Brokerages

Coinbase

Introduction

QuantConnect enables you to run your algorithms in live mode with real-time market data. We have successfully hosted more than 200,000 live algorithms and have had more than $22B in volume traded on our servers since 2015.

Coinbase was founded by Brian Armstrong and Fred Ehrsam in 2012 with the goal to "increase economic freedom in the world". Coinbase provides access to trading Crypto for clients in over 100 countries with no minimum deposit. Coinbase also provides a self-hosted Crypto wallet, a Visa debit rewards card, and Bitcoin collateral-backed lines of credit.

To view the implementation of the Coinbase brokerage integration, see the Lean.Brokerages.Coinbase repository.

Account Types

Coinbase supports cash accounts. To set the account type in an algorithm, see the Coinbase brokerage model documentation.

Create an Account

Follow the Create a Coinbase account tutorial on the Coinbase website to create an account.

You will need API credentials to deploy live algorithms. After you have an account, create API credentials and store them somewhere safe. As you create credentials, enable View and Trade permissions.

Paper Trading

The Coinbase brokerage doesn't support paper trading, but you can follow these steps to simulate it:

  1. In the Initialize method of your algorithm, add one of the preceding SetBrokerageModel method calls.
  2. Deploy your algorithm with the QuantConnect Paper Trading brokerage.

Asset Classes

Our Coinbase integration supports trading Crypto.

AddCrypto("BTCUSD", Resolution.Minute, Market.Coinbase);
self.add_crypto("BTCUSD", Resolution.MINUTE, Market.COINBASE)

If you call the SetBrokerageModel method with the correct BrokerageName, then you don't need to pass a Market argument to the AddCrypto method because the brokerage model has a default market.

Data Providers

The QuantConnect data provider provides Crypto data during live trading.

Orders

We model the Coinbase API by supporting several order types, supporting order properties, and not supporting order updates. When you deploy live algorithms, you can place manual orders through the IDE.

Order Types

The following table describes the available order types for each asset class that our Coinbase integration supports:

Order TypeCrypto
MarketOrdergreen check
LimitOrdergreen check
StopMarketOrdergreen check
StopLimitOrdergreen check

Order Properties

We model custom order properties from the Coinbase API. The following table describes the members of the CoinbaseOrderProperties object that you can set to customize order execution:

PropertyDescription
TimeInForceA TimeInForce instruction to apply to the order. The GoodTilCanceled TimeInForce is supported.
PostOnlyA flag that signals the order must only add liquidity to the order book and not take liquidity from the order book. If part of the order results in taking liquidity rather than providing liquidity, the order is rejected without any part of it being filled.

Updates

We model the Coinbase API by not supporting order updates, but you can cancel an existing order and then create a new order with the desired arguments. For more information about this workaround, see the Workaround for Brokerages That Don’t Support Updates.

Fees

To view the Coinbase trading fees, see the What are the fees on Coinbase? page on the Coinbase website. To view how we model their fees, see Fees.

Margin

Coinbase doesn't support margin trading.

Slippage

Orders through Coinbase do not experience slippage in backtests. In paper trading and live trading, your orders may experience slippage.

To view how we model Coinbase slippage, see Slippage.

Fills

We fill market orders immediately and completely in backtests. In live trading, if the quantity of your market orders exceeds the quantity available at the top of the order book, your orders are filled according to what is available in the order book.

To view how we model Coinbase order fills, see Fills.

Settlements

Trades settle immediately after the transaction

To view how we model settlement for Coinbase trades, see Settlement.

Security and Stability

Note the following security and stability aspects of our Coinbase integration.

Account Credentials

When you deploy live algorithms with Coinbase, we don't save your brokerage account credentials.

API Outages

We call the Coinbase API to place live trades. Sometimes the API may be down. Check the Coinbase status page to see if the API is currently working.

Deposits and Withdraws

You can deposit and withdraw cash from your brokerage account while you run an algorithm that's connected to the account. We sync the algorithm's cash holdings with the cash holdings in your brokerage account every day at 7:45 AM Eastern Time (ET).

Demo Algorithm

The following algorithm demonstrates the functionality of the Coinbase brokerage:

Virtual Pairs

All fiat and Crypto currencies are individual assets. When you buy a pair like BTCUSD, you trade USD for BTC. In this case, LEAN removes some USD from your portfolio cashbook and adds some BTC. The virtual pair BTCUSD represents your position in that trade, but the virtual pair doesn't actually exist. It simply represents an open trade. When you deploy a live algorithm, LEAN populates your cashbook with the quantity of each currency, but it can't get your position of each virtual pair.

Deploy Live Algorithms

You must have an available live trading node for each live trading algorithm you deploy.

Follow these steps to deploy a live algorithm:

  1. Open the project you want to deploy.
  2. Click the Lightning icon Deploy Live icon.
  3. On the Deploy Live page, click the Brokerage field and then click Coinbase from the drop-down menu.
  4. Enter your Coinbase API key and API secret.
  5. To generate your API credentials, see the Create an Account section in the Account Types documentation. Your account details are not saved on QuantConnect.

  6. Click the Node field and then click the live trading node that you want to use from the drop-down menu.
  7. (Optional) In the Data Provider section, click Show and change the data provider or add additional providers.
  8. If your brokerage account has existing position holdings, follow these steps (see video):
    1. In the Algorithm Holdings State section, click Show.
    2. Click Add Holding.
    3. Enter the symbol ID, symbol, quantity, and average price.
  9. (Optional) Set up notifications.
  10. Configure the Automatically restart algorithm setting.
  11. By enabling automatic restarts, the algorithm will use best efforts to restart the algorithm if it fails due to a runtime error. This can help improve the algorithm's resilience to temporary outages such as a brokerage API disconnection.

  12. Click Deploy.

The deployment process can take up to 5 minutes. When the algorithm deploys, the live results page displays. If you know your brokerage positions before you deployed, you can verify they have been loaded properly by checking your equity value in the runtime statistics, your cashbook holdings, and your position holdings.

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