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May I know DAX future long short is not support on quantconnect back test?
Thanks
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Daniel Chen
Hi Steven,
You can find all supported future data here. Sorry the DAX future data is not available. Thank you for your support!
Molowing
Hi,
I´m new at QuantConnect, but I have a lot of experience as C# developer. I´m very interested in modelling FDAX strategies with QC (or at LEAN directly) and I´m wondering how to achieve that,Â
Is it possible to use some extensibility model over LEAN for integrating FDAX ?
Is it only a matter of data providers (quantdl, etc..) ?
Could you please provide me with some high level guidelines for integrating FDAX?
Many thanks in advance !
David
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Alethea Lin
Hi David,
Thank you for your interest in QuantConnect. The FDAX data is not available for now. I would recommend you import custom FDAX data to model your FDXA strategies. Please check out the C# examples in this page for details. Thanks for your support.
Molowing
Thanks for the info Alethea ! , looks promissing.
Congratulations for this amazing platform
Regards
Â
Molowing
Hi Alethea ,Â
After reviewing the CQ documentation I have developed a basic FDAX adaptor (data is from Eurex in one-minute resolution), I have also configured CQ for running from Visual Studio 2019 with my iserID and Token, and define CustomDataFDAXAlgorithm as start algorithm
FDAX data is currently stored at dropbox public url
When running my "CustomDataFDAXAlgorithm" I´m getting an error at line.Split() because is not getting my csv file, here below the code:
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode) { var fdax = new FDAX(); if (isLiveMode) { //Example Line Format: //{"date": "", "timeFrom": "", "timeTo": "", "SecurityID": "", "open": "", "high": "", "low": "", "close": "", "volume": "", "numberOfTicks": ""} try { fdax = JsonConvert.DeserializeObject<FDAX>(line); fdax.EndTime = DateTime.UtcNow.ConvertFromUtc(config.ExchangeTimeZone); fdax.Value = fdax.Close; } catch { /* Do nothing, possible error in json decoding */ } return fdax; } //Example Line Format: //Date TimeFrom TimeTo SecurityID Open High Low Close Volume NumberOfTicks //2019-10-01 00:15:00 00:16:00 3905982 12414.5 12414.5 12411.5 12413 37 9 try { string[] data = line.Split(','); fdax.Timestamp = DateTime.Parse(data[0], CultureInfo.InvariantCulture); fdax.Time = DateTime.Parse(data[1], CultureInfo.InvariantCulture); fdax.TimeFrom = DateTime.Parse(data[1], CultureInfo.InvariantCulture); fdax.TimeTo = DateTime.Parse(data[2], CultureInfo.InvariantCulture); fdax.SecurityID = Convert.ToInt16(data[3], CultureInfo.InvariantCulture); fdax.Open = Convert.ToDecimal(data[4], CultureInfo.InvariantCulture); fdax.High = Convert.ToDecimal(data[5], CultureInfo.InvariantCulture); fdax.Low = Convert.ToDecimal(data[6], CultureInfo.InvariantCulture); fdax.Close = Convert.ToDecimal(data[7], CultureInfo.InvariantCulture); fdax.VolumeFDAX = Convert.ToDecimal(data[8], CultureInfo.InvariantCulture); fdax.NumberOfTicks = Convert.ToDecimal(data[9], CultureInfo.InvariantCulture); fdax.Value = fdax.Close; } catch { /* Do nothing, skip first title row */ } return fdax; }When debugging, the process is taken a xml-format temp file at : %root%\Lean-master-2019\Lean-master\Launcher\bin\Debug\cache\data, the file is 659ca019b17f9be422b1d3a3d213d5a8.custom
Could you please provide me with some details for solving this issue ?Â
Why the reader is not using the csv file ?
The rest of configuration and implementation seems Ok, BelowI provide you additional details :
public class FDAX : BaseData { [JsonProperty("date")] public DateTime Timestamp = DateTime.Now; [JsonProperty("timeFrom")] public DateTime TimeFrom = DateTime.MinValue; [JsonProperty("timeTo")] public DateTime TimeTo = DateTime.MinValue; [JsonProperty("SecurityID")] public int SecurityID = 0; [JsonProperty("open")] public decimal Open = 0; [JsonProperty("high")] public decimal High = 0; [JsonProperty("low")] public decimal Low = 0; [JsonProperty("close")] public decimal Close = 0; [JsonProperty("volume")] public decimal VolumeFDAX = 0; [JsonProperty("numberOfTicks")] public decimal NumberOfTicks = 0; public FDAX() { Symbol = "FDAX"; } public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode) { return new SubscriptionDataSource("https://www.dropbox.com/s/[restofurl]?dl=0", SubscriptionTransportMedium.RemoteFile); }Â
Many thanks in advance for your support on this
Best Regards
David
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Jared Broad
Congrats on making your own adaptor David -- please create a new thread tagged "LEAN" with the code to reproduce what you're seeking to achieve.Â
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.
Steven_Testing
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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