I'm trying to understand how data of the format:
| Time | Bid Price | Bid Size | Ask Price | Ask Size || ---- | --------- | -------- | --------- | -------- || 86400 | 232.40 | 20392.0 | 232.42 | 8059.5 |
Is produced from trade data taken from an exchange. If I query the Bitfinex API to get each individual trade executed, I get data containing infor for Timestamp, Price and Amount (quantity).
If I get data from Binance, it has the following format which is similar to Bitinex:
Will appreciate if anyone can explain how this works ?
Louis Szeto
Hi Franky
Most of the definitions could be found in Binance API docs and Bitfinex API docs. Hope this helps.
Best
Louis Szeto
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Franky
Hi Louis,
Thanks for the reply. However, I don't think you understood my question. I'm trying to understand how to convert typical broker trade data into Level 1 data with bid/asks which QC uses.
I think I found the answer myself. You need to use third party data providers. Normal trade data is not good enough as there is not visibility on the order book.
Wayne Adams
Hey Frankly and all,
Is it possible to run an algorithm with just tick_trade data and not have tick_quote data?
Louis Szeto
Hi Wayne
We'll have to implement a custom Fill Model such that the orders are filled on the last trading price. You might do so by setting the FillPrice attribute:
And for trading decisions, we can filter the Tick resolution data by the TickType attribute:
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.
Franky
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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