Share New Research 
Hi community!
Exited to share that we have shipped continuous futures into production. We have implemented 3 contract rolling methods, 4 price scaling adjustments as well as adding support for back months.
From now on, the canonical future returned by the `AddFuture` calls, is the new continuous future. Through this same `AddFuture` API you can specify which mapping, price scaling and front or back month configuration you want to use. The new continuous future security is setup as tradable and will never expire since it will map underlying future contracts accordingly, these mapping events will be fed into the algorithm (as Equities) through the `SymbolChangedEvent`.
Note that previously by default the addition of the canonical future to the algorithm, would feed data of the future chain contracts who's expiration were in the 0 to 35 day window. We have disabled this behavior making the continuous future the default data feed. Previous behavior can be recovered by specifying the expiration filter `future.SetFilter(timedelta(0), timedelta(35))`/`future.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(35));`.
Price Scalling
- ForwardPanamaCanal: Eliminates price jumps between two consecutive contracts, adding a factor based on the difference of their prices. First contract is the true one, factor 0
- BackwardsPanamaCanal: Eliminates price jumps between two consecutive contracts, adding a factor based on the difference of their prices. Last contract is the true one, factor 0
- BackwardsRatio: Eliminates price jumps between two consecutive contracts, multiplying the prices by their ratio. Last contract is the true one, factor 1.
- Raw: No price adjustment is made.
Contract Mapping
- LastTradingDay: The contract maps on the previous day of expiration of the front month.
- FirstDayMonth: The contract maps on the first date of the delivery month of the front month. If the contract expires prior to this date, then it rolls on the contract's last trading date instead.
- OpenInterest: The contract maps when the back month contract has a higher traded volume that the current front month.
Front and Back Months
From the `AddFuture` API `contractDepthOffset` will allow specifying which contract to use, 0 (default) is the front month, 1 the following back month and so on. Initially we have added support for the first 2 back months contracts.
At the same time Lean internals mapping and scaling refactor has moved us closer to easily supporting other markets that would require these features, like Indian or European markets.
As always please let us know if you have any issues or concerns, and we will look into them ASAP.
Enjoy!
CryptoKing
Andrew Hart Is it possible to add a C# example?
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.
Andrew Hart
CryptoKing - Sure thing
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.
Lennart Lopin
This is amazing! Kudos for adding this functionality to Quantconnect.
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.
Liquidgenius
MovingAverageCrossAlgorithm example using BTC starting in 2016 with $10,000.
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.
Liquidgenius
Hi Andrew,
I have been experimenting with the crypto securities, and have been unable to do backtesting on Litecoin or Etherium, while Bitcoin works. Am I reading the article above correctly, in that backtest data is available for BTC, but not ETH or LTC, but the algo may actually trade ETH and LTC on GDAX? Also, where can I confirm the ticker symbols for ETH and LT. I havent been able to locate them in the Quantconnect data library? Thank you.
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
@LA Awesome; you've posted the first community crypto algorithm! =)
Re ETH etc: Correct; We're working on the other asset types for backtesting though and will post the bew assets here in the next day or two.
Data is one of the big problems with backtesting crypto; if you have good sources for historical data on GDAX for the other symbols please let us know.
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.
Liquidgenius
Thank you Jared. Any suggestions on what could be improved (or where to look for info) in order for this to be made into a Live Trade algo?
As an alternative, I am interested in what Quantconnect has to offer compared to other platforms that have recently discontinued their Live Trade functionality. I hope to learn much from this community, and give back what I can.
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.
CryptoKing
Jared Broad
Jared Broad Yes definitely there is a source for historical crypto data ... it's not free but it's available
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.
Lennart Lopin
Jared Broad how about this: api.bitcoincharts.com/v1/csv/
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.
CryptoKing
Any advice on FeeModel ? Exchanges charge percentage of order per transaction. It looks like QuantConnect FeeModel is based around fixed fee. Any way to calculate fee "on the fly" or based on percentage?
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.
Liquidgenius
Is paper trading available for Cryptos? I can backtest successfully but receive errors when deploying to paper trading.
Added data warmup to CryptoWarmupMovingAverageCross (py). See attached backtest.
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
spread/quotes.
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.
Liquidgenius
Is paper trading functional with Cryptos? Or can we only run live on GDAX? I've been able to complete backtests, but receive errors on deploying to paper trading.
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
Phew insane day sorry for delay; yes paper trading is supported for cryptos. Its best of course is to use the live exchange data as its filled with real depth there. We are working on a maintenance this afternoon and will look into the algorithm you shared above.
Generally speaking its best to share suspected bugs to support@quantconnect.com -- we like to keep the forums focused on algorithm development sharing.
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.
CryptoKing
I'm confused about how we may create a crypto algorithm for other timings for example 10 or 15 minutes or 3-hour .. I have done some reading and see that via consolidaters it seems that TimeSpan minutes can be combined using TradeBarConsolidator but all the examples I've seen of this use Ondata(TradeBars data) and all the examples of crypto algos use Ondata(Slice data).
How can I create a simple C# algorithm that trades on 3 hour time frames?
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.
Jay Stevens
I've been trading crypto for a while and have experience with both python and nodeJS based automated trading engines. I'm finding it a little unusual to only have Trading resolutions of Second, Minute, Hour, or Daily, It's not atypical at all to have resolutions of 2min, 5min, 15min, 30min within Crypto, not sure if the same is true with regular markets or Forex, etc.
Can someone point me to any documentation or direction that will help?
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
Jay Stevens Consolidators
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.
CryptoKing
Jared Broad Thanks for that link I had read through various docs but never come across that. It definitely points the path on how to use indicators for specific increments. However what if I wanted to do some custom calculations. I would assume that I would need to do them inside of the OnData (Slice data) or am I thinking about that also the wrong way?
Say I wanted to do a calculation and decide to manually sell or buy in one of the secific increments (consolidators) like 15m. Your link does not really help point to a solution for that. Any advice?
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.
Joshua Lieberman
Did the crypto implementation change something needed in the Research notebooks?
ExceptionTraceback (most recent call last) <ipython-input-3-984adb1d8e6f> in <module>() 17 18 # Create an instance ---> 19 qb = QuantBook() Exception: QuantBook.Main(): System.ArgumentException: Requested value 'crypto' was not found.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.
Andrew Hart
@Liquidgenius - your paper trading crypto algorithm was failing because of how we handle history requests. We have debugged the issue and it should be fixed within 24 hours
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.
CryptoKing
Andrew Hart Is it possible to add a C# example?
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.
Andrew Hart
CryptoKing - Sure thing
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.
Lennart Lopin
This is amazing! Kudos for adding this functionality to Quantconnect.
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.
Liquidgenius
MovingAverageCrossAlgorithm example using BTC starting in 2016 with $10,000.
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.
Liquidgenius
Hi Andrew,
I have been experimenting with the crypto securities, and have been unable to do backtesting on Litecoin or Etherium, while Bitcoin works. Am I reading the article above correctly, in that backtest data is available for BTC, but not ETH or LTC, but the algo may actually trade ETH and LTC on GDAX? Also, where can I confirm the ticker symbols for ETH and LT. I havent been able to locate them in the Quantconnect data library? Thank you.
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
@LA Awesome; you've posted the first community crypto algorithm! =)
Re ETH etc: Correct; We're working on the other asset types for backtesting though and will post the bew assets here in the next day or two.
Data is one of the big problems with backtesting crypto; if you have good sources for historical data on GDAX for the other symbols please let us know.
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.
Liquidgenius
Thank you Jared. Any suggestions on what could be improved (or where to look for info) in order for this to be made into a Live Trade algo?
As an alternative, I am interested in what Quantconnect has to offer compared to other platforms that have recently discontinued their Live Trade functionality. I hope to learn much from this community, and give back what I can.
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.
CryptoKing
Jared Broad
Jared Broad Yes definitely there is a source for historical crypto data ... it's not free but it's available
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.
Lennart Lopin
Jared Broad how about this: api.bitcoincharts.com/v1/csv/
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.
CryptoKing
Any advice on FeeModel ? Exchanges charge percentage of order per transaction. It looks like QuantConnect FeeModel is based around fixed fee. Any way to calculate fee "on the fly" or based on percentage?
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.
Liquidgenius
Is paper trading available for Cryptos? I can backtest successfully but receive errors when deploying to paper trading.
Added data warmup to CryptoWarmupMovingAverageCross (py). See attached backtest.
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
spread/quotes.
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.
Liquidgenius
Is paper trading functional with Cryptos? Or can we only run live on GDAX? I've been able to complete backtests, but receive errors on deploying to paper trading.
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
Phew insane day sorry for delay; yes paper trading is supported for cryptos. Its best of course is to use the live exchange data as its filled with real depth there. We are working on a maintenance this afternoon and will look into the algorithm you shared above.
Generally speaking its best to share suspected bugs to support@quantconnect.com -- we like to keep the forums focused on algorithm development sharing.
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.
CryptoKing
I'm confused about how we may create a crypto algorithm for other timings for example 10 or 15 minutes or 3-hour .. I have done some reading and see that via consolidaters it seems that TimeSpan minutes can be combined using TradeBarConsolidator but all the examples I've seen of this use Ondata(TradeBars data) and all the examples of crypto algos use Ondata(Slice data).
How can I create a simple C# algorithm that trades on 3 hour time frames?
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.
Jay Stevens
I've been trading crypto for a while and have experience with both python and nodeJS based automated trading engines. I'm finding it a little unusual to only have Trading resolutions of Second, Minute, Hour, or Daily, It's not atypical at all to have resolutions of 2min, 5min, 15min, 30min within Crypto, not sure if the same is true with regular markets or Forex, etc.
Can someone point me to any documentation or direction that will help?
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
Jay Stevens Consolidators
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.
CryptoKing
Jared Broad Thanks for that link I had read through various docs but never come across that. It definitely points the path on how to use indicators for specific increments. However what if I wanted to do some custom calculations. I would assume that I would need to do them inside of the OnData (Slice data) or am I thinking about that also the wrong way?
Say I wanted to do a calculation and decide to manually sell or buy in one of the secific increments (consolidators) like 15m. Your link does not really help point to a solution for that. Any advice?
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.
Joshua Lieberman
Did the crypto implementation change something needed in the Research notebooks?
ExceptionTraceback (most recent call last) <ipython-input-3-984adb1d8e6f> in <module>() 17 18 # Create an instance ---> 19 qb = QuantBook() Exception: QuantBook.Main(): System.ArgumentException: Requested value 'crypto' was not found.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.
Andrew Hart
@Liquidgenius - your paper trading crypto algorithm was failing because of how we handle history requests. We have debugged the issue and it should be fixed within 24 hours
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.
CryptoKing
Andrew Hart Is it possible to add a C# example?
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.
Andrew Hart
CryptoKing - Sure thing
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.
Lennart Lopin
This is amazing! Kudos for adding this functionality to Quantconnect.
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.
Liquidgenius
MovingAverageCrossAlgorithm example using BTC starting in 2016 with $10,000.
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.
Liquidgenius
Hi Andrew,
I have been experimenting with the crypto securities, and have been unable to do backtesting on Litecoin or Etherium, while Bitcoin works. Am I reading the article above correctly, in that backtest data is available for BTC, but not ETH or LTC, but the algo may actually trade ETH and LTC on GDAX? Also, where can I confirm the ticker symbols for ETH and LT. I havent been able to locate them in the Quantconnect data library? Thank you.
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
@LA Awesome; you've posted the first community crypto algorithm! =)
Re ETH etc: Correct; We're working on the other asset types for backtesting though and will post the bew assets here in the next day or two.
Data is one of the big problems with backtesting crypto; if you have good sources for historical data on GDAX for the other symbols please let us know.
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.
Liquidgenius
Thank you Jared. Any suggestions on what could be improved (or where to look for info) in order for this to be made into a Live Trade algo?
As an alternative, I am interested in what Quantconnect has to offer compared to other platforms that have recently discontinued their Live Trade functionality. I hope to learn much from this community, and give back what I can.
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.
CryptoKing
Jared Broad
Jared Broad Yes definitely there is a source for historical crypto data ... it's not free but it's available
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.
Lennart Lopin
Jared Broad how about this: api.bitcoincharts.com/v1/csv/
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.
CryptoKing
Any advice on FeeModel ? Exchanges charge percentage of order per transaction. It looks like QuantConnect FeeModel is based around fixed fee. Any way to calculate fee "on the fly" or based on percentage?
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.
Liquidgenius
Is paper trading available for Cryptos? I can backtest successfully but receive errors when deploying to paper trading.
Added data warmup to CryptoWarmupMovingAverageCross (py). See attached backtest.
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
spread/quotes.
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.
Liquidgenius
Is paper trading functional with Cryptos? Or can we only run live on GDAX? I've been able to complete backtests, but receive errors on deploying to paper trading.
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
Phew insane day sorry for delay; yes paper trading is supported for cryptos. Its best of course is to use the live exchange data as its filled with real depth there. We are working on a maintenance this afternoon and will look into the algorithm you shared above.
Generally speaking its best to share suspected bugs to support@quantconnect.com -- we like to keep the forums focused on algorithm development sharing.
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.
CryptoKing
I'm confused about how we may create a crypto algorithm for other timings for example 10 or 15 minutes or 3-hour .. I have done some reading and see that via consolidaters it seems that TimeSpan minutes can be combined using TradeBarConsolidator but all the examples I've seen of this use Ondata(TradeBars data) and all the examples of crypto algos use Ondata(Slice data).
How can I create a simple C# algorithm that trades on 3 hour time frames?
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.
Jay Stevens
I've been trading crypto for a while and have experience with both python and nodeJS based automated trading engines. I'm finding it a little unusual to only have Trading resolutions of Second, Minute, Hour, or Daily, It's not atypical at all to have resolutions of 2min, 5min, 15min, 30min within Crypto, not sure if the same is true with regular markets or Forex, etc.
Can someone point me to any documentation or direction that will help?
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
Jay Stevens Consolidators
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.
CryptoKing
Jared Broad Thanks for that link I had read through various docs but never come across that. It definitely points the path on how to use indicators for specific increments. However what if I wanted to do some custom calculations. I would assume that I would need to do them inside of the OnData (Slice data) or am I thinking about that also the wrong way?
Say I wanted to do a calculation and decide to manually sell or buy in one of the secific increments (consolidators) like 15m. Your link does not really help point to a solution for that. Any advice?
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.
Joshua Lieberman
Did the crypto implementation change something needed in the Research notebooks?
ExceptionTraceback (most recent call last) <ipython-input-3-984adb1d8e6f> in <module>() 17 18 # Create an instance ---> 19 qb = QuantBook() Exception: QuantBook.Main(): System.ArgumentException: Requested value 'crypto' was not found.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.
Andrew Hart
@Liquidgenius - your paper trading crypto algorithm was failing because of how we handle history requests. We have debugged the issue and it should be fixed within 24 hours
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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