Share New Research 
Hey QC community,
We are excited to announce the launch of cryptocurreny backtesting and live trading on QuantConnect! We’ve partnered with GDAX to support their cryptocurrency exchange. Using your GDAX account, your algorithms can now trade BTC, LTC and ETH currency pairs. Huge thanks to our community members who helped make Lean ready for crypto. In this post, I’ll demonstrate backtesting a cryptocurrency trading algorithm using python and describe how you can get started live trading cryptocurrencies with GDAX.
Attached is a simple backtest that demonstrates subscribing to BTCUSD hourly data and placing an BTCUSD market order. Initially, QuantConnect is offering a limited set of GDAX quote data for BTCUSD for backtesting, however, users can expect our crypto data library to grow soon. Clone the backtest below to start building your crypto trading algorithms.
In order to get your algorithm live trading, sign up for a GDAX account here: https://www.gdax.com/ . To live trade, you’ll need an api key, api secret and api passcode. To get this information, login to your GDAX account and click API from the menu in the top right corner. Create a new API key that has permissions to ‘view’ and ‘trade’ and be sure to record the api key, api secret and api passcode. You now have all the information needed to launch your live crypto-trading algorithm! Simply click ‘Go Live’ from your algorithm and follow the wizard. Be sure to select Gdax as your brokerage.
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.
Andrew Hart
We have included more cryptocurrency pairs for trading in both live and paper trading. The following are the cryptocurrency pairs that are now available. Remember that depending on your location, not all pairs may be avialable for live trading, however, all pairs should be available for paper trading.
BTC/USD
BTC/EUR
BTC/GBP
ETH/USD
ETH/BTC
ETH/EUR
LTC/USD
LTC/BTC
LTC/EUR
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.
Barney
class BasicTemplateAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2017, 10, 01) self.SetEndDate(2017, 10, 23) self.SetCash(10000) self.SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash) self.AddCrypto("BTCETH", Resolution.Daily) self.Log(format(self.Securities["BTCETH"].Price)) def OnData(self, data): self.Log(format(self.Securities["BTCETH"].Price))Hello Andrew !For some reason I am not able to acees LTC or ETH markets... Only GDAX
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.
Wayne Adams
Hi!
When using the resesarch notebook I got this error when trying to call
Quantbook.AddCrypto() AttributeError: 'QuantBook' object has no attribute 'AddCrypto'Is this expected?
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.
Alexandre Catarino
Yes, it is expected, since we haven't included support for crypto-currencies in quantbook yet.
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
Coming later today !
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
Still having issues with Consolidators (Trying to consolidate to 3 hour) and a simple SMA strategy .. Anyone?
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
Big thanks to Jared and Andrew for you work on cryptos. Jared, thanks for taking a look at my first crypto algo and providing feedback.
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
All available gdax cryptocurrency pairs are now available for backtesting at tick, second, minute, hour and daily resolutions. Here are the listing dates for each pair available:
BTCEUR: 20150423
BTCGDP: 20161001
BTCUSD: 20141201
ETHBTC: 20160518
ETHEUR: 20170810
ETHUSD: 20160518
LTCBTC: 20161001
LTCEUR: 20170810
LTCUSD: 20161001
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
CryptoKing I just swapped out for minute data and its fine. Also note I used the SMA helper methods not the class names. If you want to use the classes you also need to "Register" the indicator object otherwise it'll never get any data. We're going to fix the hour issue today.
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 that was helpful so primarily the issue was that the "Hourly" Resolution for GDAX was not working?
Appreciate the help there.
Also tried going live with an algo today but says GDAX brokerage is under maintenance. If I were to have a live algo what happens to it while brokerages are under maintenance? Also is there anywhere we can see status of brokerages (for example so I can know when I can and cannot "go live") ?
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
There were 2 issues; hourly data and the SimpleMovingAverage class. Please see the documentation for examples of how to use indicators. There's effectively no difference to using Minute data other than backtest load time but for such a short backtest its basically the same.
You can go live on all brokekrages; not sure where you saw the maintenance notice? Do you mind sending an email with that to support@quantconnect.com -- 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.
Barney
Did anyone try using the RSI indicator on ETHBTC markets? all the outputs are 0. I feel like this has to do something with the face that prices are between 0 and 1 for example 0.67
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.
Barney
Actually, same situation with ETHUSD. RSI gives value of 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
Please attach an example if seeking assistance. RSI is always 0 until IsReady is true. See the indicator algorithms in Documentation for examples.
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.
Barney
class BasicTemplateAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2017, 10, 01) self.SetEndDate(2017, 10, 20) self.SetCash(10000) self.SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash) self.security = self.AddCrypto("ETHUSD", Resolution.Hour) self.rsi = self.RSI("ETHUSD",12,MovingAverageType.Simple) def OnData(self, data): self.Log(format(self.rsi.Current.Value))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
Hey - Thanks for reporting this to us. There was a problem with indicators for crypto securities that has been fixed.
We have also added the quote data for all the crypto pairs we currently support
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.
Farshid Zoghalchi
Hi All,
Andrew Hart mentioned there are quote data available for crypto pairs, does this mean that "all" limit order book data is accessible from withi QC? (or maybe at the best bid/ask?) If yes, how can I access volume at different price levels? (or best bid/ask)
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.
Jared Broad
Farshid Zoghalchi - we only pump through the "NBBO" top of book. I understand the desire for the full book but we currently only use it for spread modelling. We're working on a backtesting L2 quotes feature but its still a few months out as there is limited data availability.
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.
Farshid Zoghalchi
If I am not wrong, one can also use their own data in backtesting. Does
this mean, I can use my own L2 data to backtest strategy?
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Matt Alan
Having trouble downloading the crypto data for use offline, is it possible?
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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