Suggestion on how to add level 2 data to a strategy

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Hi everyone,

I would like to add order book data coming from Oanda to a strategy. How would you suggest I could tackle this problem ? 

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Hi Ivan,

At the moment, we do not support level 2 Oanda data. However, we can access level 1 data through data.QuoteBars in OnData. I've shown a basic example in the attached backtest.

Best,
Shile Wen

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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 Shile,
my question was rather what's easiest way to add it to a strategy ? I know that Oanda has such apis and I could extend the Oanda api wrapper to also listen to level 2 data, but how can I then get this da to flow through the framework and reach my strategy ? 
 

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Hi Ivan, this is not supported in the QC website sorry. However you can download LEAN and self host it, and add it a new tick data source but I think this would be 1-2 weeks work. Adding a depth of orders book for LEAN is on the todo list but it has not been designed or started yet.

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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.


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.


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