OANDA
CFD Data
Introduction
The CFD Data by OANDA serves 51 contracts for differences (CFD). The data starts as early as May 2002 and is delivered on any frequency from tick to daily. This dataset is created by QuantConnect processing raw tick data from OANDA.
For more information about the CFD Data dataset, including CLI commands and pricing, see the dataset listing.
About the Provider
OANDA was co-founded by Dr. Stumm, a computer scientist and Dr. Olsen, an economist, in 1997. The company was born out of the belief that the Internet and technology would open up the markets for both currency data and trading. OANDA uses innovative computer and financial technology to provide Internet-based forex trading and currency information services to everyone, from individuals to large corporations, from portfolio managers to financial institutions. OANDA is a market maker and a trusted source for currency data. It has access to one of the world's largest historical, high-frequency, filtered currency databases.
Data Summary
The following table describes the dataset properties:
| Property | Value |
|---|---|
| Start Date | Mixed, earliest starts May 2002 |
| Asset Coverage | 51 Contracts |
| Data Density | Dense |
| Resolution | Tick, Second, Minute, Hour, & Daily |
| Timezone | Mixed, in which the contract is listed* |
| Market Hours | Always Open, except from Friday 5 PM EST to Sunday 5 PM EST. Index CFDs depends on the underlying market hour* |
* E.g.: DE30EUR tracks DAX30 Index, which is listed in Europe/Berlin timezone.
Example Applications
The CFD price data enables you to trade CFD assets in your algorithm. Examples include the following strategies:
- Exploring the daily worldwide news cycles with CFDs that track international indices.
- Trading price movements of commodities with no delivery of physical goods. For example, pairs trading between gold and silver, corn and wheat, brent and crude oil, etc.
Requesting Data
To add CFD data to your algorithm, call the AddCfdadd_cfd method. Save a reference to the CFD Symbol so you can access the data later in your algorithm.
class CfdAlgorithm (QCAlgorithm):
def initialize(self) -> None:
self.set_account_currency('EUR');
self.set_start_date(2019, 2, 20)
self.set_end_date(2019, 2, 21)
self.set_cash('EUR', 100000)
self.de30eur = self.add_cfd('DE30EUR').symbol
self.set_benchmark(self.de30eur)
namespace QuantConnect.Algorithm.CSharp
{
public class CfdAlgorithm : QCAlgorithm
{
private Symbol _symbol;
public override void Initialize()
{
SetAccountCurrency("EUR");
SetStartDate(2019, 2, 20);
SetEndDate(2019, 2, 21);
SetCash("EUR", 100000);
_symbol = AddCfd("DE30EUR").Symbol;
SetBenchmark(_symbol);
}
}
}
For more information about creating CFD subscriptions, see Requesting Data.
Accessing Data
To get the current CFD data, index the QuoteBarsquote_bars, or Ticksticks properties of the current Slice with the CFD Symbol. Slice objects deliver unique events to your algorithm as they happen, but the Slice may not contain data for your security at every time step. To avoid issues, check if the Slice contains the data you want before you index it.
def on_data(self, slice: Slice) -> None:
if self.de30eur in slice.quote_bars:
quote_bar = slice.quote_bars[self.de30eur]
self.log(f"{self.de30eur} bid at {slice.time}: {quote_bar.bid.close}")
if self.de30eur in slice.ticks:
ticks = slice.ticks[self.de30eur]
for tick in ticks:
self.log(f"{self.de30eur} price at {slice.time}: {tick.price}") public override void OnData(Slice slice)
{
if (slice.QuoteBars.ContainsKey(_symbol))
{
var quoteBar = slice.QuoteBars[_symbol];
Log($"{_symbol} bid at {slice.Time}: {quoteBar.Bid.Close}");
}
if (slice.Ticks.ContainsKey(_symbol))
{
var ticks = slice.Ticks[_symbol];
foreach (var tick in ticks)
{
Log($"{_symbol} price at {slice.Time}: {tick.Price}");
}
}
}
You can also iterate through all of the data objects in the current Slice.
def on_data(self, slice: Slice) -> None:
for symbol, quote_bar in slice.quote_bars.items():
self.log(f"{symbol} bid at {slice.time}: {quote_bar.bid.close}")
for symbol, ticks in slice.ticks.items():
for tick in ticks:
self.log(f"{symbol} price at {slice.time}: {tick.price}") public override void OnData(Slice slice)
{
foreach (var kvp in slice.QuoteBars)
{
var symbol = kvp.Key;
var quoteBar = kvp.Value;
Log($"{symbol} bid at {slice.Time}: {quoteBar.Bid.Close}");
}
foreach (var kvp in slice.Ticks)
{
var symbol = kvp.Key;
var ticks = kvp.Value;
foreach (var tick in ticks)
{
Log($"{symbol} price at {slice.Time}: {tick.Price}");
}
}
}
For more information about accessing CFD data, see Handling Data.
Historical Data
To get historical CFD data, call the Historyhistory method with the CFD Symbol. If there is no data in the period you request, the history result is empty.
# DataFrame history_df = self.history(self.de30eur, 100, Resolution.MINUTE) # QuoteBar objects history_quote_bars = self.history[QuoteBar](self.de30eur, 100, Resolution.MINUTE) # Tick objects history_ticks = self.history[Tick](self.de30eur, timedelta(seconds=10), Resolution.TICK)
// QuoteBar objects var historyQuoteBars = History<QuoteBar>(_symbol, 100, Resolution.Minute); // Tick objects var historyTicks = History<Tick>(_symbol, TimeSpan.FromSeconds(10), Resolution.Tick);
For more information about historical data, see History Requests.
Example Applications
The CFD price data enables you to trade CFD assets in your algorithm. Examples include the following strategies:
- Exploring the daily worldwide news cycles with CFDs that track international indices.
- Trading price movements of commodities with no delivery of physical goods. For example, pairs trading between gold and silver, corn and wheat, brent and crude oil, etc.
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