History and warm up feature

Hi Vronghel

The code seems fine to me. The way you call for historical data and iterate them to add to the RollingWindow is correct. Make sure you do so on initialize, or OnSecurityChanged event handler, so it was only called once when the security is added into the universe. Then update the RollingWindow with newly received data in OnData. Check here on how to do so.

Best
Louis

Hi Louis,

Thanks for your response!!

I implemented the volume in my algorithm something different as above. And this works perfect.

public Sum sumVolume {get; private set;}

public bool IsReady => MaxExchange.IsReady && MinExchange.IsReady && _macdWin.IsReady && _macd.IsReady &&  sumVolume.IsReady;


public SymbolData(QCAlgorithm algorithm, Crypto crypto)
        {
            Resolution resM = Resolution.Minute;
            //Resolution resH = Resolution.Hour;
            _cash = algorithm.Portfolio.CashBook[crypto.BaseCurrencySymbol];
            MaxExchange = algorithm.MAX(crypto.Symbol, MinutesOfTrading, resM);
            MinExchange = algorithm.MIN(crypto.Symbol, MinutesOfTrading, resM);
            _macd = algorithm.MACD(crypto.Symbol, fast, slow, sig, MovingAverageType.Exponential,resM);
            _macdWin = new RollingWindow<IndicatorDataPoint>(5);
            _macd.Signal.Updated +=(sender, updated) => _macdWin.Add(updated);
            _rsi = algorithm.RSI(crypto.Symbol, 4, MovingAverageType.Simple, resM);
            sumVolume = algorithm.SUM(crypto.Symbol, 1440, Resolution.Minute, Field.Volume);
        }

But the problem for the moment is that I get the 24hours volume of an altcoin in the value of the altcoin. (see image above)

I get the 24h Volume(ZRX) but not the 24h dollar volume.

Whats the best way to transform the 24h volume(ZRX) to 24h volume(usd)?

Thanks in advance!!!

Hi Vronghel, 

volume(USD) = volume(ZRX) * price(ZRX/USD)

Best,
Derek Melchin

Want to invest in QuantConnect as we build the Linux of quant finance? Checkout our Wefunder campaign to join the revolution.

Hi Derek,

Thanks for your respons!!!

I got a lot of altcoins to trade. Do I need to do this all manually for every altcoin? This would be absurd.

Or is there a easier way? Reading in the dictionary or something?

_dataBySymbol = new Dictionary<Symbol, SymbolData>();
    		
            foreach (var ticker in new [] {"1INCHBTC","AAVEBTC", "ACABTC", "ACHBTC", "ACMBTC","ADABTC", "ADXBTC", "AERGOBTC", "AGIXBTC",
			"AGLDBTC", "AIONBTC", "ALCXBTC", "ALGOBTC", "ALICEBTC", "ALPACABTC", "ALPHABTC", "AMBBTC", "AMPBTC","ANCBTC", "ANKRBTC", "ANTBTC", 
			"API3BTC", "ARBTC", "ARDRBTC", "ARKBTC", "ARPABTC","ASRBTC", "ASTBTC", "ATABTC", "ATMBTC", "ATOMBTC",
			"AUCTIONBTC", "AUDIOBTC", "AUTOBTC", "AVABTC", "AVAXBTC", "AXSBTC", 
			
			"BADGERBTC", "BAKEBTC", "BALBTC", "BANDBTC", "BARBTC", "BATBTC", "BCHBTC", "BEAMBTC","BELBTC", "BETABTC", "BICOBTC", "BLZBTC", 
			"BNTBTC", "BNXBTC", "BONDBTC", "BTCSTBTC", "BTGBTC", "BTSBTC", 
			
			"C98BTC", "CAKEBTC", "CELOBTC", "CELRBTC", "CFXBTC",
			"CHESSBTC", "CHRBTC", "CHZBTC", "CITYBTC", "COMPBTC", "COSBTC", "COTIBTC", "CRVBTC", "CTKBTC", "CTSIBTC", "CTXCBTC", "CVCBTC",
			"CVXBTC", 
			
			"DARBTC", "DASHBTC", "DATABTC", "DCRBTC", "DEGOBTC", "DGbBTC", "DIABTC", "DNTBTC", "DOCKBTC", "DODOBTC", "DOGEBTC", "DOTBTC", "DREPBTC",
			"DUSKBTC", "DYDXBTC", 
			
			"EGLDBTC", "ELFBTC", "ENJBTC", "ENSBTC", "EOSBTC", "ETCBTC", "ETHBTC", 			
			
			"FARMBTC", "FETBTC", "FIDABTC", "FILBTC", "FIOBTC", "FIROBTC", "FISBTC", "FLMBTC", "FLOWBTC", "FLUXBTC", "FORBTC",
			"FORTHBTC", "FRONTBTC", "FTMBTC", "FTTBTC", "FXSBTC", 			
			
			"GALABTC", "GASBTC", "GLMBTC", "GLMRBTC", "GRTBTC", "GTCBTC", "GTOBTC", 
			
			"HARDBTC", "HBARBTC", "HIGHBTC", "HIVEBTC", "HNTBTC",
			
			"ICPBTC", "ICXBTC", "IDEXBTC", "ILVBTC", "IMXBTC", "INJBTC", "IOSTBTC", "IOTABTC", "IOTXBTC", "IRISBTC",
			
			"JASMYBTC", "JOEBTC", "JSTBTC", "JUVBTC", 

			"KAVABTC", "KLAYBTC", "KMDBTC", "KNCBTC", "KSMBTC", 
			
			"LAZIOBTC", "LINABTC", "LINKBTC", "LITBTC", "LOKABTC", "LOOMBTC", "LPTBTC", "LRCBTC", "LSKBTC", "LTCBTC", "LTOBTC",  
			
			"MANABTC", "MATICBTC", "MBOXBTC", "MCBTC", "MDABTC", "MDTBTC", "MDXBTC", "MINABTC", "MIRBTC", "MITHBTC", "MKRBTC", "MLNBTC", 
			"MOVRBTC", "MTLBTC",
			
			"NAVBTC", "NEARBTC", "NEBLBTC", "NEOBTC", "NKNBTC", "NMRBTC", "NULSBTC", 
			
			"OAXBTC", "OCEANBTC", "OGBTC", "OGNBTC", "OMBTC", "OMGBTC", "ONEBTC", "ONGBTC", "ONTBTC", "ORNBTC", "OXTBTC", 
			
			"PAXBTC", "PEOPLEBTC", "PERLBTC", "PERPBTC", "PHABTC", "PHBBTC", "PIVXBTC", "PLABTC", "PNTBTC", "POLSBTC", "POLYBTC", 
			"PONDBTC", "PORTOBTC", "POWRBTC", "PROMBTC", "PSGBTC", "PYRBTC", 
			
			"QIBTC", "QKCBTC", "QLCBTC", "QNTBTC", "QTUMBTC", "QUICKBTC", 
			
			"RADBTC", "RAREBTC", "RENBTC", "REPBTC", "REQBTC", "RIFBTC", "RLCBTC", "RNDRBTC", "ROSEBTC", "RUNEBTC", "RVNBTC", 			
			
			"SANDBTC", "SANTOSBTC", "SCRTBTC", "SFPBTC", "SKLBTC", "SNMBTC", "SNTBTC", "SNXBTC", "SOLBTC", "SRMBTC", "SSVBTC", 
			"STEEMBTC", "STMXBTC", "STORJBTC", "STPTBTC", "STRAXBTC", "STXBTC", "SUPERBTC", "SUSHIBTC", "SXPBTC", "SYSBTC",
			
			"TCTBTC", "TFUELBTC", "THETABTC", "TKOBTC", "TLMBTC", "TOMOBTC", "TORNBTC", "TRBBTC", "TRUBTC", "TRXBTC", "TVKBTC", "TWTBTC", 
			
			"UMABTC", "UNFIBTC", "UTKBTC", "VETBTC", "VGXBTC", "VIBBTC", "VIDTBTC","VITEBTC", "VOXELBTC", 
			
			"WABIBTC", "WANBTC", "WAVESBTC", "WAXPBTC", "WBTCBTC", "WINGBTC", "WRXBTC", "WTCBTC", 
			
			"XEMBTC", "XLMBTC", "XMRBTC", "XNOBTC", "XRPBTC", "XTZBTC", "XVSBTC",

			"YFIBTC", "YFIIBTC", "YGGBTC",
			
			"ZECBTC", "ZENBTC", "ZILBTC", "ZRXBTC"})     

			/* symbols wel in binance niet in quantconnect:
			 "ALPINEBTC", "APEBTC", "ASTRBTC", "GMTBTC", "KDABTC", "LDOBTC", "MOBBTC", "MULTIBTC", "NEXOBTC", "OPBTC"
			*/
			                                                                
            {																		
            																		
            	var crypto = AddCrypto(ticker, res);								
            	_dataBySymbol.Add(crypto.Symbol, new SymbolData(this, crypto));		
            }

Thanks in advance!!!

Hi Vronghel,

An easy way is to use 

var baseCurrency = (Securities[_symbol] as Crypto).BaseCurrencySymbol;
var baseConversionRate = Portfolio.CashBook[baseCurrency].ConversionRate;
var volumeInAccountCurrency = data.Bars[_symbol].Volume * baseConversionRate;

See the attached backtest for a full example.

Best,
Derek Melchin

Want to invest in QuantConnect as we build the Linux of quant finance? Check out our Wefunder campaign to join the revolution.

Hi Derek,

Thanks for the answer.

I think its clear to me.

But the only problem is that your BaseCurrencySymbol is “USD” but mine BaseCurrencySymbol is “BTC”. Cause I'm trading BTC pairs and I wanna see my BTC balance instead of USD balance.

How can I get this “var baseCurrency = (Securities[symbol] as Crypto).BaseCurrencySymbol;” work while having a BaseCurrencySymbol of “BTC”? Do I need to transform it to USD?

Also your resolution is Daily while mine is Minute.

Do I have to consolidate all the data.bars[_symbol].Volume?

Thanks in advance.

Hi Vronghel,

In the algorithm above, the baseCurrency is actually ETH and the quote currency is BTC.

The algorithm will calculate the trading volume, denominated in the account currency. If you set your account currency to BTC, volumeInAccountCurrency will be denominated in BTC.

If we use minute-resolution data, to get the daily volume, we can consolidate the bars or just sum up the volume of the minute bars each day.

Best,
Derek Melchin

Want to invest in QuantConnect as we build the Linux of quant finance? Checkout our Wefunder campaign to join the revolution.

Hi Derek,

Thanks for all your help.

I made this for my code:

var history = History<TradeBar>(symbol, 1440, Resolution.Minute); //1440 minutes in 1 day.

            		foreach (var bar in history)
            		{
                	_window.Add(bar.Volume);
            		}


					// volume is only available in trade bar
            		if (data.Bars.ContainsKey(symbol))
            		{
                	_window.Add(data.Bars[symbol].Volume);                	
            		} 

					var baseCurrency = (Securities[symbol] as Crypto).BaseCurrencySymbol;
					var baseConversionRate = Portfolio.CashBook[baseCurrency].ConversionRate;
            		var volumeInAccountCurrency = data.Bars[symbol].Volume * baseConversionRate;


					var _TotaalVolumeUSD = _window.Sum() * (baseConversionRate * data["BTCBUSD"].Price);

Greetings David