Ricardo Andrés Marino Rojas
af958f0ce4
* - Update symbol-properties-database.csv, SymbolPropertiesDatabase.cs and SymbolProperties.cs with a new column for MinimumOrderSize parameter for Crypto type - Change CanSubmitOrder() method implementation in GDAXBrokerageModel.cs to get the MinimumOrderSize from the security SymbolProperties directly - Add CanSubmitOrder() method in Binance, Bitfinex and Kraken Brokerages models - Add tests to check if CanSubmitOrder() method is working as expected in Binance, Bitfinex, Kraken and GDAX brokerages models - Add tests to check if MinimumOrderSize parameter is loading correctly from symbol-properties-database.csv * Revert "- Update symbol-properties-database.csv, SymbolPropertiesDatabase.cs and SymbolProperties.cs with a new column for MinimumOrderSize parameter for Crypto type" This reverts commit e0fd66a5fa5215a6fccb98b64d4e3bf709007fdf. * Revert "Revert "- Update symbol-properties-database.csv, SymbolPropertiesDatabase.cs and SymbolProperties.cs with a new column for MinimumOrderSize parameter for Crypto type"" This reverts commit b0f37935fc334ba8ff3b8ab09b7d979e4e731526. * Requested changes in Crypto brokerage models - Remove unnecessary commas in symbols-properties-database.csv - Add TestHelpers class to reuse GetSecurity() method - Add IsValidOrderSize() method in DefaultBrokerageModel class - Remove unnecessary classes for brokerage models test helpers * Nit change - Remove unnecessary attribute from DefaultBrokerageModel.cs * Nit change * Nit changes and Regression test - Add Bitfinex BTCUSD hourly data for 2 days - Add regression test BuyBTCWithLessThanOneDollarAlgorithm.cs to test that the order size is taking into account when placing or updating an order - Nit changes * Change CanUpdateOrder() implementation - CanUpdateOrder() now checks if the requested quantity value is valid * Requested Changes - Change regression algorithm BuyBTCWithLessThanOneDollar.cs name and implementation * Nit changes
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