Hi QC Community!

We're thrilled to announce the new Crypto Coarse Fundamental Universe feature. This is the Crypto version of Coarse Universe Selection you may have been using for Equities. This new feature allows us to select a basket of Crypto pairs by its volume or price data, which is helpful to scale our universe to liquid tokens. With further engineering, we can use the filter to select Crypto assets based on the values of technical indicators. For an example of using technical indicators in a universe selection function, see the EmaCrossUniverseSelectionAlgorithm.

Similar to Coarse Universe Selection for Equities, when we add a CryptoCoarseFunamentalUniverse to an algorithm, we provide a filter function. For example:

self.AddUniverse(CryptoCoarseFundamentalUniverse(Market.Bitfinex, self.UniverseSettings, self.UniverseSelectionFilter))

The filter function receives CryptoCoarseFundamental objects, which have the following properties:

  • Open: Yesterday's open price
  • High: Yesterday's high price
  • Low: Yesterday's low price
  • Close: Yesterday's close price
  • Volume: Yesterday's trading volume on the selected Market, denominated in the base currency.
  • VolumeInQuoteCurrency: Yesterday's trading volume on the selected Market, denominated in the quote currency.
  • VolumeInUsd: Yesterday's trading volume on the selected Market, denominated in USD. We convert the volume into USD volume to allow fair comparison between Crypto pairs with different base currencies. In most cases, this data is available, however, it is not guaranteed since the conversion requires multiple inter-pair exchanges.

The universe consists of assets from a single exchange because it makes it easier for live trading and we can't get accurate transaction records from decentralized transactions. To analyze Crypto assets from multiple markets, add multiple universes, each with a different Market argument.

In live mode, the pipeline has a 16-hour delay, so the CryptoCoarseFundamental objects are injected into algorithms at around 16:00-16:30 UTC each day, depending on the data processing task. This is not a concern for the classic Equity coarse universe, but since the Crypto markets operate 24/7, some members may notice this delay.

To help everyone get started, we updated the documentation on dataset pages for each Crypto brokerage. To view the one-liner that adds universe selection for each Crypto brokerage, open the Dataset Market, click one of the Crypto Price datasets, and then scroll down to the Getting Started section. To see full C# and Python example algorithms that use CryptoCoarseFundamentalUniverse, on the Crypto dataset listing, click the Examples tab, or find out the C# and Python demonstration algorithms in the GH repo.

As always, let us know if you have any issues or concerns. We will look into them ASAP. Enjoy! ūüöÄ