Integrates with crypto security

theGOTOguy · Sep 15, 2017 · 7fab872 · 7fab872
1 parent d6f5fb2
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Showing 15 changed files with 38 additions and 34 deletions.
diff --git a/Algorithm.CSharp/FractionalQuantityRegressionAlgorithm.cs b/Algorithm.CSharp/FractionalQuantityRegressionAlgorithm.cs
@@ -36,7 +36,7 @@ public override void Initialize()
             SetCash(100000);
 
             SetTimeZone(NodaTime.DateTimeZone.Utc);
-            var security = AddSecurity(SecurityType.Forex, "BTCUSD", Resolution.Daily, Market.GDAX, false, 3.3m, true);
+            var security = AddSecurity(SecurityType.Crypto, "BTCUSD", Resolution.Daily, Market.GDAX, false, 3.3m, true);
             var con = new QuoteBarConsolidator(1);
             SubscriptionManager.AddConsolidator("BTCUSD", con);
             con.DataConsolidated += con_DataConsolidated;

diff --git a/Algorithm/QCAlgorithm.cs b/Algorithm/QCAlgorithm.cs
@@ -1255,7 +1255,7 @@ public void SetTradeBuilder(ITradeBuilder tradeBuilder)
         /// <summary>
         /// Add specified data to our data subscriptions. QuantConnect will funnel this data to the handle data routine.
         /// </summary>
-        /// <param name="securityType">MarketType Type: Equity, Commodity, Future or FOREX</param>
+        /// <param name="securityType">MarketType Type: Equity, Commodity, Future, FOREX or Crypto</param>
         /// <param name="symbol">Symbol Reference for the MarketType</param>
         /// <param name="resolution">Resolution of the Data Required</param>
         /// <param name="fillDataForward">When no data available on a tradebar, return the last data that was generated</param>
@@ -1268,7 +1268,7 @@ public Security AddSecurity(SecurityType securityType, string symbol, Resolution
         /// <summary>
         /// Add specified data to required list. QC will funnel this data to the handle data routine.
         /// </summary>
-        /// <param name="securityType">MarketType Type: Equity, Commodity, Future or FOREX</param>
+        /// <param name="securityType">MarketType Type: Equity, Commodity, Future, FOREX or Crypto</param>
         /// <param name="symbol">Symbol Reference for the MarketType</param>
         /// <param name="resolution">Resolution of the Data Required</param>
         /// <param name="fillDataForward">When no data available on a tradebar, return the last data that was generated</param>
@@ -1283,7 +1283,7 @@ public Security AddSecurity(SecurityType securityType, string symbol, Resolution
         /// <summary>
         /// Set a required SecurityType-symbol and resolution for algorithm
         /// </summary>
-        /// <param name="securityType">SecurityType Enum: Equity, Commodity, FOREX or Future</param>
+        /// <param name="securityType">MarketType Type: Equity, Commodity, Future, FOREX or Crypto</param>
         /// <param name="symbol">Symbol Representation of the MarketType, e.g. AAPL</param>
         /// <param name="resolution">Resolution of the MarketType required: MarketData, Second or Minute</param>
         /// <param name="market">The market the requested security belongs to, such as 'usa' or 'fxcm'</param>
@@ -1512,6 +1512,15 @@ public Cfd AddCfd(string ticker, Resolution resolution = Resolution.Minute, stri
             return AddSecurity<Cfd>(SecurityType.Cfd, ticker, resolution, market, fillDataForward, leverage, false);
         }
 
+        /// <summary>
+        /// Creates and adds a new <see cref="Crypto"/> security to the algorithm
+        /// </summary>
+        /// <param name="ticker">The currency pair</param>
+        /// <param name="resolution">The <see cref="Resolution"/> of market data, Tick, Second, Minute, Hour, or Daily. Default is <see cref="Resolution.Minute"/></param>
+        /// <param name="market">The cfd trading market, <seealso cref="Market"/>. Default value is null and looked up using BrokerageModel.DefaultMarkets in <see cref="AddSecurity{T}"/></param>
+        /// <param name="fillDataForward">If true, returns the last available data even if none in that timeslice. Default is <value>true</value></param>
+        /// <param name="leverage">The requested leverage for this equity. Default is set by <see cref="SecurityInitializer"/></param>
+        /// <returns>The new <see cref="Crypto"/> security</returns>
         public Crypto AddCrypto(string ticker, Resolution resolution = Resolution.Minute, string market = null, bool fillDataForward = true, decimal leverage = 0m)
         {
             return AddSecurity<Crypto>(SecurityType.Crypto, ticker, resolution, market, fillDataForward, leverage, false);

diff --git a/Brokerages/GDAX/GDAXBrokerage.Utility.cs b/Brokerages/GDAX/GDAXBrokerage.Utility.cs
@@ -123,7 +123,7 @@ private static string ConvertOrderType(Orders.OrderType orderType)
         /// <returns>Symbol</returns>
         public static Symbol ConvertProductId(string productId)
         {
-            return Symbol.Create(productId.Replace("-", ""), SecurityType.Forex, Market.GDAX);
+            return Symbol.Create(productId.Replace("-", ""), SecurityType.Crypto, Market.GDAX);
         }
 
         /// <summary>

diff --git a/Brokerages/GDAX/GDAXBrokerage.cs b/Brokerages/GDAX/GDAXBrokerage.cs
@@ -246,7 +246,7 @@ public override List<Holding> GetAccountHoldings()
                     {
 
                         var baseSymbol = (item.ProductId.Substring(0, 3) + "USD").ToLower();
-                        var tick = this.GetTick(Symbol.Create(baseSymbol, SecurityType.Forex, Market.GDAX));
+                        var tick = this.GetTick(Symbol.Create(baseSymbol, SecurityType.Crypto, Market.GDAX));
                         conversionRate = tick.Price;
                     }
                     else
@@ -259,7 +259,7 @@ public override List<Holding> GetAccountHoldings()
                     {
                         Symbol = ConvertProductId(item.ProductId),
                         Quantity = item.Side == "sell" ? -item.FilledSize : item.FilledSize,
-                        Type = SecurityType.Forex,
+                        Type = SecurityType.Crypto,
                         CurrencySymbol = item.ProductId.Substring(0, 3).ToUpper(),
                         ConversionRate = conversionRate,
                         MarketPrice = item.Price,
@@ -294,7 +294,7 @@ public override List<Cash> GetCashBalance()
                     }
                     else
                     {
-                        var tick = GetTick(Symbol.Create(item.Currency + "USD", SecurityType.Forex, Market.GDAX));
+                        var tick = GetTick(Symbol.Create(item.Currency + "USD", SecurityType.Crypto, Market.GDAX));
 
                         list.Add(new Securities.Cash(item.Currency.ToUpper(), item.Balance, tick.Price));
                     }

diff --git a/Common/Brokerages/GDAXBrokerageModel.cs b/Common/Brokerages/GDAXBrokerageModel.cs
@@ -18,8 +18,6 @@
 using QuantConnect.Data.Market;
 using QuantConnect.Orders;
 using QuantConnect.Securities;
-using QuantConnect.Securities.Equity;
-using QuantConnect.Securities.Forex;
 using QuantConnect.Securities.Interfaces;
 using QuantConnect.Orders.Fills;
 using QuantConnect.Orders.Fees;

diff --git a/Common/Data/SubscriptionManager.cs b/Common/Data/SubscriptionManager.cs
@@ -203,8 +203,7 @@ public Dictionary<SecurityType, List<TickType>> DefaultDataTypes()
             return new Dictionary<SecurityType, List<TickType>>()
             {
                 {SecurityType.Base, new List<TickType>() { TickType.Trade } },
-                //todo: revert trade ticks for forex
-                {SecurityType.Forex, new List<TickType>() { TickType.Quote, TickType.Trade } },
+                {SecurityType.Forex, new List<TickType>() { TickType.Quote } },
                 {SecurityType.Equity, new List<TickType>() { TickType.Trade } },
                 {SecurityType.Option, new List<TickType>() { TickType.Quote, TickType.Trade, TickType.OpenInterest } },
                 {SecurityType.Cfd, new List<TickType>() { TickType.Quote } },

diff --git a/Data/forex/gdax/daily/btcusd.zip → Data/crypto/gdax/daily/btcusd.zip b/Data/forex/gdax/daily/btcusd.zip → Data/crypto/gdax/daily/btcusd.zip
diff --git a/Data/symbol-properties/symbol-properties-database.csv b/Data/symbol-properties/symbol-properties-database.csv
@@ -2,7 +2,6 @@ market,symbol,type,description,quote_currency,contract_multiplier,minimum_price_
 
 #
 # Use # signs for comments
-bitfinex,BTCUSD,forex,BTCUSD,USD,1,0.01,0.01
 #
 
 fxcm,AU200AUD,cfd,S&P/ASX index of Australian listed shares,USD,0.1,0.1,1
@@ -238,14 +237,14 @@ oanda,USDZAR,forex,USD/ZAR,ZAR,1,0.00001,1
 oanda,ZARJPY,forex,ZAR/JPY,JPY,1,0.001,1
 
 
-gdax,BTCUSD,forex,BTCUSD,USD,1,0.01,0.01
-gdax,LTCUSD,forex,LTCUSD,USD,1,0.01,0.01
-gdax,ETHUSD,forex,ETHUSD,USD,1,0.01,0.01
-gdax,LTCBTC,forex,LTCBTC,BTC,1,0.00001,0.01
-gdax,ETHBTC,forex,ETHBTC,BTC,1,0.00001,0.01
-gdax,BTCGBP,forex,BTCGBP,GBP,1,0.01,0.01
-gdax,LTCGBP,forex,LTCGBP,GBP,1,0.01,0.01
-gdax,ETHGBP,forex,ETHGBP,GBP,1,0.01,0.01
-gdax,BTCEUR,forex,BTCEUR,EUR,1,0.01,0.01
-gdax,LTCEUR,forex,LTCEUR,EUR,1,0.01,0.01
-gdax,ETHEUR,forex,ETHEUR,EUR,1,0.01,0.01
+gdax,BTCUSD,crypto,BTCUSD,USD,1,0.01,0.01
+gdax,LTCUSD,crypto,LTCUSD,USD,1,0.01,0.01
+gdax,ETHUSD,crypto,ETHUSD,USD,1,0.01,0.01
+gdax,LTCBTC,crypto,LTCBTC,BTC,1,0.00001,0.01
+gdax,ETHBTC,crypto,ETHBTC,BTC,1,0.00001,0.01
+gdax,BTCGBP,crypto,BTCGBP,GBP,1,0.01,0.01
+gdax,LTCGBP,crypto,LTCGBP,GBP,1,0.01,0.01
+gdax,ETHGBP,crypto,ETHGBP,GBP,1,0.01,0.01
+gdax,BTCEUR,crypto,BTCEUR,EUR,1,0.01,0.01
+gdax,LTCEUR,crypto,LTCEUR,EUR,1,0.01,0.01
+gdax,ETHEUR,crypto,ETHEUR,EUR,1,0.01,0.01
diff --git a/Tests/Brokerages/GDAX/GDAXBrokerageIntegrationTests.cs b/Tests/Brokerages/GDAX/GDAXBrokerageIntegrationTests.cs
@@ -31,7 +31,7 @@ protected override Symbol Symbol
         /// </summary>
         protected override SecurityType SecurityType
         {
-            get { return SecurityType.Forex; }
+            get { return SecurityType.Crypto; }
         }
 
         /// <summary>

diff --git a/Tests/Brokerages/GDAX/GDAXBrokerageTests.cs b/Tests/Brokerages/GDAX/GDAXBrokerageTests.cs
@@ -63,7 +63,7 @@ public void Setup()
             _orderByIdData = File.ReadAllText("TestData//gdax_orderById.txt");
             _tickerData = File.ReadAllText("TestData//gdax_ticker.txt");
 
-            _symbol = Symbol.Create("BTCUSD", SecurityType.Forex, Market.GDAX);
+            _symbol = Symbol.Create("BTCUSD", SecurityType.Crypto, Market.GDAX);
 
             _rest.Setup(m => m.Execute(It.Is<IRestRequest>(r => r.Resource.StartsWith("/products/")))).Returns(new RestSharp.RestResponse
             {
@@ -336,8 +336,8 @@ public void SubscribeTest()
 
             _unit.Ticks.Clear();
 
-            _unit.Subscribe(Mock.Of<LiveNodePacket>(), new[] { Symbol.Create("BTCUSD", SecurityType.Forex, Market.GDAX), Symbol.Create("GBPUSD", SecurityType.Forex, Market.GDAX),
-                Symbol.Create("BTCETH", SecurityType.Forex, Market.GDAX)});
+            _unit.Subscribe(Mock.Of<LiveNodePacket>(), new[] { Symbol.Create("BTCUSD", SecurityType.Crypto, Market.GDAX), Symbol.Create("GBPUSD", SecurityType.Crypto, Market.GDAX),
+                Symbol.Create("BTCETH", SecurityType.Crypto, Market.GDAX)});
 
             StringAssert.Contains(expected, actual);
 
@@ -352,7 +352,7 @@ public void UnsubscribeTest()
         {
             string actual = null;
             _wss.Setup(w => w.Send(It.IsAny<string>())).Callback<string>(c => actual = c);
-            _unit.Unsubscribe(null, new List<Symbol> { Symbol.Create("BTCUSD", SecurityType.Forex, Market.GDAX) });
+            _unit.Unsubscribe(null, new List<Symbol> { Symbol.Create("BTCUSD", SecurityType.Crypto, Market.GDAX) });
             StringAssert.Contains("user", actual);
             StringAssert.Contains("heartbeat", actual);
             StringAssert.Contains("ticker", actual);

diff --git a/Tests/Brokerages/GDAX/GDAXTestHelpers.cs b/Tests/Brokerages/GDAX/GDAXTestHelpers.cs
@@ -19,7 +19,7 @@ public static Security GetSecurity(decimal price = 1m)
 
         private static SubscriptionDataConfig CreateConfig()
         {
-            return new SubscriptionDataConfig(typeof(TradeBar), Symbol.Create("BTCUSD", SecurityType.Forex, Market.GDAX), Resolution.Minute, TimeZones.Utc, TimeZones.Utc, 
+            return new SubscriptionDataConfig(typeof(TradeBar), Symbol.Create("BTCUSD", SecurityType.Crypto, Market.GDAX), Resolution.Minute, TimeZones.Utc, TimeZones.Utc, 
                 false, true, false);
         }
 

diff --git a/Tests/Common/Securities/SecurityManagerTests.cs b/Tests/Common/Securities/SecurityManagerTests.cs
@@ -121,7 +121,7 @@ public void NotifiesWhenSecurityRemoved()
 
         [TestCase("EURUSD", SecurityType.Forex, Market.FXCM)]
         [TestCase("EURUSD", SecurityType.Forex, Market.Oanda)]
-        [TestCase("BTCUSD", SecurityType.Crypto, Market.Bitfinex)]
+        [TestCase("BTCUSD", SecurityType.Crypto, Market.GDAX)]
         public void SecurityManagerCanCreate_ForexOrCrypto_WithCorrectSubscriptions(string ticker, SecurityType type, string market)
         {
             var symbol = Symbol.Create(ticker, type, market);

diff --git a/Tests/Symbols.cs b/Tests/Symbols.cs
@@ -103,7 +103,7 @@ private static Symbol CreateOptionSymbol(string symbol, OptionRight right, decim
 
         private static Symbol CreateCryptoSymbol(string symbol)
         {
-            return Symbol.Create(symbol, SecurityType.Crypto, Market.Bitfinex);
+            return Symbol.Create(symbol, SecurityType.Crypto, Market.GDAX);
         }
 
     }

diff --git a/Tests/ToolBox/LeanDataWriterTests.cs b/Tests/ToolBox/LeanDataWriterTests.cs
@@ -32,7 +32,7 @@ public void Setup()
             _cfd = Symbol.Create("BCOUSD", SecurityType.Cfd, Market.Oanda);
             _equity = Symbol.Create("spy", SecurityType.Equity, Market.USA);
             _date = DateTime.Parse("3/16/2017 12:00:00 PM", CultureInfo.InvariantCulture);
-            _crypto = Symbol.Create("BTCUSD", SecurityType.Crypto, Market.Bitfinex);
+            _crypto = Symbol.Create("BTCUSD", SecurityType.Crypto, Market.GDAX);
         }
 
         private List<Tick> GetTicks(Symbol sym)

diff --git a/ToolBox/QuandlBitfinexDownloader/Program.cs b/ToolBox/QuandlBitfinexDownloader/Program.cs
@@ -37,7 +37,6 @@ static void Main(string[] args)
             {
                 // Load settings from config.json
                 var dataDirectory = Config.Get("data-directory", "../../../Data");
-                var scaleFactor = Config.GetInt("bitfinex-scale-factor", 100);
 
                 // Create an instance of the downloader
                 const string market = Market.Bitfinex;
-Original file line number
+Diff line change
@@ Expand Up @@
             private static Symbol CreateCryptoSymbol(string symbol)
             {
-                return Symbol.Create(symbol, SecurityType.Crypto, Market.Bitfinex);
+                return Symbol.Create(symbol, SecurityType.Crypto, Market.GDAX);
             }
         }
@@ Expand Down @@