FXCM Tickdata

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Fiverr
Posts: 15
Joined: Tue Jan 20, 2015 2:42 pm

FXCM Tickdata

Post by Fiverr »

Did anyone have a chance to visit QuantConnect.com?

https://www.quantconnect.com/

Using the simple codes below, I was able to test the tick data of the EURUSD from FXCM. If someone can make a modification to the program, maybe we can extract the tick data of the EURUSD and other currency pairs.

Code: Select all

namespace QuantConnect 
{   
    /*
    *   QuantConnect University: Full Basic Template:
    *
    *   The underlying QCAlgorithm class is full of helper methods which enable you to use QuantConnect.
    *   We have explained some of these here, but the full algorithm can be found at:
    *   https://github.com/QuantConnect/QCAlgorithm/blob/master/QuantConnect.Algorithm/QCAlgorithm.cs
    */
    public class BasicTemplateAlgorithm : QCAlgorithm
    {
        //Initialize the data and resolution you require for your strategy:
        public override void Initialize()
        {
			
            //Start and End Date range for the backtest:
            SetStartDate(2007, 4, 1);         
            SetEndDate(DateTime.Now.Date.AddDays(-1)); 
            
            //Cash allocation
            SetCash(25000);
            
            //Add as many securities as you like. All the data will be passed into the event handler:
            AddSecurity(SecurityType.Forex, "EURUSD", Resolution.Tick);
    
        }

        //Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol.
        public void OnData(TradeBars data) 
        {   
            // "TradeBars" object holds many "TradeBar" objects: it is a dictionary indexed by the symbol:
            // 
            //  e.g.  data["MSFT"] data["GOOG"]
            
            if (!Portfolio.HoldStock) 
            {
                int quantity = (int)Math.Floor(Portfolio.Cash / data["EURUSD"].Close);
                
                //Order function places trades: enter the string symbol and the quantity you want:
                Order("EURUSD",  quantity);
                
                //Debug sends messages to the user console: "Time" is the algorithm time keeper object 
                Debug("Purchased EURUSD on " + Time.ToShortDateString());
                
                //You can also use log to send longer messages to a file. You are capped to 10kb
                //Log("This is a longer message send to log.");
            }
        }
    }
}

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