Fractional trading with Custom Data

Hi Nottakumasato

You'll have to set the SymbolProperties for the Security object when calling AddData.

Please refer to the GH source file for details.

BestLouis

Louis Szeto I tried replicating the above code snippet but got an error:

			security = self.AddData(type=BinanceTradeBarData, ticker=ticker, resolution=Resolution.Minute, timeZone=TimeZones.Utc)

            security.SymbolProperties = SymbolProperties(
                description = security.Symbol.Value, 
                quoteCurrency = "USDT", 
                contractMultiplier = 1.0, 
                minimumPriceVariation = 1e-8, 
                lotSize = 1.0, 
                marketTicker= security.Symbol.Value, 
                minimumOrderSize = 1e-4, 
                priceMagnifier = 1.0
                )

error log:

20220603 00:50:30.119 ERROR:: During the algorithm initialization, the following exception has occurred: property is read-only
  at Initialize
    priceMagnifier = 1.0
   at Python.Runtime.PythonException.ThrowLastAsClrException()
   at Python.Runtime.PyObject.Invoke(PyTuple args in main.py: line 99
 property is read-only

From the source code (in Python) it seems that only MinimumPriceVariation and ContractMultiplier has setter methods:

class SymbolProperties(System.Object):
    """Represents common properties for a specific security, uniquely identified by market, symbol and security type"""

    @property
    def Description(self) -> str:
        """The description of the security"""
        ...

    @property
    def QuoteCurrency(self) -> str:
        """The quote currency of the security"""
        ...

    @property
    def ContractMultiplier(self) -> float:
        """The contract multiplier for the security"""
        ...

    @ContractMultiplier.setter
    def ContractMultiplier(self, value: float):
        """The contract multiplier for the security"""
        ...

    @property
    def MinimumPriceVariation(self) -> float:
        """The minimum price variation (tick size) for the security"""
        ...

    @MinimumPriceVariation.setter
    def MinimumPriceVariation(self, value: float):
        """The minimum price variation (tick size) for the security"""
        ...

    @property
    def LotSize(self) -> float:
        """The lot size (lot size of the order) for the security"""
        ...

    @property
    def MarketTicker(self) -> str:
        """The market ticker"""
        ...

    @property
    def MinimumOrderSize(self) -> typing.Optional[float]:
        """
        The minimum order size allowed
        For crypto/forex pairs it's expected to be expressed in base or quote currency
        i.e For BTC/USD the minimum order size allowed with GDAX is 0.0001 BTC
        while on Binance the minimum order size allowed is 10 USD
        """
        ...

    @property
    def PriceMagnifier(self) -> float:
        """
        Allows normalizing live asset prices to US Dollars for Lean consumption. In some exchanges,
        for some securities, data is expressed in cents like for example for corn futures ('ZC').
        """
        ...

    def __init__(self, description: str, quoteCurrency: str, contractMultiplier: float, minimumPriceVariation: float, lotSize: float, marketTicker: str, minimumOrderSize: typing.Optional[float] = None, priceMagnifier: float = 1) -> None:
        """Creates an instance of the SymbolProperties class"""
        ...

    @staticmethod
    def GetDefault(quoteCurrency: str) -> QuantConnect.Securities.SymbolProperties:
        """
        Gets a default instance of the SymbolProperties class for the specified
        
        :param quoteCurrency: The quote currency of the symbol
        :returns: A default instance of theSymbolProperties class.
        """
        ...

Hi Nottakumasato

Please set it by this AddData overload:

properties = SymbolProperties("New Crypto", quoteCurrency, contractMultiplier, minimumPriceVariation, lotSize, marketTicker, minimumOrderSize = <your_set_float>, priceMagnifier)
exchange_hours = SecurityExchangeHours.AlwaysOpen(TimeZones.Utc)

security = self.AddData(CustomClass, "New Crypto", properties, exchange_hours)

Best
Louis

@louis-szeto_1 thank you for the reply again.

Above code snippet managed to fix the above problem however I am still having problems:

When I use the SymbolProperties and SecurityExchangeHours when adding data with AddData, the order sizes are still integers with both SetHoldings and MarketOrder

            properties = SymbolProperties(
                description = ticker, 
                quoteCurrency = "USD", 
                contractMultiplier = 1.0, 
                minimumPriceVariation = 0.01, 
                lotSize = 1.0, 
                marketTicker= ticker, 
                minimumOrderSize = 0.0001, 
                priceMagnifier = 1.0
                )
            # exchange hours for crypto
            exchange_hours = SecurityExchangeHours.AlwaysOpen(TimeZones.Utc)

            security = self.AddData(
                type=BinanceTradeBarData, ticker=ticker,
                properties = properties, 
                exchangeHours=exchange_hours,
                resolution=Resolution.Minute, 
                # timeZone=TimeZones.Utc
                ) # backtest - binance data


            self.symbol_data[security.Symbol] = SymbolData(
                algorithm = self,
                symbol = security.Symbol, 

				...
                )

...
self.SetHoldings(ticker, 0.1)
or
self.MarketOrder(ticker, quantity=float(1e6 / self.Portfolio[ticker].Price))

would lead to orders like:

Order SUBMITTED: FTTUSDT | -4105.0 | 2022-02-06 00:00:00+00:00
Order FILLED: FTTUSDT |  | 2022-02-06 00:00:00+00:00
Order SUBMITTED: SANDUSDT | 42141.0 | 2022-02-06 00:00:00+00:00
Order FILLED: SANDUSDT |  | 2022-02-06 00:00:00+00:00

My first thought was changing `quoteCurrency to “USDT”` and it resulted in these errors:

20220609 23:24:02.400 ERROR:: FTTUSDT: requires USDT to have a non-zero conversion rate. This can be caused by lack of data.
XMRUSDT: requires USDT to have a non-zero conversion rate. This can be caused by lack of data.
DOGEUSDT: requires USDT to have a non-zero conversion rate. This can be caused by lack of data.

Hi Nottakumasato

You'll also need to change this

lotSize = 1.0, 

Best
Louis

Louis Szeto thanks that worked! I am still a bit confused about the relation between lotSize and minimumOrderSize. The python docs just state:

    @property
    def LotSize(self) -> float:
        """The lot size (lot size of the order) for the security"""
        ...
        
    @property
    def MinimumOrderSize(self) -> typing.Optional[float]:
        """
        The minimum order size allowed
        For crypto/forex pairs it's expected to be expressed in base or quote currency
        i.e For BTC/USD the minimum order size allowed with GDAX is 0.0001 BTC
        while on Binance the minimum order size allowed is 10 USD
        """

Is it a “best practice” to set them the same?

or I guess a better question is, when would I not set them to the same value?

Hi Nottakumasato

Usually, they'd be the same but on some occasions, e.g. when you want a minimum order size but allow partially filled for those orders, the minimumOrderSize > lotSize.

Best
Louis