Roman Yavnikov
50ccec9a01
* feat: gdax -> coinbase
* feat: defaultBrokerageModel gdax -> coinbase
* refactor: coinbaseBrokerageModel
fix: gdax test
* feat: add coinbase market hours
* feat: symbolPropDB gdax -> coinbase
* fix: gdax to coinbase tests
* fix: coinbase Fees data
* remove: gdax market-hours
* revert: stopMarket order Type by date + test
* fix: coinbase test (fee was changed)
revert: old test with stopMarket gdax
fix: pandas padding
* refactor: gdaxLiveTrading -> CoinbaseLiveTrading
remove: gdax configs
* remove: old gdax testdata files
* refactor: gdax route -> coinbase route
feat: add deprecated gdax info
feat: some string "gdax" -> "coinbase"
* fix: style brackets
* fix: config coinbase data-queue-handler
* revert: public StablePairsGDAX collection
* rename: GdaxBrokerageModel to CoinbaseBrokerageModel in tests
rename: gdax -> coinbase in DefaultMarketMap
rename: gdaxBrokerageModelTest to Coinbase...
* revert: coinbase changes in toolbox (deprecated)
* remove: override Clone() in GDAX\Coinbase-OrderProperties
* typo: ops missing brackets
* rename: Market.Gdax -> Coinbase in Test
remove: ref on gdax
* test: compatibility of GDAXOrderProperties
* fix: coinbase brokerageName enum number
* feat: readonly to stablePairs Gdax/Coinbase
remove: GetFeeModel() in GDAXBrokerageModel {}
* test: gdax market name compatible with coinbase
* rename: config to old ones
* feat: coinbase CanUpdateOrder()
* rename: plus to commit 4135c91
* feat: coinbase fee model + test
* fix: stable fees data
* update: coinbase symbol-properties-database.csv
* fix: validation of MinimumOrderSize in SubmitOrder()
* feat: gdax -> coinbase
* feat: defaultBrokerageModel gdax -> coinbase
* refactor: coinbaseBrokerageModel
fix: gdax test
* feat: add coinbase market hours
* feat: symbolPropDB gdax -> coinbase
* fix: gdax to coinbase tests
* fix: coinbase Fees data
* remove: gdax market-hours
* revert: stopMarket order Type by date + test
* fix: coinbase test (fee was changed)
revert: old test with stopMarket gdax
fix: pandas padding
* refactor: gdaxLiveTrading -> CoinbaseLiveTrading
remove: gdax configs
* remove: old gdax testdata files
* refactor: gdax route -> coinbase route
feat: add deprecated gdax info
feat: some string "gdax" -> "coinbase"
* fix: style brackets
* fix: config coinbase data-queue-handler
* revert: public StablePairsGDAX collection
* rename: GdaxBrokerageModel to CoinbaseBrokerageModel in tests
rename: gdax -> coinbase in DefaultMarketMap
rename: gdaxBrokerageModelTest to Coinbase...
* revert: coinbase changes in toolbox (deprecated)
* remove: override Clone() in GDAX\Coinbase-OrderProperties
* typo: ops missing brackets
* rename: Market.Gdax -> Coinbase in Test
remove: ref on gdax
* test: compatibility of GDAXOrderProperties
* fix: coinbase brokerageName enum number
* feat: readonly to stablePairs Gdax/Coinbase
remove: GetFeeModel() in GDAXBrokerageModel {}
* test: gdax market name compatible with coinbase
* rename: config to old ones
* feat: coinbase CanUpdateOrder()
* rename: plus to commit 4135c91
* feat: coinbase fee model + test
* fix: stable fees data
* update: coinbase symbol-properties-database.csv
* fix: validation of MinimumOrderSize in SubmitOrder()
* fix: skipped gdax name to coinbase
* feature: visible Symbol prop in DefaultOrderBook
LEAN Data Formats / Cryptocurrency (crypto)
QuantConnect hosts crypto data provided by CryptoTick.
The data contains both Trade and Quote data. Using the ToolBox applications GDAXDownloader and BitfinexDownloader, you can obtain historical trade data for free, but not quote data with this method.
You can also download crypto data (trades and quotes starting with Tick and ending with Minute resolution) for a fee on our website. You can explore the data and purchase it at https://www.quantconnect.com/data/tree/crypto
CSV files are stored in compressed zip files, each containing a single CSV file.
Crypto data supports the following Resolutions:
- Tick
- Second
- Minute
- Hour
- Daily
The markets we currently support are:
- GDAX/Coinbase Pro
- Bitfinex (Beta)
tickType in this documentation can refer to one of the following:
- trade
- quote
All times are in UTC unless noted otherwise.
Minute and Second File Format
Second/Minute files are located in the crypto / market / resolution / symbol folder.
The zip files have the filename: YYYYMMDD_tickType.zip. The CSV file contained within has the filename: YYYYMMDD_symbol_resolution_tickType.csv
Second/Minute trade format and example data is as follows:
| Time | Open | High | Low | Close | Volume |
|---|---|---|---|---|---|
| 92000 | 132.01 | 132.05 | 131.95 | 132.03 | 49320 |
- Time - Milliseconds since midnight
- Open - Opening price
- High - High price
- Low - Low price
- Close - Closing price
- Volume - Total quantity trade
Second/Minute quote format and example data is as follows:
| Time | Bid Open | Bid High | Bid Low | Bid Close | Last Bid Size | Ask Open | Ask High | Ask Low | Ask Close | Last Ask Size |
|---|---|---|---|---|---|---|---|---|---|---|
| 92000 | 132.01 | 132.05 | 132.00 | 132.03 | 24932.5 | 132.02 | 132.07 | 132.01 | 132.04 | 1200 |
- Time - Milliseconds since midnight
- Bid Open - Opening price for the best bid
- Bid High - Highest recorded bid price
- Bid Low - Lowest recorded bid price
- Bid Close - Closing price for the best bid
- Last Bid Size - Size of best bid at close
- Ask Open - Opening price for the best ask
- Ask High - Highest recorded ask price
- Ask Low - Lowest recorded ask price
- Ask Close - Closing price for the best ask
- Last Ask Size - Size of best ask at close
Hour and Daily File Format
Hour/Daily files are located in the crypto / market / resolution folder.
The zip files have the filename: symbol_tickType.zip. The CSV file contained within has the filename: symbol.csv
Hour/Daily trade format and example data is as follows:
| Time | Open | High | Low | Close | Volume |
|---|---|---|---|---|---|
| 20180101 08:00 | 40.10 | 45.99 | 40.05 | 45.50 | 209342 |
- Time - Formatted as
YYYYMMDD HH:mm - Open - Opening price
- High - High price
- Low - Low price
- Close - Closing price
- Volume - Total quantity traded
Hour/Daily quote format and example data is as follows:
| Time | Bid Open | Bid High | Bid Low | Bid Close | Last Bid Size | Ask Open | Ask High | Ask Low | Ask Close | Last Ask Size |
|---|---|---|---|---|---|---|---|---|---|---|
| 20190224 00:00 | 10.10 | 10.12 | 10.10 | 10.11 | 209324.91 | 10.11 | 10.13 | 10.11 | 10.12 | 290253 |
- Time - Formatted as
YYYYMMDD HH:mm - Bid Open - Opening price for the best bid
- Bid High - Highest recorded bid price
- Bid Low - Lowest recorded bid price
- Bid Close - Closing price for the best bid
- Last Bid Size - Size of best bid at close
- Ask Open - Opening price for the best ask
- Ask High - Highest recorded ask price
- Ask Low - Lowest recorded ask price
- Ask Close - Closing price for the best ask
- Last Ask Size - Size of best ask at close
Tick File Format
Ticks files are located in the data / crypto / market / tick folder.
The zip files have the filename format: YYYYMMDD_tickType.zip. The CSV file contained within has the filename format: YYYYMMDD_symbol_resolution_tickType.csv
Tick trade format and example data is as follows:
| Time | Last Price | Quantity |
|---|---|---|
| 86400 | 232.40 | 93.1 |
- Time - Milliseconds passed since midnight
- Last Price - Most recent trade price
- Quantity - Amount of asset purchased or sold
Tick quote format and example data is as follows:
| Time | Bid Price | Bid Size | Ask Price | Ask Size |
|---|---|---|---|---|
| 86400 | 232.40 | 20392.0 | 232.42 | 8059.5 |
- Time - Milliseconds passed since midnight
- Bid Price - Best bid price
- Bid Size - Best bid price's size/quantity
- Ask Price - Best ask price
- Ask Size - Best ask price's size/quantity