Back

Forex Universe By Volume

Hello all,

I was curious as to how to use the universe and coarse filter, to filter only Forex types? I don't see any existing ones I could use and the CoarseFundamental object doesnt have any members to identify security type.

Or am I understanding universe and coarse filter wrong?

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.


I think there are only filters for the stock, future, and options universes. I don't think forex has a universe. There is no volume in forex. Forex are currencies so they don't have a lot of the same qualities that a traditional equity has.

0

Hi Marc Khristian Partoriza ,

We have created the Coarse Fundamental data for US Equity because it is a universe of over 8000 securities that would require computationally demanding procedures such as historical data requests for simple filtering operation.

That doesn't apply to Forex that only has 71 pairs (or CFD or Crypto that don't have hundreds of securities), so it is totally manageable to just subscribe to all pairs or create a custom universe:

def Initialize(self):
# Other initialization

self.symbols = [Symbol.Create(x, SecurityType.Forex, Market.Oanda)
for x in ['EURUSD', 'GBPCHF']]

self.AddUniverse(SecurityType.Forex,
"MyForexUniverse",
Resolution.Daily,
Market.Oanda,
self.UniverseSettings,
self.Select)


def Select(self, date):
# history request and selection logic
history = self.History(self.symbols, 10)

return ['EURUSD'] # List of String

 

1

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.


Ah, that makes sense.

Thanks guys!

0

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.


Loading...

This discussion is closed