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Use crypto time and sales data locally

Hello all, I am rather new to Quantconnect so forgive me if my question sound very primitive.

I have bitcoin's historical trade data on coinbase pro and tried to break it down day by day so it matches LEAN's format. But it seems for crypto tick data, time and sales data (******_trade.zip) must be accompanied by level 1 data (******_quote.zip) just like the samples shown in data explorer. I wonder if there is a way around it and there is a data feed class I can use as my data-provider in the config file.

 

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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.


Morning Andrew! Even if you just put the trade data in place it should still work, but if you want to hide the error messages there is a dictionary of default data types which you can update to remove the quote requests.

\Lean\Common\Data\SubscriptionManager.cs
public static Dictionary<SecurityType, List<TickType>> DefaultDataTypes()

change:
{SecurityType.Crypto, new List<TickType> {TickType.Trade, TickType.Quote}}
to:
{SecurityType.Crypto, new List<TickType> {TickType.Trade}}

 

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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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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