Share New Research 
Hi,
I am creating a portfolio with both crypto and equities
Would like to be able to short crypto (currently only available for bitfinex brokerageModel) in the portfolio
However if I set brokerageModel as bitfinex, I cannot have equities in the portfolio..
Is there anyway to do both long & short for both equities & crypto in the same portfolio? Or workard? :D
Derek Melchin
Hi Pranava,
When backtesting, the default brokerage model will allow trading of all security types. However, if we want to use the specifications in the Bitfinex fee model, we'll need to set the fee model of crypto assets. Refer to these docs for guidance.
In regards to live trading, we only support one connection/portfolio, so it's not possible to hold equities and crypto.
Best,
Derek Melchin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Pranava INVESTOR
Hi Derek,
Thanks for the reply! Yes understand for live trading only support 1 connection. Mainly at the purpose for backtesting for now.
I added SPY (equity) and BTCUSD (crypto, market bitfinex which suppose to allow long & short order).
I did not specify the brokerageModel, thus should be the default brokerage model
self.symbols = [ Symbol.Create("SPY", SecurityType.Equity, Market.USA), Symbol.Create("BTCUSD", SecurityType.Crypto, Market.Bitfinex), ]When I try to short:
for symbol in self.symbols: if not self.Portfolio[symbol].Invested: self.SetHoldings(symbol, -0.5)I get this error:
Backtest Handled Error: Unable to compute order quantity of BTCUSD. Reason: The cash model does not allow shorting. Returning null.My short order for SPY went thru but not the one for BTCUSD.
Anyway to allow shorting for BTCUSD? I am willing to sacrifice the fidelity of the brokerage fees etc. Contemplating creating custom BTCUSD symbol and trading it..
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Pranava INVESTOR
from clr import AddReference AddReference("System") AddReference("QuantConnect.Algorithm") AddReference("QuantConnect.Common") from System import * from QuantConnect import * from QuantConnect.Algorithm import * from QuantConnect.Brokerages import * from QuantConnect.Orders import * import decimal as d import numpy as np class BasicTemplateAlgorithm(QCAlgorithm): '''Basic template algorithm simply initializes the date range and cash''' def Initialize(self): '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.''' self.SetStartDate(2018,12, 1) #Set Start Date self.SetEndDate(2018,12,10) #Set End Date self.SetCash(100000) #Set Strategy Cash # self.SetBrokerageModel(BrokerageName.Bitfinex, AccountType.Margin) # allows short selling of crypto # self.SetBrokerageModel(BrokerageName.Default, AccountType.Margin) # self.AddEquity("SPY", Resolution.Daily, Market.USA) # self.AddCrypto("BTCUSD", Resolution.Daily, Market.Bitfinex) # self.AddCrypto("ETHUSD", Resolution.Daily, Market.Bitfinex) self.symbols = [ Symbol.Create("SPY", SecurityType.Equity, Market.USA), Symbol.Create("BTCUSD", SecurityType.Crypto, Market.Bitfinex), Symbol.Create("ETHUSD", SecurityType.Crypto, Market.Bitfinex), ] self.SetUniverseSelection(ManualUniverseSelectionModel(self.symbols) ) self.UniverseSettings.Resolution = Resolution.Daily def OnData(self, data): for key in self.Portfolio.Keys: if data.ContainsKey(key): if not self.Portfolio[key].Invested: self.Debug(str(self.Time) + " trading " + str(key)) self.SetHoldings(key, -0.2)Attached a code for testing.
I need to use have self.SetBrokerageModel(BrokerageName.Bitfinex, AccountType.Margin) to allow shorting of BTCUSD. However if I set that, I cannot add SPY as a security..
Any help is appreciate!
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Derek Melchin
Hi Pranava,
To sell BTC, we first need to have BTC in the cashbook.
self.SetCash('BTC', 100)We recommend creating orders manually for cryptocurrencies instead of using the SetHoldings method. The SetHoldings method isn't consistent when coins are added to the cashbook.
See the attached backtest for reference.
Best,
Derek Melchin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Pranava INVESTOR
Hi derek thanks for the suggestion. However tat is equivalent to me going long at the start of the algorithm. The returns is affected by the initial btc holdings.
Have implemented a workard using custom crypto data.
Really hope your team can add the support for crypto in a margin mode. So we can combine crypto into a combined long&short portfolio with equities etc.
Thks for the help on this issue!
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Derek Melchin
Hi Pranava,
To short BTC, we need to override the default buying power model. We can accomplish this with
btc = self.AddCrypto("BTCUSD") btc.BuyingPowerModel = SecurityMarginModel(3.3)See the attached backtest for reference.
Best,
Derek Melchin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
.ekz. INVESTOR
Thanks for this reponse, Derek Melchin --I'm actually trying to short crypto as well, on Bitfinex.
In your sample above, what exactly does this line do? It's not clear from the docs, which constructor will be invoked. Also, what's the significance of ‘3.3’ ?
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Fred Painchaud
Hi ekz,
SecurityMarginModel is a BuyingPowerModel. It “represents a simple, constant margin model by specifying the percentages of required margin”. Here the required margin is set to 0 (default). The constructor called is:
SecurityMarginModel (decimal leverage, decimal requiredFreeBuyingPowerPercent=0)
3.3 is the max leverage you want to use. It should be set according to the max you want and below or equal to the max your broker authorizes.
Fred
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
.ekz. INVESTOR
Just seeing this response. Thanks Fred Painchaud. I will give this a shot.
@pranava were you able to use this successfully to short in your crypto backtests? What about live? Any lessons/tips/caveats to share?
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Jesse Pangburn
Derek Melchin It seems like no one confirmed this working for them, so just figured I'd let people know this worked for me. I was trying to short FETUSD and it wasn't working until I found your comment and added the line suggested:
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
George Riley
Hi all,
related to this - I used the SecurityMarginModel() as an empty constructor in a CustomSecurityInitializer for crypto.
In the docu I learned that this approach would lead to a non leveraged (1x) buying power. However, default appears to be 2x. Only when I call
my CashBook has the same values it should have according to the trading amounts (1x).
Anyone else can confirm?
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Louis Szeto
Hi George
That would be the correct understanding. Just a reminder that it might cause liquidity issue when you're trying to rebalance your positions, so make sure the cashflow inflow comes before the outflow in the same size.
Best
Louis
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Warren Harding
Framework Description
The framework allows experimentation with, and utilization of, two fundamental properties. Those properties are trend and curvature of price. For example you may wish to select instruments that have been trending downwards and curving upwards, or some other mix of trend and curvature. The changes1Ratio variable determines the influence of trend. A positive changes1Ratio will increase the tendency to select instruments that have been trending upwards, a negative changes1Ratio will increase the tendency to select instruments that have been trending downwards. The changes2Ratio variable determines the influence of curvature. A positive changes2Ratio variable will increase the tendency to select instruments with a price that has been curving upwards. A negative changes2Ratio will increase the tendency to select instruments with a price that has been curving downwards. You can also set either the changes1Ratio or changes2Ratio variable to zero. This will eliminate the influence of that variable. So if you just want to select based upon trend with no regards to the curvature you would set the changes2Ratio to zero. Magnitude has the obvious effect. A large magnitude of changes1Ratio combined with a small magnitude of changes2Ratio will produce an algorithm that mostly considers trend with regards to instrument selection. Both the trend and curvature considerations are exponential in nature. So more recent events will have a higher influence upon selection than older events.
The emaOfChanges1Indicator indicator is the primary indicator of trend. It holds an exponential moving average of the changes in price. You can change it's length by adjusting the emaOfChanges1Length variable. The emaOfChanges2Indicator indicator is the primary indicator of curvature. It holds an exponential moving average of the change in change of price. You can change it's length by adjusting the emaOfChanges2Length variable.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Jack Pizza
Hey Warren,
Have you tried trading the strategy with other instruments? Just wondering it's robustness, I have another strategy that works great on crypto but not so well on other instruments. Meaning the crypto community might be naive and technical indicators and strategies still have high impact.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Warren Harding
Hi Elsid,
Ya, crypto is a newer space for algo developers so I've been looking at it as an opportunity before it's swamped with more refined analysis. I do have a volatility algo that operates on similar principles as the framework here, It profits well. Results with equities might be less than stellar. Fundamentals seem to do well there.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Warren Harding
Hi Jared,
I see you changed the headline for me. Thanks, except that it's not an EMA cross. It might be better described as a buy the dip algo. Or, as I've called it, 'the framework'. Or simply a 'crypto algo'.
Hello everyone,
I'll explain more thorughly how the algo operates. It doesn't really have a name because it operates on principles that I invented myself. I may not be the original inventor but I haven't seen these principles in common use. The primary trend indicator calculates the ema of the percentage changes in price. Note that it's an ema of percentage change in price, not the usual ema of price. This allows one to assign a single number to 'trend'. This number is based upon percentage change in price, so you can readily compare with other instruments to find the instruments with highest or lowest trend. Because it's an ema, more recent changes have a greater influence than less recent changes. The primary curvature indicator operates in similar fashion, but it takes an ema of the change in change of price.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Jared Broad
How's that? ;) Fixed it.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Warren Harding
Excellent. Thanks Jared!
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Nick Georgiadis
Hey Warden,
I converted it to limit order but the return has a significant drop compared to the initial one. Any idea what might have affected the algo?
Thanks
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Warren Harding
Hi Nick,
A few things come to mind, though I haven't examined your algo in detail. The Liquidate call will have to go as well, it uses market orders as I understand it. You might want to cancel the limit orders if they don't go through, possibly after some amount of time. This could be why the returns have come down so much, though I haven't checked thoroughly. I'ld have just used the bid price for purchases and the ask for sales given the behavior of the instruments on GDAX. If you go to the GDAX exchange you'll see that there is practically no spread. If you set a limit order at the ask for a purchase I'm not sure if you'll meet the 'maker' requirement for fees on GDAX, which is going to be critical for this algo.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
John Schwartz
Has anyone figured out a good algo for GDAX maker orders for this algo?
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Skyfold
Hello everyone,
I attempted to launch the code "live" at OANDA, but it gives the following werrror. Could any one tell me what is missing in the code to go live?...Thank you!
Failed to initialize algorithm: System.Exception: No default market set for security type: Crypto at QuantConnect.Algorithm.QCAlgorithm.AddSecurity[T] (QuantConnect.SecurityType securityType, System.String ticker, QuantConnect.Resolution resolution, System.String market, System.Boolean fillDataForward, System.Decimal leverage, System.Boolean extendedMarketHours) [0x00036] in <321054ea1e964454bc0d403925dda91a>:0 at QuantConnect.Algorithm.QCAlgorithm.AddCrypto (System.String ticker, QuantConnect.Resolution resolution, System.String market, System.Boolean fillDataForward, System.Decimal leverage) [0x00001] in <321054ea1e964454bc0d403925dda91a>:0 at QuantConnect.MultiCoinFramework.Initialize () [0x00067] in <0e4d1f8fc06a43f2a3bc45c24a3f6958>:0 at QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler+<>c__DisplayClass24_0.b__1 () [0x000fb] in <7a802d713401490dbae6b34efb125c68>:0
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Jared Broad
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Casey Barclay
Has anyone had any success live trading this on GDAX? I'd be curious to see how the actual results pan out with a market order or even a limit order.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Michael Manus
hi Alexandre Catarino & Jared Broad
i wanted to play around with warrens code and see how it behaves with stocks but got a runtime error.
1) could you please help me find it? IT DIES ON
2017-03-21 00:00:00 :Runtime Error: Cannot perform runtime binding on a null reference
edit the date first!!!!!!!!!
2) where did the VRX data go? :)
thx
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Samuel Cutler
I have tried to run a similar stragety live, and it buys the sells the first order great, but when it goes to buy the second it says invalid because of insufficient buying power, Does anyone have any ideas?
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Thushara Silva
As of this afternoon, the strategy does not work if more than 1 crypto is in the string. Was working fine from yesterday through this afternoon. If 2 only are on the list, ETHUSD, BTCUSD or BTCUSD, ETHUSD, the 2nd listed pair will fail with this error:
Runtime Error: 'BTCUSD' wasn't found in the Slice object, likely because there was no-data at this moment in time and it wasn't possible to fillforward historical data. Please check the data exists before accessing it with data.ContainsKey("BTCUSD") (Open Stacktrace)
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Warren Harding
This algo now fails! I hacked in a quick 'data.ContainsKey' and 'continue' thinking that would solve the problem and the returns dropped dramatically. Anyone at Quantconnect know what happened? Sounds like odd behavior given Thushara's report.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Michael Manus
Warren i think Jeremy might found the problem.
data is null so the indicator and everything might be dead?
you could of course write to support@quantconnect :)
my english is really bad :):) hehe
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Johannes Mauritzson
Some temporary data issue? seemed to impact the algos which subscribed to more than one pair.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Warren Harding
It seems to be working again.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Johannes Mauritzson
Nevermind OP's code works if you add the actual ticker string instead of the Symbol:
Symbol symbol = QuantConnect.Symbol.Create(ticker, SecurityType.Crypto, Market.GDAX); AddCrypto(symbol, resolution); //Change to: AddCrypto(ticker, resolution); //You also need to set the brokerage model to GDAX in init: SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash);The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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