Forex

To create a Forex pair subscription, in the Initializeinitialize method, call the AddForexadd_forex method. The AddForexadd_forex method returns a Forex 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 = AddForex("EURUSD").Symbol;

self._symbol = self.add_forex("EURUSD").symbol

To view the supported Forex pairs, see Supported Assets.

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

Resolution	TradeBar	QuoteBar	Trade Tick	Quote Tick
TickTICK
SecondSECOND
MinuteMINUTE
HourHOUR
DailyDAILY

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

_symbol = AddForex("EURUSD", Resolution.Daily).Symbol;

self._symbol = self.add_forex("EURUSD", Resolution.DAILY).symbol

To create custom resolution periods, see Consolidating Data.

The only market available for Forex pairs is Market.OandaMarket.OANDA, so you don't need to pass a market argument to the AddForexadd_forex method.

_symbol = AddForex("EURUSD", market: Market.Oanda).Symbol;

self._symbol = self.add_forex("EURUSD", market=Market.OANDA).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 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 = AddForex("EURUSD", fillForward: false).Symbol;

self._symbol = self.add_forex("EURUSD", fill_forward=False).symbol

LEAN models buying power and margin calls to ensure your algorithm stays within the margin requirements. The OANDA brokerage let's you use up to 50x leverage on margin accounts. To change the amount of leverage you can use for a Forex pair, pass a leverage argument to the AddForexadd_forex method.

_symbol = AddForex("EURUSD", leverage: 35).Symbol;

self._symbol = self.add_forex("EURUSD", leverage=35).symbol

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.

The AddForexadd_forex method returns a Forex object, which have the following properties:

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

Example 1: Add All Forex Pairs

The following algorithm adds all the Forex pairs that trade on the OANDA exchange. To get all of the pairs from the Symbol Properties Database, call the SymbolPropertiesDatabase.GetSymbolPropertiesListsymbol_properties_database.get_symbol_properties_list method. Adding all of the pairs is particularly useful for spotting arbitrage opportunities among the pairs.

public class ForexExampleAlgorithm : QCAlgorithm
{
    private List<Forex> _forexPairs;

    public override void Initialize()
    {
        // Get all of the OANDA Forex pairs from the Symbol Properties Database.
        _forexPairs = SymbolPropertiesDatabase.GetSymbolPropertiesList(Market.Oanda, SecurityType.Forex)
            // Add all of the pairs. You don't need to specify the market because the Symbol object already does.
            .Select(x => AddForex(x.Key.Symbol, Resolution.Daily))
            .ToList();
    }
}

class ForexExampleAlgorithm(QCAlgorithm):
    
    def initialize(self) -> None:
        self._forex_pairs = [
            # Add all of the pairs. You don't need to specify the market because the Symbol object already does.
            self.add_forex(x.key.symbol, Resolution.DAILY) 
            # Get all of the OANDA Forex pairs from the Symbol Properties Database.
            for x in self.symbol_properties_database.get_symbol_properties_list(Market.OANDA, SecurityType.FOREX)
        ]