Brokerages

FTX

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 $15B in volume traded on our servers since 2015. Brokerages supply a connection to the exchanges so that you can automate orders using LEAN. You can use multiple data feeds in live trading algorithms.

FTX was founded by Sam Bankman-Fried in 2017 with the goal to "develop a platform robust enough for professional trading firms and intuitive enough for first-time users". FTX provides access to trading Crypto, tokenized Equities, and Bitcoin Options for clients outside of the restricted locations with no minimum deposit. FTX also provides a platform-native FTT token, an NFT marketplace, and margin borrowing services.

Account Types

FTX and FTX US support cash and margin accounts.

// FTX
SetBrokerageModel(BrokerageName.FTX, AccountType.Cash);
SetBrokerageModel(BrokerageName.FTX, AccountType.Margin);

// FTX US
SetBrokerageModel(BrokerageName.FTXUS, AccountType.Cash);
SetBrokerageModel(BrokerageName.FTXUS, AccountType.Margin);
# FTX
self.SetBrokerageModel(BrokerageName.FTX, AccountType.Cash)
self.SetBrokerageModel(BrokerageName.FTX, AccountType.Margin)

# FTX US
self.SetBrokerageModel(BrokerageName.FTXUS, AccountType.Cash)
self.SetBrokerageModel(BrokerageName.FTXUS, AccountType.Margin)

Create an Account

To create an FTX account, follow the Registration Guide on the FTX website.

To create an FTX US account, follow the New Customer Account Set Up page on the FTX US website.

You will need API credentials to deploy live algorithms with your brokerage account. After you open your account, create API credentials on your Profile page and store them somewhere safe.

Paper Trading

The FTX and FTX US brokerages don'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.

Sub-Accounts

Our FTX and FTX US integrations don't support trading with sub-accounts. You must use your main account.

Asset Classes

Our FTX and FTX US integrations support trading Crypto.

// FTX
AddCrypto("BTCUSDT", Resolution.Minute, Market.FTX);

// FTX US
AddCrypto("BTCUSDT", Resolution.Minute, Market.FTXUS);
# FTX
self.AddCrypto("BTCUSDT", Resolution.Minute, Market.FTX)

# FTX US
self.AddCrypto("BTCUSDT", Resolution.Minute, Market.FTXUS)

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 automatically selects the correct market.

Assets Available

Refer to the dataset listing of the FTX market you are trading to see the assets available. The following table shows the dataset listing of each FTX market:

MarketDataset Listing
FTXFTX Crypto Price Data
FTXUSFTXUS Crypto Price Data

Orders

We model the FTX and FTX US APIs 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

FTX and FTX US support the following order types:

  • MarketOrder
  • LimitOrder
  • StopMarketOrder
  • StopLimitOrder
  • MarketOnOpenOrder
  • MarketOnCloseOrder
  • LimitIfTouchedOrder
MarketOrder(_symbol, quantity);
LimitOrder(_symbol, quantity, limitPrice);
StopMarketOrder(_symbol, quantity, stopPrice);
StopLimitOrder(_symbol, quantity, stopPrice, limitPrice);
MarketOnOpenOrder(_symbol, quantity);
MarketOnCloseOrder(_symbol, quantity);
LimitIfTouchedOrder(_symbol, quantity, triggerPrice, limitPrice);
self.MarketOrder(self.symbol, quantity)
self.LimitOrder(self.symbol, quantity, limit_price)
self.StopMarketOrder(self.symbol, quantity, stop_price)
self.StopLimitOrder(self.symbol, quantity, stop_price, limit_price)
self.MarketOnOpenOrder(self.symbol, quantity)
self.MarketOnCloseOrder(self.symbol, quantity)
self.LimitIfTouchedOrder(self.symbol, quantity, trigger_price, limit_price)

If you submit a StopMarketOrder or StopLimitOrder, the stop price must be greater than or equal to the current ask price when buying and less than or equal to the current bid price when selling.

StopMarketOrder(_symbol, 1, currentAskPrice + 1);
StopLimitOrder(_symbol, -1, currentBidPrice - 1, limitPrice);
self.StopMarketOrder(self.symbol, 1, current_ask_price + 1)
self.StopLimitOrder(self.symbol, -1, current_bid_price - 1, limit_price)

Order Properties

We model custom order properties from the FTX and FTX US APIs. The following table describes the members of the FTXOrderProperties object that you can set to customize order execution:

PropertyDescription
TimeInForce A TimeInForce instruction to apply to the order. The following instructions are supported:
  • Day
  • GoodTilCanceled
  • GoodTilDate
ReduceOnlyA flag to signal that the order should only be filled if it reduces your position size.
PostOnlyA flag to signal that 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.
public override void Initialize()
{
    // Set the default order properties
    DefaultOrderProperties = new FTXOrderProperties
    {
        TimeInForce = TimeInForce.GoodTilCanceled,
        ReduceOnly = false,
        PostOnly = false
    };
}

public override void OnData(Slice slice)
{
    // Use default order order properties
    LimitOrder(_symbol, quantity, limitPrice);
    
    // Override the default order properties
    LimitOrder(_symbol, quantity, limitPrice, 
               orderProperties: new FTXOrderProperties
               { 
                   TimeInForce = TimeInForce.Day,
                   ReduceOnly = true,
                   PostOnly = false
               });
    LimitOrder(_symbol, quantity, limitPrice, 
               orderProperties: new FTXOrderProperties
               { 
                   TimeInForce = TimeInForce.GoodTilDate(new DateTime(year, month, day)),
                   ReduceOnly = false,
                   PostOnly = true
               });
}
def Initialize(self) -> None:
    # Set the default order properties
    self.DefaultOrderProperties = FTXOrderProperties()
    self.DefaultOrderProperties.TimeInForce = TimeInForce.GoodTilCanceled
    self.DefaultOrderProperties.ReduceOnly = False
    self.DefaultOrderProperties.PostOnly = False

def OnData(self, slice: Slice) -> None:
    # Use default order order properties
    self.LimitOrder(self.symbol, quantity, limit_price)
    
    # Override the default order properties
    order_properties = FTXOrderProperties()
    order_properties.TimeInForce = TimeInForce.Day
    order_properties.ReduceOnly = True
    order_properties.PostOnly = False
    self.LimitOrder(self.symbol, quantity, limit_price, orderProperties=order_properties)

    order_properties.TimeInForce = TimeInForce.GoodTilDate(datetime(year, month, day))
    order_properties.ReduceOnly = False
    order_properties.PostOnly = True
    self.LimitOrder(self.symbol, quantity, limit_price, orderProperties=order_properties)

Updates

We model the FTX and FTX US APIs by not supporting order updates, but you can cancel an existing order and then create a new order with the desired arguments.

var ticket = LimitOrder(_symbol, quantity, limitPrice);
ticket.Cancel();
ticket = LimitOrder(_symbol, newQuantity, newLimitPrice);
ticket = self.LimitOrder(self.symbol, quantity, limit_price)
ticket.Cancel()
ticket = self.LimitOrder(self.symbol, new_quantity, new_limit_price)

Fees

We model the order fees of FTX and FTX US at the lowest tier in their respective tiered fee structures. The following table shows the fees of each platform:

PlatformMaker Fee (%)Taker Fee (%)
FTX0.020.07
FTX US0.10.4

If you add liquidity to the order book by placing a limit order that doesn't cross the spread, you pay maker fees. If you remove liquidity from the order book by placing an order that crosses the spread, you pay taker fees. You pay the fees in the base currency for maker orders and the quote currency for taker orders. FTX and FTXUS adjust your fees based on your 30-day trading volume and FTT balance, but we don't currently model these metrics to adjust fees. To check the latest fees at all the fee tiers, see the Fees page on the FTX.com or FTX.us website.

Margin

We model buying power and margin calls to ensure your algorithm stays within the margin requirements.

Buying Power

FTX and FTX US allow up to 3x leverage for margin accounts.

Margin Calls

Regulation T margin rules apply. When the amount of margin remaining in your portfolio drops below 5% of the total portfolio value, you receive a warning. When the amount of margin remaining in your portfolio drops to zero or goes negative, the portfolio sorts the generated margin call orders by their unrealized profit and executes each order synchronously until your portfolio is within the margin requirements.

Slippage

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

Settlements

Trades settle immediately after the transaction.

security.SettlementModel = new ImmediateSettlementModel();
security.SettlementModel = ImmediateSettlementModel()

Security and Stability

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

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 algorithms demonstrate the functionality of the FTX and FTX UX brokerages.

FTX

FTX US

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 that you want to deploy.
  2. Click the Deploy Live icon.
  3. On the Deploy Live page, click the Brokerage field and then click FTX Exchange from the drop-down menu.
  4. Click the Account Exchange field and then click the FTX exchange you are using from the drop-down menu.
  5. Click the Account Tier field and then click your FTX account tier from the drop-down menu.
  6. Gather your account tier from your Profile page on the FTX.com or FTX.us website. If your account tier changes after you deploy the algorithm, stop the algorithm and then redeploy it to correct the account tier.

  7. Enter your FTX API secret and key.
  8. Gather your API credentials from your Profile page on the FTX.com or FTX.us website. Your account details are not saved on QuantConnect.

  9. Click the Node field and then click the live trading node that you want to use from the drop-down menu.
  10. (Optional) Set up notifications.
  11. Configure the Automatically restart algorithm setting.
  12. 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.

  13. 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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