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So I noticed that getting volume while doing Forex is not possible and Crypto is hit or miss. Should i just download Lean and put together a project locally feeding my own data into the backtesting?
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Erik Bengtson
you can download volume as any custom data, if you have a provider, I'm doing that.
If you need to get volume from multiple market places, that makes things a little more difficult to aggregate
With the custom volume data, I feed a custom vwap indicator that i use in my strategy
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Kyle Johns
Is this what you are referring to?
https://www.quantconnect.com/docs/algorithm-reference/importing-custom-data#Importing-Custom-Data-Creating-and-Reading-Custom-Data
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.
Douglas Stridsberg
There's actually an easier way, if you are happy to rely on FXCM's or OANDA's volumes and you are happy to run your backtest on a local copy of LEAN:
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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