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Crypto assets

Hello all,

Just wondering if there is a list of cryptos avialable or if you can use a 'universe selection' for cryptos?

Update Backtest







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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.


Hey Alexander,

You can find a full list of the cryptopairs supported for both GDAX and Bitfinex in the documentation.
Unfortunately, there isn't currently a built-in universe selection for cryptocurrencies.  However,  you can use custom universe selection model.

I've attached an example of creating a custom universe selection model for cryptocurrencies.

Best
Rahul

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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.


Hi Rahul, can you extend your backtest a bit more to include some filtering?  I have observed that the list returned by the `Selector` method alters the contents of `data` in `OnData`, but I'm struggling to see where the filtering takes place given that there are no trade or quote bars available in the `Selector` method.

Also, the Debug statement in OnData returns, "Symbols in Slice: ['BTCUSD E3', 'ETHUSD E3', 'LTCUSD E3']", how does the " E3" suffix get there and what does it correspond to?  There is probably a foundational concept that I'm missing but right now I'm ultra confused trying to get a universe working on crypto.

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Hi HughStryker,

Since we have <100 crypto currencies available for trading, it may not make a lot of sense to use universe selection. However, we can access Tradebar and Quotebar information inside the Selector method by first converting the list of tickers into Symbol objects.

def Selector(self, utcTime):
selected_tickers = []

symbols = [Symbol.Create(ticker, SecurityType.Crypto, Market.GDAX) for ticker in self.allTickers]
for i, symbol in enumerate(symbols):
if self.Securities.ContainsKey(symbol):
# We can access Tradebar here and Quotebar info here
self.Log(f"Last known close of {symbol} is {self.Securities[symbol].Close}")

if True: # Place filtering criteria here
selected_tickers.append(self.allTickers[i])

return selected_tickers

Note that on the first call of this method, `self.Securities` won't contain the Symbol keys. For most use cases, accessing Tradebars and Quotebars in OnData is recommended.

In regards to the characters at the end of the string representation of Symbols, refer to our security identifiers documentation.

See the attached backtest for an example of the code above.

Best,
Derek Melchin

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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.


Thanks Derek, this is helpful!

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Update Backtest





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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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