Martin-Molinero
7540af454c
* Respect warmup resolution given - The data feed will respect the warmup resolution given and override the resolution used by the algorithm when adding a subscription. Updating regression algorithm to keep previous statistics. Adding new regression algorithm asserting the desired behavior * Testing improvements - Add more unit tests and regresion test - Add missing data for crypto - Fix bug with FFed data crossing after the end time of the warmup request * Add more Warmup resolution regression algorithms - Adding more warmup resolution regression algorithms, using Settings.WarmupResolution and an option selection case * Add more warmup regression tests - Adding more warmup regression tests. - Will no longer skip universe selection subscriptions from warmup resolution enforcement. Updating regression algorithms data points * Fix bug with data rounding - Fix data rounding bug when warmup resolution is set to a different value than the original configuration. Updating regression algorithms to assert the expected behavior * Address reviews - Revert regression algorithms changes to use Resolution during warmup. Updating their stats. - Adding new regression algorithms asserting the behavior warming up using a timespan and no warmup resolution - Fix bug where data used to warmup the 'normal' enumerator will make it through into the warmup time span. Updating tests * Address reviews - Add missing comments, explaning warmup algorithms time span calculations. - Revert changes in existing `WarmupOptionTimeSpanRegressionAlgorithm` to reduce diff to minimum - Adding new warmup unit tests asseting algorithm warmup start time, for different combinations of bar count, timespan, resolution
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