Anyone else testing with FOREX?

Hi Sean! It's great to hear about your open-source project focused on FX markets. Here's some information to help you get started with developing your tools and integrating them with QuantConnect:

1. Adding Forex Securities: You can use the add_forex method in the QCAlgorithm class to add Forex securities to your algorithm. Here's a basic example:

   class ForexAlgorithm(QCAlgorithm):
       def initialize(self) -> None:
           self.set_start_date(2019, 2, 20)
           self.set_end_date(2019, 2, 21)
           self.set_cash(100000)
           self.eurusd = self.add_forex('EURUSD', Resolution.MINUTE, Market.OANDA).symbol
           self.set_benchmark(self.eurusd)
   

2. Using External Libraries: You can specify external Python libraries that your algorithm depends on using a requirements.txt file. QuantConnect will automatically install these libraries for you.

3. Custom Data Sources: If you need to integrate unique datasets, you can create custom data sources by defining a class that inherits from PythonData. This allows you to handle data in a custom format.

4. Set Up Brokerage Model: Use the SetBrokerageModel method to define the brokerage model that suits your FX trading strategy. This ensures your algorithm aligns with your trading objectives.

5. Handling Forex Data: To access Forex data, you can index the quote_bars or ticks properties of the current Slice with the Forex Symbol. Here's an example:

   def on_data(self, slice: Slice) -> None:
       if self.eurusd in slice.quote_bars:
           quote_bar = slice.quote_bars[self.eurusd]
           self.log(f"{self.eurusd} bid at {slice.time}: {quote_bar.bid.close}")
   

By following these steps, you can effectively develop and deploy FX trading algorithms on QuantConnect. If you have any more questions or need further assistance, feel free to ask!

Sources: FOREX Data - QuantConnect.com, Forex - QuantConnect.com, Requesting Data - QuantConnect.com, Basic Template Forex Algorithm, Micro Study: Yen Carry Trade

Thanks Mia et al, I'll take a look at the API for the brokerage model and data parts. There are docs about this feature, it seems?