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.

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 the Data Explorer.

Resolutions

The following table shows the available resolutions and data formats for Crypto Futures contract subscriptions:

ResolutionTradeBarQuoteBarTrade TickQuote Tick
Tickgreen checkgreen check
Secondgreen checkgreen check
Minutegreen checkgreen check
Hourgreen checkgreen check
Dailygreen checkgreen check

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 fillDataForward argument to false when you create the security subscription.

_symbol = AddCryptoFuture("BTCUSD", fillDataForward: false).Symbol;
self.symbol = self.AddCryptoFuture("BTCUSD", fillDataForward=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.

Properties

The AddCryptoFuture method returns a CryptoFuture object, which have the following properties:

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