Crypto Futures
Requesting Data
Introduction
Request Crypto Futures data in your algorithm to receive a feed of asset prices in the OnData method. For more information about the specific datasets we use for backtests, see the Binance Crypto Future Price Data dataset listing. To trade Crypto live, you can use our Crypto Futures data feed.
Create Subscriptions
To create a Crypto Futures subscription, in the Initialize method, call the AddCryptoFuture method. The AddCryptoFuture method returns a CryptoFuture object, which contains a Symbol. Save a reference to the Symbol so you can use it in OnData to access the security data in the Slice.
_symbol = AddCryptoFuture("BTCUSD").Symbol; self.symbol = self.AddCryptoFuture("BTCUSD").Symbol
The AddCryptoFuture method creates a subscription for a single Crypto Futures asset and adds it to your user-defined universe.
To view the supported assets in the Crypto Futures dataset, see Supported Assets.
Resolutions
The following table shows the available resolutions and data formats for Crypto Futures contract subscriptions:
| Resolution | TradeBar | QuoteBar | Trade Tick | Quote Tick |
|---|---|---|---|---|
Tick |  | | ||
Second | | | ||
Minute | | | ||
Hour | | | ||
Daily | | |
The default resolution for Crypto Futures subscriptions is Resolution.Minute. To change the resolution, pass a resolution argument to the AddCryptoFuture method.
_symbol = AddCryptoFuture("BTCUSD", Resolution.Daily).Symbol; self.symbol = self.AddCryptoFuture("BTCUSD", Resolution.Daily).Symbol
To create custom resolution periods, see Consolidating Data.
Supported Markets
Crypto Futures are currently only available on Market.Binance. To set the market for a security, pass a market argument to the AddCryptoFuture method.
_symbol = AddCryptoFuture("BTCUSD", market: Market.Binance).Symbol; self.symbol = self.AddCryptoFuture("BTCUSD", market=Market.Binance).Symbol
The brokerage models have a default market for each asset class. If you set a brokerage model, you may not need to specify the market to use.
Fill Forward
Fill forward means if there is no data point for the current slice, LEAN uses the previous data point. Fill forward is the default data setting. If you disable fill forward, you may get stale fills or you may see trade volume as zero.
To disable fill forward for a security, set the fillForward argument to false when you create the security subscription.
_symbol = AddCryptoFuture("BTCUSD", fillForward: false).Symbol; self.symbol = self.AddCryptoFuture("BTCUSD", fillForward=False).Symbol
Margin and Leverage
LEAN models buying power and margin calls to ensure your algorithm stays within the margin requirements. The amount of leverage available to you depends on the brokerage you use. To change the amount of leverage you can use for a security, pass a leverage argument to the AddCryptoFuture method.
_symbol = AddCryptoFuture("BTCUSD", leverage: 3).Symbol; self.symbol = self.AddCryptoFuture("BTCUSD", leverage=3).Symbol
For more information about the leverage each brokerage provides, see Brokerages.
Data Normalization
The data normalization mode doesn't affect the data that LEAN passes to OnData or the data from history request. If you change the data normalization mode, it won't change the outcome.
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