Brokerages

Kraken

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.

Kraken was founded by Jesse Powell in 2011 with the goal to "accelerate the adoption of cryptocurrency so that you and the rest of the world can achieve financial freedom and inclusion". Kraken provides access to trading Crypto through spot and Futures markets for clients with a minimum deposit of around $0-$150 USD for currency and Crypto deposits. Kraken also provides staking services, educational content, and a developer grant program.

Account Types

Kraken supports cash and margin accounts.

SetBrokerageModel(BrokerageName.Kraken, AccountType.Cash);
SetBrokerageModel(BrokerageName.Kraken, AccountType.Margin);
self.SetBrokerageModel(BrokerageName.Kraken, AccountType.Cash)
self.SetBrokerageModel(BrokerageName.Kraken, AccountType.Margin)

Create an Account

Follow the account creation wizard on the Kraken website to create a Kraken account.

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

Paper Trading

The Kraken 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 Kraken integration supports trading Crypto.

AddCrypto("BTCUSDT", Resolution.Minute, Market.Kraken);
self.AddCrypto("BTCUSDT", Resolution.Minute, Market.Kraken)

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 Kraken Crypto Price Data dataset to see the assets available.

Orders

We model the Kraken 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

Kraken supports the following order types:

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

Order Properties

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

PropertyDescription
TimeInForceA TimeInForce instruction to apply to the order. The following instructions are supported:
  • Day
  • GoodTilCanceled
  • GoodTilDate
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.
FeeInBaseA flag to signal that the order fees should be paid in the base currency, which is the default behavior when selling. This flag must be the opposite of the FeeInQuote flag.
FeeInQuoteA flag to signal that the order fees should be paid in the quote currency, which is the default behavior when buying. This flag must be the opposite of the FeeInBase flag.
NoMarketPriceProtectionA flag to signal that no Market Price Protection should be used.
ConditionalOrderAn Order that's submitted when the primary order is executed. The ConditionalOrder quantity must match the primary order quantity and the ConditionalOrder direction must be the opposite of the primary order direction.
public override void Initialize()
{
    // Set the default order properties
    DefaultOrderProperties = new KrakenOrderProperties
    {
        TimeInForce = TimeInForce.GoodTilCanceled,
        PostOnly = false,
        FeeInBase = true,
        FeeInQuote = false,
        NoMarketPriceProtection = true
    };
}

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 KrakenOrderProperties
               { 
                   TimeInForce = TimeInForce.Day,
                   PostOnly = true,
                   FeeInBase = false,
                   FeeInQuote = true,
                   NoMarketPriceProtection = true
               });
    LimitOrder(_symbol, quantity, limitPrice, 
               orderProperties: new KrakenOrderProperties
               { 
                   TimeInForce = TimeInForce.GoodTilDate(new DateTime(year, month, day)),
                   PostOnly = false,
                   FeeInBase = true,
                   FeeInQuote = false,
                   NoMarketPriceProtection = false,
                   ConditionalOrder = StopLimitOrder(_symbol, -quantity, stopLimitPrice, stopPrice)
               });
}
def Initialize(self) -> None:
    # Set the default order properties
    self.DefaultOrderProperties = KrakenOrderProperties()
    self.DefaultOrderProperties.TimeInForce = TimeInForce.GoodTilCanceled
    self.DefaultOrderProperties.PostOnly = False
    self.DefaultOrderProperties.FeeInBase = True
    self.DefaultOrderProperties.FeeInQuote = False
    self.DefaultOrderProperties.NoMarketPriceProtection = True

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 = KrakenOrderProperties()
    order_properties.TimeInForce = TimeInForce.Day
    order_properties.PostOnly = True
    order_properties.FeeInBase = False
    order_properties.FeeInQuote = True
    order_properties.NoMarketPriceProtection = True
    self.LimitOrder(self.symbol, quantity, limit_price, orderProperties=order_properties)

    order_properties.TimeInForce = TimeInForce.GoodTilDate(datetime(year, month, day))
    order_properties.PostOnly = False
    order_properties.FeeInBase = True
    order_properties.FeeInQuote = False
    order_properties.NoMarketPriceProtection = False
    order_properties.ConditionalOrder = StopLimitOrder(self.symbol, -quantity, stop_limit_price, stop_price)
    self.LimitOrder(self.symbol, quantity, limit_price, orderProperties=order_properties)

Updates

We model the Kraken API 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 Kraken. For trading pairs that contain only Crypto assets, we model the lowest tier in their tiered fee structure, which is a 0.16% maker fee and a 0.26% taker fee. 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. For trading pairs that have any of the following currencies as the base currency in the pair, the fee is 0.2%:

  • CAD
  • EUR
  • GBP
  • JPY
  • USD
  • USDT
  • DAI
  • USDC

Kraken adjusts your fees based on your 30-day trading volume, but we don't currently model trading volume to adjust fees.

Fees are charged in the quote currency when buying and in the base currency when selling. To override these settings, define the KrakenOrderProperties.

public override void Initialize()
{
    // Set the default order properties
    DefaultOrderProperties = new KrakenOrderProperties()
    {
        FeeInBase = true,
        FeeInQuote = false
    };
}

public override void OnData(Slice slice)
{
    // Override the default order properties
    LimitOrder(_symbol, quantity, limitPrice, 
               orderProperties: new KrakenOrderProperties
               { 
                   FeeInQuote = true, 
                   FeeInBase = false 
               });
}
def Initialize(self) -> None:
    # Set the default order properties
    self.DefaultOrderProperties = KrakenOrderProperties()
    self.DefaultOrderProperties.FeeInBase = True
    self.DefaultOrderProperties.FeeInQuote = False

def OnData(self, slice: Slice) -> None:
    # Override the default order properties
    order_properties = KrakenOrderProperties()
    order_properties.FeeInQuote = True
    order_properties.FeeInBase = False
    self.LimitOrder(self.symbol, quantity, limit_price, orderProperties=order_properties)

To check the latest fees at all the fee tiers, see the Fee Schedule page on the Kraken website.

Margin

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

Buying Power

Kraken allows 1x leverage for most trades done in margin accounts. The following table shows pairs that have additional leverage available:

Quote CurrencyBase CurrenciesLeverage
ADABTC, ETH, USD, EUR3
BCHBTC, USD, EUR2
BTCUSD, EUR
5
DASHBTC, USD, EUR3
EOSBTC, ETH, USD, EUR3
ETHBTC, USD, EUR5
LINKBTC, ETH, USD, EUR3
LTCBTC, USD, EUR3
REPBTC, ETH, USD, EUR2
TRXBTC, ETH, USD, EUR3
USDCUSD, EUR3
USDTUSD, EUR2
XMRBTC, USD, EUR2
XRPBTC, USD, EUR3
XTZBTC, ETH, USD, EUR2

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 Kraken 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

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

Account Credentials

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

API Outages

We call the Kraken API to place live trades. Sometimes the API may be down. Check the Kraken 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 Kraken brokerage:

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 Kraken Exchange from the drop-down menu.
  4. Enter your Kraken API secret and key.
  5. Gather your API credentials from the API Management Settings page on the Kraken website. Your account details are not saved on QuantConnect.

  6. Click the Verification Tier field and then click your verification tier from the drop-down menu.
  7. For more information about verification tiers, see Verification levels explained on the Kraken website.

  8. Click the Node field and then click the live trading node that you want to use from the drop-down menu.
  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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