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Volume data is missing on those Forex & CFD product

Is there any reason to get rid of volume data for these product??

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Volume in FOREX is a tricky concept. There is no centralized market place like in equities, so the volumes are only local to each market maker. Sometimes this is the interbank rate - with interbank volumes (FXCM), and sometimes its the market-maker's internal trading volume (like with Oanda).

We don't have CFD's yet; and we default to using FXCM's market data at the moment which comes with a bid/ask spread only. TradeBar's are created using the midpoints on that bid ask spread.

Through the API you can ask for Oanda's market data as well. We're waiting on Oanda to give us daily updates for their data, but once that is available we'll publish how to access Oanda spreads.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Jared

Why don't you guys use Integral's TrueFX free historical data? Or LMAX?

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As we integrate with each brokerage we'll add their specific data. Each market maker has their own spreads so its important to use the right data for backtesting. For now we only integrate with FXCM and Oanda brokerages -- so only offer their data.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Given the availability of tick data from e.g. FXCM, you should be able to calculate a very rough "volume" yourself, by simply counting the number of ticks that have come in during any given [minute/hour/day]. I'm looking into how to do this and will share if I come across anything that seems doable.

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Hi Douglas, thank you for looking into it.
Since that conversation, we have implemented a custom data type for FxcmVolume and a downloader to fetch and convert the data. Please take a look into it and check whether it does what you are trying to do.
However, this data is not available in QuantConnect. You can only use it for local R&D.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Very interesting, thank you! Did not spot this before.

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Hi Alexandre,

Are there any plans to bring this into QuantConnect? I can call upon it in the research enviroment, however the data does only up to November 2017.

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Hi Ralph Clayton, we don't have plans to add this data.
However, since you can get this data with the downloader and FXCM data is free, you can run a Jupyter notebook locally.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Update Backtest





0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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