Crypto
Requesting Data
Introduction
Request Crypto 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 CoinAPI datasets. To trade Crypto live, you can use our Crypto data feed.
Create Subscriptions
To create a Crypto subscription, in the Initialize method, call the AddCrypto method. The AddCrypto method returns a Crypto 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 = AddCrypto("BTCUSD").Symbol; self.symbol = self.AddCrypto("BTCUSD").Symbol
The AddCrypto method creates a subscription for a single Crypto asset and adds it to your user-defined universe. To create a dynamic universe of Crypto assets, add a Crypto universe.
To view the supported assets, see the CoinAPI datasets.
Fungible Assets
Fungible assets are assets that are interchangeable with each other. For example, every Bitcoin is effectively identical to every other Bitcoin. In contrast, non-fungible tokens (NFTs) are non-fungible because each one is unique. An example of an NFT is the Bored Ape Yacht Club collection. LEAN doesn't currently support trading NFTs.
Resolutions
The following table shows the available resolutions and data formats for Crypto subscriptions:
| Resolution | TradeBar | QuoteBar | Trade Tick | Quote Tick |
|---|---|---|---|---|
Tick |  | | ||
Second | | | ||
Minute | | | ||
Hour | | | ||
Daily | | |
The default resolution for Crypto subscriptions is Resolution.Minute. To change the resolution, pass a resolution argument to the AddCrypto method.
_symbol = AddCrypto("BTCUSD", Resolution.Daily).Symbol; self.symbol = self.AddCrypto("BTCUSD", Resolution.Daily).Symbol
To create custom resolution periods, see Consolidating Data.
Supported Markets
The following Market enumeration members are available for Crypto:
To set the market for a security, pass a market argument to the AddCrypto method.
_symbol = AddCrypto("BTCUSD", market: Market.GDAX).Symbol; self.symbol = self.AddCrypto("BTCUSD", market=Market.GDAX).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 = AddCrypto("BTCUSD", fillDataForward: false).Symbol; self.symbol = self.AddCrypto("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 AddCrypto method.
_symbol = AddCrypto("BTCUSD", leverage: 3).Symbol; self.symbol = self.AddCrypto("BTCUSD", leverage=3).Symbol
For more information about the leverage each brokerage provides, see Brokerages.
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