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.
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.");
}
}
}
}
