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FX, Volume(Tick) from FXCM

Have anyone extracted volume data from FX pairs? For example EURUSD at FXCM.

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We created a downloader but its not deployed to QuantConnecct.com yet - the EURUSD price data itself doesn't have volume.

https://github.com/QuantConnect/Lean/tree/master/ToolBox/FxcmVolumeDownloader
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Ok!

How do i implement that in my python code?
 

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Hi David, you could use forex volume data like this

# add volume data in initialization
def Initialize(self):
self.vol_syl = self.AddData[FxcmVolume]("EURUSD_Vol", Resolution.Hour)
# get the updated volume data
def OnData(self):
volume = data[self.vol_syl].Volume

This is an algorithm example utilizing forex volume

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Thank you very much! :)

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Tried to run my algos today. The code above does not work anymore?

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Hi Jing, I'm a QuantConnect python beginner. Please, I wonder if you could help me with the questions below, related to the code you shared:

1.  "self.vol_syl = self.AddData[FxcmVolume]("EURUSD_Vol", Resolution.Hour).Symbol"
why do you use  ".Symbol" at the end?
what is the value store inside   self.vol_syl?  is it the "EURUSD" symbol?

2. "self.vol_bb = self.BB(self.vol_syl, 30, 2, MovingAverageType.Exponential, Resolution.Hour)"
I guess here we are calculating bollinger bands. But to what time series? the price or the volume?

3. what does it mean   "if not self.vol_syl in data: return" ?
what's this line item checking?

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Hey guys,

 

On the same note--I'm having some difficulty figuring out how to download FXCM volume data (specifically i want EURUSD 1H / 1M resolution).

 

I see the data downloader in lean, but can't figure out how to use it--i've used the API data downloader before.


Can someone walk me through it?

 

Thanks!!

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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.


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