.Ticks)
    {
        var symbol = kvp.Key;
        var ticks = kvp.Value;
        foreach (var tick in ticks)
        {
            var price = tick.Price;
        }
    }
}

def on_data(self, slice: Slice) -> None:
    for symbol, ticks in slice.ticks.items():
        for tick in ticks:
            price = tick.price

Tick data is raw and unfiltered, so it can contain bad ticks that skew your trade results. For example, some ticks come from dark pools, which aren't tradable. We recommend you only use tick data if you understand the risks and are able to perform your own online tick filtering.

Tick objects have the following properties:

The following examples demonstrate some common practices for handling Forex data.

Example 1: Trade the USDJPY Spread

USDJPY is a Forex pair where the reserve banks of the base currency and quote currency act at different time, which results in a 12-hour period of seasonal peak volume. To reduce slippage costs, place orders when bid-ask spread is relatively low. The following algorithm demonstrates how to utilize the Minimum indicator to check for a narrow spread.

public class ForexExampleAlgorithm : QCAlgorithm
{
    private dynamic _forex;

    public override void Initialize()
    {
        SetStartDate(2004, 1, 1);
        // Add the USDJPY trading pair.
        _forex = AddForex("USDJPY");
        // Create a Minimum indicator to track the lowest bid-ask spread for the past 12 hours.
        _forex.SpreadLow = new Minimum(12*60);
        // Warm up the indicator so it's immediately ready to use.
        WarmUpIndicator<IndicatorDataPoint>(_forex.Symbol, _forex.SpreadLow);
    }
    
    public override void OnData(Slice slice)
    {
        // Ensure we have quote data for USDJPY in the current slice.
        if (!slice.QuoteBars.ContainsKey(_forex.Symbol))
        {
            return;
        }
        var quoteBar = slice.QuoteBars[_forex.Symbol];
        // Bid-ask spread = Ask price - Bid price
        var bidAskSpread = quoteBar.Ask.Close - quoteBar.Bid.Close;
        // Update the spread minimum indicator to calculate the lowest bid-ask spread over the last 12 hours.
        _forex.SpreadLow.Update(quoteBar.EndTime, bidAskSpread);
    
        // Trade if the current spread is the lowest bid-ask spread, since it is the most efficient, 
        // liquid price with lowest slippage.
        if (!Portfolio.Invested && bidAskSpread == _forex.SpreadLow.Current.Value)
        {
            MarketOrder(_forex.Symbol, 1000);
        }
    
        // Plot the bid-ask spread to validate the minimum bid-ask spread calculation.
        Plot("Bid-Ask Spread", "spread", bidAskSpread);
    }
}