To set the market for a security, pass a market argument to the AddCryptoadd_crypto method.
Historical data for backtesting is unavailable for ICE, INDIA, SGX and NYSELIFFE. In live trading, LEAN sources this data from your brokerage or a third-party data provider.
You don't need to pass a Market argument to the AddFutureOptionContractadd_future_option_contract method because the contract Symbol already contains the market.
You don't need to pass a Marketmarket argument to the AddIndexOptionContractadd_index_option_contract method because the contract Symbol already contains the market.
The following Market enumeration members are available for Crypto:
The following Market enumeration members are available for Cryptofuture:
The following table describes the AccountType enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Margin | MARGIN | -0 | -Margin account type (0) | -
| Cash | CASH | -1 | -Cash account type (1) | -
The following table describes the AlgorithmMode enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Live | LIVE | -0 | -Live (0) | -
| Optimization | OPTIMIZATION | -1 | -Optimization (1) | -
| Backtesting | BACKTESTING | -2 | -Backtesting (2) | -
| Research | RESEARCH | -3 | -Research (3) | -
The following table describes the AlgorithmStatus enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| DeployError | DEPLOY_ERROR | -0 | -Error compiling algorithm at start (0) | -
| InQueue | IN_QUEUE | -1 | -Waiting for a server (1) | -
| Running | RUNNING | -2 | -Running algorithm (2) | -
| Stopped | STOPPED | -3 | -Stopped algorithm or exited with runtime errors (3) | -
| Liquidated | LIQUIDATED | -4 | -Liquidated algorithm (4) | -
| Deleted | DELETED | -5 | -Algorithm has been deleted (5) | -
| Completed | COMPLETED | -6 | -Algorithm completed running (6) | -
| RuntimeError | RUNTIME_ERROR | -7 | -Runtime Error Stoped Algorithm (7) | -
| Invalid | INVALID | -8 | -Error in the algorithm id (not used) (8) | -
| LoggingIn | LOGGING_IN | -9 | -The algorithm is logging into the brokerage (9) | -
| Initializing | INITIALIZING | -10 | -The algorithm is initializing (10) | -
| History | HISTORY | -11 | -History status update (11) | -
The following table describes the BarDirection enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Rising | RISING | -0 | -Rising bar (0) | -
| NoDelta | NO_DELTA | -1 | -No change (1) | -
| Falling | FALLING | -2 | -Falling bar (2) | -
The following table describes the BrokerageEnvironment enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Live | LIVE | -0 | -Live trading (0) | -
| Paper | PAPER | -1 | -Paper trading (1) | -
The following table describes the BrokerageMessageType enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Information | INFORMATION | -0 | -Informational message (0) | -
| Warning | WARNING | -1 | -Warning message (1) | -
| Error | ERROR | -2 | -Fatal error message, the algo will be stopped (2) | -
| Reconnect | RECONNECT | -3 | -Brokerage reconnected with remote server (3) | -
| Disconnect | DISCONNECT | -4 | -Brokerage disconnected from remote server (4) | -
The following table describes the CandleColor enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Black | BLACK | --1 | -Black is a down candle (close lower than open) (-1) | -
| White | WHITE | -1 | -White is an up candle (close higher or equal than open) (1) | -
The following table describes the CandleRangeType enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| RealBody | REAL_BODY | -0 | -The part of the candle between open and close (0) | -
| HighLow | HIGH_LOW | -1 | -The complete range of the candle (1) | -
| Shadows | SHADOWS | -2 | -The shadows (or tails) of the candle (2) | -
The following table describes the CandleSettingType enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| BodyLong | BODY_LONG | -0 | -Real body is long when it's longer than the average of the 10 previous candles' real body (0) | -
| BodyVeryLong | BODY_VERY_LONG | -1 | -Real body is very long when it's longer than 3 times the average of the 10 previous candles' real body (1) | -
| BodyShort | BODY_SHORT | -2 | -Real body is short when it's shorter than the average of the 10 previous candles' real bodies (2) | -
| BodyDoji | BODY_DOJI | -3 | -Real body is like doji's body when it's shorter than 10% the average of the 10 previous candles' high-low range (3) | -
| ShadowLong | SHADOW_LONG | -4 | -Shadow is long when it's longer than the real body (4) | -
| ShadowVeryLong | SHADOW_VERY_LONG | -5 | -Shadow is very long when it's longer than 2 times the real body (5) | -
| ShadowShort | SHADOW_SHORT | -6 | -Shadow is short when it's shorter than half the average of the 10 previous candles' sum of shadows (6) | -
| ShadowVeryShort | SHADOW_VERY_SHORT | -7 | -Shadow is very short when it's shorter than 10% the average of the 10 previous candles' high-low range (7) | -
| Near | NEAR | -8 | -When measuring distance between parts of candles or width of gaps "near" means "<= 20% of the average of the 5 previous candles' high-low range" (8) | -
| Far | FAR | -9 | -When measuring distance between parts of candles or width of gaps "far" means ">= 60% of the average of the 5 previous candles' high-low range" (9) | -
| Equal | EQUAL | -10 | -When measuring distance between parts of candles or width of gaps "equal" means "<= 5% of the average of the 5 previous candles' high-low range" (10) | -
The following table describes the CashBookUpdateType enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Added | ADDED | -0 | -A new Cash.Symbol was added (0) |
-
| Removed | REMOVED | -1 | -One or more Cash instances were removed (1) |
-
| Updated | UPDATED | -2 | -An existing Cash.Symbol was updated (2) |
-
The following table describes the ChannelStatus enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Vacated | VACATED | -"channel_vacated" | -The channel is empty | -
| Occupied | OCCUPIED | -"channel_occupied" | -The channel has subscribers | -
The following table describes the ChartType enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Overlay | OVERLAY | -0 | -Overlayed stacked (0) | -
| Stacked | STACKED | -1 | -Stacked series on top of each other. (1) | -
The following table describes the CrisisEvent enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| DotCom | DOT_COM | -0 | -DotCom bubble - https://en.wikipedia.org/wiki/Dot-com_bubble (0) | -
| SeptemberEleventh | SEPTEMBER_ELEVENTH | -1 | -September 11, 2001 attacks - https://en.wikipedia.org/wiki/September_11_attacks (1) | -
| USHousingBubble2003 | US_HOUSING_BUBBLE2003 | -2 | -United States housing bubble - https://en.wikipedia.org/wiki/United_States_housing_bubble (2) | -
| GlobalFinancialCrisis | GLOBAL_FINANCIAL_CRISIS | -3 | -https://en.wikipedia.org/wiki/Financial_crisis_of_2007%E2%80%9308 (3) | -
| FlashCrash | FLASH_CRASH | -4 | -The flash crash of 2010 - https://en.wikipedia.org/wiki/2010_Flash_Crash (4) | -
| FukushimaMeltdown | FUKUSHIMA_MELTDOWN | -5 | -Fukushima nuclear power plant meltdown - https://en.wikipedia.org/wiki/Fukushima_Daiichi_nuclear_disaster (5) | -
| USDowngradeEuropeanDebt | US_DOWNGRADE_EUROPEAN_DEBT | -6 | -United States credit rating downgrade - https://en.wikipedia.org/wiki/United_States_federal_government_credit-rating_downgrades European debt crisis - https://en.wikipedia.org/wiki/European_debt_crisis (6) | -
| EurozoneSeptember2012 | EUROZONE_SEPTEMBER2012 | -7 | -European debt crisis - https://en.wikipedia.org/wiki/European_debt_crisis (7) | -
| EurozoneOctober2014 | EUROZONE_OCTOBER2014 | -8 | -European debt crisis - https://en.wikipedia.org/wiki/European_debt_crisis (8) | -
| MarketSellOff2015 | MARKET_SELL_OFF2015 | -9 | -2015-2016 market sell off https://en.wikipedia.org/wiki/2015%E2%80%9316_stock_market_selloff (9) | -
| Recovery | RECOVERY | -10 | -Crisis recovery (2010 - 2012) (10) | -
| NewNormal | NEW_NORMAL | -11 | -2014 - 2019 market performance (11) | -
| COVID19 | COVID19 | -12 | -COVID-19 pandemic market crash (12) | -
| PostCOVIDRunUp | POST_C_O_V_I_D_RUN_UP | -13 | -Post COVID-19 recovery (13) | -
| MemeSeason | MEME_SEASON | -14 | -Meme-craze era like GME, AMC, and DOGE (14) | -
| RussiaInvadesUkraine | RUSSIA_INVADES_UKRAINE | -15 | -Russia invased Ukraine (15) | -
| AIBoom | A_I_BOOM | -16 | -Artificial intelligence boom (16) | -
The following table describes the DataFeedEndpoint enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Backtesting | BACKTESTING | -0 | -Backtesting Datafeed Endpoint (0) | -
| FileSystem | FILE_SYSTEM | -1 | -Loading files off the local system (1) | -
| LiveTrading | LIVE_TRADING | -2 | -Getting datafeed from a QC-Live-Cloud (2) | -
| Database | DATABASE | -3 | -Database (3) | -
The following table describes the DataMappingMode enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| LastTradingDay | LAST_TRADING_DAY | -0 | -The contract maps on the previous day of expiration of the front month (0) | -
| FirstDayMonth | FIRST_DAY_MONTH | -1 | -The contract maps on the first date of the delivery month of the front month. If the contract expires prior to this date, then it rolls on the contract's last trading date instead (1) For example, the Crude Oil WTI (CL) 'DEC 2021 CLZ1' contract expires on November, 19 2021, so the mapping date will be its expiration date. Another example is the Corn 'DEC 2021 ZCZ1' contract, which expires on December, 14 2021, so the mapping date will be December 1, 2021. | -
| OpenInterest | OPEN_INTEREST | -2 | -The contract maps when the following back month contract has a higher open interest that the current front month (2) | -
| OpenInterestAnnual | OPEN_INTEREST_ANNUAL | -3 | -The contract maps when any of the back month contracts of the next year have a higher volume that the current front month (3) | -
The following table describes the DataNormalizationMode enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Raw | RAW | -0 | -No modifications to the asset price at all. For Equities, dividends are paid in cash and splits are applied directly to your portfolio quantity. (0) | -
| Adjusted | ADJUSTED | -1 | -Splits and dividends are backward-adjusted into the price of the asset. The price today is identical to the current market price. (1) | -
| SplitAdjusted | SPLIT_ADJUSTED | -2 | -Equity splits are applied to the price adjustment but dividends are paid in cash to your portfolio. This normalization mode allows you to manage dividend payments (e.g. reinvestment) while still giving a smooth time series of prices for indicators. (2) | -
| TotalReturn | TOTAL_RETURN | -3 | -Equity splits are applied to the price adjustment and the value of all future dividend payments is added to the initial asset price. (3) | -
| ForwardPanamaCanal | FORWARD_PANAMA_CANAL | -4 | -Eliminates price jumps between two consecutive contracts, adding a factor based on the difference of their prices. The first contract has the true price. Factor 0. (4) First contract is the true one, factor 0 | -
| BackwardsPanamaCanal | BACKWARDS_PANAMA_CANAL | -5 | -Eliminates price jumps between two consecutive contracts, adding a factor based on the difference of their prices. The last contract has the true price. Factor 0. (5) Last contract is the true one, factor 0 | -
| BackwardsRatio | BACKWARDS_RATIO | -6 | -Eliminates price jumps between two consecutive contracts, multiplying the prices by their ratio. The last contract has the true price. Factor 1. (6) Last contract is the true one, factor 1 | -
| ScaledRaw | SCALED_RAW | -7 | -Splits and dividends are adjusted into the prices in a given date. Only for history requests. (7) | -
The following table describes the DateFormat enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| SixCharacter | SIX_CHARACTER | -"yyMMdd" | -Year-Month-Date 6 Character Date Representation | -
| EightCharacter | EIGHT_CHARACTER | -"yyyyMMdd" | -YYYY-MM-DD Eight Character Date Representation | -
| TwelveCharacter | TWELVE_CHARACTER | -"yyyyMMdd HH:mm" | -Daily and hourly time format | -
| DB | DB | -"yyyy-MM-dd HH:mm:ss" | -MySQL Format Date Representation | -
| UI | UI | -"yyyy-MM-dd HH:mm:ss" | -QuantConnect UX Date Representation | -
| USShort | US_SHORT | -"M/d/yy h:mm tt" | -en-US Short Date and Time Pattern | -
| USShortDateOnly | US_SHORT_DATE_ONLY | -"M/d/yy" | -en-US Short Date Pattern | -
| US | US | -"M/d/yyyy h:mm:ss tt" | -en-US format | -
| USDateOnly | US_DATE_ONLY | -"M/d/yyyy" | -en-US Date format | -
| Forex | FOREX | -"yyyyMMdd HH:mm:ss.ffff" | -Date format of QC forex data | -
| FIX | FIX | -"yyyyMMdd-HH:mm:ss" | -Date format of FIX Protocol UTC Timestamp without milliseconds | -
| FIXWithMillisecond | F_I_X_WITH_MILLISECOND | -"yyyyMMdd-HH:mm:ss.fff" | -Date format of FIX Protocol UTC Timestamp with milliseconds | -
| YearMonth | YEAR_MONTH | -"yyyyMM" | -YYYYMM Year and Month Character Date Representation (used for futures) | -
The following table describes the DelistingType enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Warning | WARNING | -0 | -Specifies a warning of an imminent delisting (0) | -
| Delisted | DELISTED | -1 | -Specifies the symbol has been delisted (1) | -
The following table describes the DeploymentTarget enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| CloudPlatform | CLOUD_PLATFORM | -0 | -Cloud Platform (0) | -
| LocalPlatform | LOCAL_PLATFORM | -1 | -Local Platform (1) | -
The following table describes the Field class selector methods:
| Value | -Description | -
|---|---|
Field.Open |
- Selects the Open price |
-
Field.High |
- Selects the High price |
-
Field.Low |
- Selects the Low price |
-
Field.Close |
- Selects the Close value |
-
Field.Volume |
- Selects the Volume. The value is zero if no TradeBar information is available. |
-
Field.Average |
- Selects the Average price that is equal to (O + H + L + C) / 4 |
-
Field.Median |
- Selects the Median price that is equal to (H + L) / 2 |
-
Field.Typical |
- Selects the Typical price that is equal to (H + L + C) / 3 |
-
Field.Weighted |
- Selects the Weighted price that is equal to (H + L + 2 * C) / 4 |
-
Field.SevenBar |
- Selects the SevenBar price that is equal to (2 * O + H + L + 3 * C)/7 |
-
The following table describes the FileFormat enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Csv | CSV | -0 | -Comma separated values (0) | -
| Binary | BINARY | -1 | -Binary file data (1) | -
| ZipEntryName | ZIP_ENTRY_NAME | -2 | -Only the zip entry names are read in as symbols (2) | -
| UnfoldingCollection | UNFOLDING_COLLECTION | -3 | -Reader returns a BaseDataCollection object (3) Lean will unfold the collection and consume it as individual data points | -
| Index | INDEX | -4 | -Data stored using an intermediate index source (4) | -
| FoldingCollection | FOLDING_COLLECTION | -5 | -Data type inherits from BaseDataCollection. Reader method can return a non BaseDataCollection type which will be folded, based on unique time, into an instance of the data type (5) | -
The following table describes the FillGroupingMethod enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| FillToFill | FILL_TO_FILL | -0 | -A Trade is defined by a fill that establishes or increases a position and an offsetting fill that reduces the position size (0) | -
| FlatToFlat | FLAT_TO_FLAT | -1 | -A Trade is defined by a sequence of fills, from a flat position to a non-zero position which may increase or decrease in quantity, and back to a flat position (1) | -
| FlatToReduced | FLAT_TO_REDUCED | -2 | -A Trade is defined by a sequence of fills, from a flat position to a non-zero position and an offsetting fill that reduces the position size (2) | -
The following table describes the FillMatchingMethod enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| FIFO | FIFO | -0 | -First In First Out fill matching method (0) | -
| LIFO | LIFO | -1 | -Last In Last Out fill matching method (1) | -
The following table describes the IndiaProductType enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| MIS | MIS | -0 | -Margin Intraday Square Off (0) | -
| CNC | CNC | -1 | -Cash and Carry (1) | -
| NRML | NRML | -2 | -Normal (2) | -
The following table describes the IndicatorStatus enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Success | SUCCESS | -0 | -The indicator successfully calculated a value for the input data (0) | -
| InvalidInput | INVALID_INPUT | -1 | -The indicator detected an invalid input data point or tradebar (1) | -
| MathError | MATH_ERROR | -2 | -The indicator encountered a math error during calculations (2) | -
| ValueNotReady | VALUE_NOT_READY | -3 | -The indicator value is not ready (3) | -
The following table describes the InsightDirection enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Down | DOWN | --1 | -The value will go down (-1) | -
| Flat | FLAT | -0 | -The value will stay flat (0) | -
| Up | UP | -1 | -The value will go up (1) | -
The following table describes the InsightScoreType enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Direction | DIRECTION | -0 | -Directional accuracy (0) | -
| Magnitude | MAGNITUDE | -1 | -Magnitude accuracy (1) | -
The following table describes the InsightType enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Price | PRICE | -0 | -The insight is for a security's price (0) | -
| Volatility | VOLATILITY | -1 | -The insight is for a security's price volatility (1) | -
The following table describes the Language enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| CSharp | C_SHARP | -0 | -C# Language Project (0) | -
| FSharp | F_SHARP | -1 | -FSharp Project (1) | -
| VisualBasic | VISUAL_BASIC | -2 | -Visual Basic Project (2) | -
| Java | JAVA | -3 | -Java Language Project (3) | -
| Python | PYTHON | -4 | -Python Language Project (4) | -
The following Market enumeration members are available for Crypto:
The following table describes the Market enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| USA | USA | -"usa" | -USA Market | -
| Oanda | OANDA | -"oanda" | -Oanda Market | -
| FXCM | FXCM | -"fxcm" | -FXCM Market Hours | -
| Dukascopy | DUKASCOPY | -"dukascopy" | -Dukascopy Market | -
| Bitfinex | BITFINEX | -"bitfinex" | -Bitfinex market | -
| Globex | GLOBEX | -"cmeglobex" | -CME Globex | -
| NYMEX | NYMEX | -"nymex" | -NYMEX | -
| CBOT | CBOT | -"cbot" | -CBOT | -
| ICE | ICE | -"ice" | -ICE | -
| CBOE | CBOE | -"cboe" | -CBOE | -
| CFE | CFE | -"cfe" | -CFE | -
| India | INDIA | -"india" | -NSE - National Stock Exchange | -
| COMEX | COMEX | -"comex" | -Comex | -
| CME | CME | -"cme" | -CME | -
| SGX | SGX | -"sgx" | -Singapore Exchange | -
| HKFE | HKFE | -"hkfe" | -Hong Kong Exchange | -
| NYSELIFFE | NYSELIFFE | -"nyseliffe" | -London International Financial Futures and Options Exchange | -
| GDAX | GDAX | -Coinbase | -- |
| Kraken | KRAKEN | -"kraken" | -Kraken | -
| Bitstamp | BITSTAMP | -"bitstamp" | -Bitstamp | -
| OkCoin | OK_COIN | -"okcoin" | -OkCoin | -
| Bithumb | BITHUMB | -"bithumb" | -Bithumb | -
| Binance | BINANCE | -"binance" | -Binance | -
| Poloniex | POLONIEX | -"poloniex" | -Poloniex | -
| Coinone | COINONE | -"coinone" | -Coinone | -
| HitBTC | HIT_B_T_C | -"hitbtc" | -HitBTC | -
| Bittrex | BITTREX | -"bittrex" | -Bittrex | -
| FTX | FTX | -"ftx" | -FTX | -
| FTXUS | FTXUS | -"ftxus" | -FTX.US | -
| BinanceUS | BINANCE_US | -"binanceus" | -Binance.US | -
| Bybit | BYBIT | -"bybit" | -Bybit | -
| Coinbase | COINBASE | -"coinbase" | -Coinbase | -
| InteractiveBrokers | INTERACTIVE_BROKERS | -"interactivebrokers" | -InteractiveBrokers market | -
The following table describes the MarketDataType enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Base | BASE | -0 | -Base market data type (0) | -
| TradeBar | TRADE_BAR | -1 | -TradeBar market data type (OHLC summary bar) (1) | -
| Tick | TICK | -2 | -Tick market data type (price-time pair) (2) | -
| Auxiliary | AUXILIARY | -3 | -Data associated with an instrument (3) | -
| QuoteBar | QUOTE_BAR | -4 | -QuoteBar market data type (4) [Bid(OHLC), Ask(OHLC) and Mid(OHLC) summary bar] | -
| OptionChain | OPTION_CHAIN | -5 | -Option chain data (5) | -
| FuturesChain | FUTURES_CHAIN | -6 | -Futures chain data (6) | -
The following table describes the MarketHoursState enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Closed | CLOSED | -0 | -The market is not open (0) | -
| PreMarket | PRE_MARKET | -1 | -The market is open, but before normal trading hours (1) | -
| Market | MARKET | -2 | -The market is open and within normal trading hours (2) | -
| PostMarket | POST_MARKET | -3 | -The market is open, but after normal trading hours (3) | -
The following table describes the MovingAverageType enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Simple | SIMPLE | -0 | -An unweighted, arithmetic mean (0) | -
| Exponential | EXPONENTIAL | -1 | -The standard exponential moving average, using a smoothing factor of 2/(n+1) (1) | -
| Wilders | WILDERS | -2 | -An exponential moving average, using a smoothing factor of 1/n and simple moving average as seeding (2) | -
| LinearWeightedMovingAverage | LINEAR_WEIGHTED_MOVING_AVERAGE | -3 | -A weighted moving average type (3) | -
| DoubleExponential | DOUBLE_EXPONENTIAL | -4 | -The double exponential moving average (4) | -
| TripleExponential | TRIPLE_EXPONENTIAL | -5 | -The triple exponential moving average (5) | -
| Triangular | TRIANGULAR | -6 | -The triangular moving average (6) | -
| T3 | T3 | -7 | -The T3 moving average (7) | -
| Kama | KAMA | -8 | -The Kaufman Adaptive Moving Average (8) | -
| Hull | HULL | -9 | -The Hull Moving Average (9) | -
| Alma | ALMA | -10 | -The Arnaud Legoux Moving Average (10) | -
The following table describes the OptimizationStatus enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| New | NEW | -0 | -Just created and not running optimization (0) | -
| Aborted | ABORTED | -1 | -We failed or we were aborted (1) | -
| Running | RUNNING | -2 | -We are running (2) | -
| Completed | COMPLETED | -3 | -Optimization job has completed (3) | -
The following table describes the OptionRight enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Call | CALL | -0 | -A call option, the right to buy at the strike price (0) | -
| Put | PUT | -1 | -A put option, the right to sell at the strike price (1) | -
The following table describes the OptionStyle enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| American | AMERICAN | -0 | -American style options are able to be exercised at any time on or before the expiration date (0) | -
| European | EUROPEAN | -1 | -European style options are able to be exercised on the expiration date only (1) | -
The following table describes the OrderDirection enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Buy | BUY | -0 | -Buy Order (0) | -
| Sell | SELL | -1 | -Sell Order (1) | -
| Hold | HOLD | -2 | -Default Value - No Order Direction (2) Unfortunately this does not have a value of zero because there are backtests saved that reference the values in this order | -
The following table describes the OrderError enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| CanNotUpdateFilledOrder | CAN_NOT_UPDATE_FILLED_ORDER | --8 | -- |
| GeneralError | GENERAL_ERROR | --7 | -- |
| TimestampError | TIMESTAMP_ERROR | --6 | -- |
| MaxOrdersExceeded | MAX_ORDERS_EXCEEDED | --5 | -- |
| InsufficientCapital | INSUFFICIENT_CAPITAL | --4 | -- |
| MarketClosed | MARKET_CLOSED | --3 | -- |
| NoData | NO_DATA | --2 | -- |
| ZeroQuantity | ZERO_QUANTITY | --1 | -- |
| None | NONE | -0 | -- |
The following table describes the OrderField enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| LimitPrice | LIMIT_PRICE | -0 | -The limit price for a LimitOrder, StopLimitOrder or LimitIfTouchedOrder (0) |
-
| StopPrice | STOP_PRICE | -1 | -The stop price for stop orders (StopMarketOrder, StopLimitOrder) (1) |
-
| TriggerPrice | TRIGGER_PRICE | -2 | -The trigger price for a LimitIfTouchedOrder (2) |
-
| TrailingAmount | TRAILING_AMOUNT | -3 | -The trailing amount for a TrailingStopOrder (3) |
-
| TrailingAsPercentage | TRAILING_AS_PERCENTAGE | -4 | -Whether the trailing amount for a TrailingStopOrder is a percentage or an absolute currency value (4) |
-
The following table describes the OrderPosition enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| BuyToOpen | BUY_TO_OPEN | -0 | -Indicates the buy order will result in a long position, starting either from zero or an existing long position (0) | -
| BuyToClose | BUY_TO_CLOSE | -1 | -Indicates the buy order is starting from an existing short position, resulting in a closed or long position (1) | -
| SellToOpen | SELL_TO_OPEN | -2 | -Indicates the sell order will result in a short position, starting either from zero or an existing short position (2) | -
| SellToClose | SELL_TO_CLOSE | -3 | -Indicates the sell order is starting from an existing long position, resulting in a closed or short position (3) | -
The following table describes the OrderRequestStatus enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Unprocessed | UNPROCESSED | -0 | -This is an unprocessed request (0) | -
| Processing | PROCESSING | -1 | -This request is partially processed (1) | -
| Processed | PROCESSED | -2 | -This request has been completely processed (2) | -
| Error | ERROR | -3 | -This request encountered an error (3) | -
The following table describes the OrderRequestType enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Submit | SUBMIT | -0 | -The request is a SubmitOrderRequest (0) |
-
| Update | UPDATE | -1 | -The request is a UpdateOrderRequest (1) |
-
| Cancel | CANCEL | -2 | -The request is a CancelOrderRequest (2) |
-
The following table describes the OrderResponseErrorCode enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| OptionOrderOnStockSplit | OPTION_ORDER_ON_STOCK_SPLIT | --34 | -Option order is invalid due to underlying stock split (-34) | -
| EuropeanOptionNotExpiredOnExercise | EUROPEAN_OPTION_NOT_EXPIRED_ON_EXERCISE | --33 | -Exercise time before expiry for European options (-33) | -
| InvalidNewOrderStatus | INVALID_NEW_ORDER_STATUS | --32 | -Cannot update/cancel orders with OrderStatus.New (-32) | -
| ExceedsShortableQuantity | EXCEEDS_SHORTABLE_QUANTITY | --31 | -The order's quantity exceeds the max shortable quantity set by the brokerage (-31) | -
| OrderQuantityLessThanLotSize | ORDER_QUANTITY_LESS_THAN_LOT_SIZE | --30 | -Cannot submit or update orders with quantity that is less than lot size (-30) | -
| NonExercisableSecurity | NON_EXERCISABLE_SECURITY | --29 | -The order's symbol references a non-exercisable security (-29) | -
| NonTradableSecurity | NON_TRADABLE_SECURITY | --28 | -The order's symbol references a non-tradable security (-28) | -
| ConversionRateZero | CONVERSION_RATE_ZERO | --27 | -Need conversion rate to account currency (-27) | -
| QuoteCurrencyRequired | QUOTE_CURRENCY_REQUIRED | --26 | -Need quote currency in cashbook to trade (-26) | -
| BrokerageModelRefusedToUpdateOrder | BROKERAGE_MODEL_REFUSED_TO_UPDATE_ORDER | --25 | -Internal logic invalidated update order (-25) | -
| AlgorithmWarmingUp | ALGORITHM_WARMING_UP | --24 | -All orders are invalidated while algorithm is warming up (-24) | -
| RequestCanceled | REQUEST_CANCELED | --23 | -Request was canceled by user (-23) | -
| InvalidRequest | INVALID_REQUEST | --22 | -Request is invalid or null (-22) | -
| MarketOnCloseOrderTooLate | MARKET_ON_CLOSE_ORDER_TOO_LATE | --21 | -Below buffer time for MOC order to be placed before exchange closes. 15.5 minutes by default (-21) | -
| ExceededMaximumOrders | EXCEEDED_MAXIMUM_ORDERS | --20 | -Transaction manager's cache is full (-20) | -
| SecurityHasNoData | SECURITY_HAS_NO_DATA | --19 | -Should not attempt trading without at least one data point (-19) | -
| ForexConversionRateZero | FOREX_CONVERSION_RATE_ZERO | --18 | -Need conversion rate to account currency (-18) | -
| ForexBaseAndQuoteCurrenciesRequired | FOREX_BASE_AND_QUOTE_CURRENCIES_REQUIRED | --17 | -Need both currencies in cashbook to trade a pair (-17) | -
| SecurityPriceZero | SECURITY_PRICE_ZERO | --16 | -Zero security price is probably due to bad data (-16) | -
| ExchangeNotOpen | EXCHANGE_NOT_OPEN | --15 | -Some order types require open exchange (-15) | -
| MissingSecurity | MISSING_SECURITY | --14 | -Security is missing. Probably did not subscribe (-14) | -
| PreOrderChecksError | PRE_ORDER_CHECKS_ERROR | --13 | -Unknown error during pre order request validation (-13) | -
| UnsupportedRequestType | UNSUPPORTED_REQUEST_TYPE | --12 | -This type of request is unsupported (-12) | -
| OrderQuantityZero | ORDER_QUANTITY_ZERO | --11 | -Cannot submit or update orders with zero quantity (-11) | -
| UnableToFindOrder | UNABLE_TO_FIND_ORDER | --10 | -Missing order (-10) | -
| InvalidOrderStatus | INVALID_ORDER_STATUS | --9 | -Only pending orders can be canceled (-9) | -
| BrokerageFailedToCancelOrder | BROKERAGE_FAILED_TO_CANCEL_ORDER | --8 | -Brokerage cancel error (-8) | -
| BrokerageHandlerRefusedToUpdateOrder | BROKERAGE_HANDLER_REFUSED_TO_UPDATE_ORDER | --7 | -Internal logic invalidated update order (-7) | -
| BrokerageFailedToUpdateOrder | BROKERAGE_FAILED_TO_UPDATE_ORDER | --6 | -Brokerage update error (-6) | -
| BrokerageFailedToSubmitOrder | BROKERAGE_FAILED_TO_SUBMIT_ORDER | --5 | -Brokerage submit error (-5) | -
| BrokerageModelRefusedToSubmitOrder | BROKERAGE_MODEL_REFUSED_TO_SUBMIT_ORDER | --4 | -Internal logic invalidated submit order (-4) | -
| InsufficientBuyingPower | INSUFFICIENT_BUYING_POWER | --3 | -Not enough money to to submit order (-3) | -
| OrderAlreadyExists | ORDER_ALREADY_EXISTS | --2 | -Cannot submit because order already exists (-2) | -
| ProcessingError | PROCESSING_ERROR | --1 | -Unknown error (-1) | -
| None | NONE | -0 | -No error (0) | -
The following table describes the OrderStatus enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| New | NEW | -0 | -New order pre-submission to the order processor (0) | -
| Submitted | SUBMITTED | -1 | -Order submitted to the market (1) | -
| PartiallyFilled | PARTIALLY_FILLED | -2 | -Partially filled, In Market Order (2) | -
| Filled | FILLED | -3 | -Completed, Filled, In Market Order (3) | -
| Canceled | CANCELED | -5 | -Order cancelled before it was filled (5) | -
| None | NONE | -6 | -No Order State Yet (6) | -
| Invalid | INVALID | -7 | -Order invalidated before it hit the market (e.g. insufficient capital) (7) | -
| CancelPending | CANCEL_PENDING | -8 | -Order waiting for confirmation of cancellation (8) | -
| UpdateSubmitted | UPDATE_SUBMITTED | -9 | -Order update submitted to the market (9) | -
The following table describes the OrderType enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Market | MARKET | -0 | -Market Order Type (0) | -
| Limit | LIMIT | -1 | -Limit Order Type (1) | -
| StopMarket | STOP_MARKET | -2 | -Stop Market Order Type - Fill at market price when break target price (2) | -
| StopLimit | STOP_LIMIT | -3 | -Stop limit order type - trigger fill once pass the stop price; but limit fill to limit price (3) | -
| MarketOnOpen | MARKET_ON_OPEN | -4 | -Market on open type - executed on exchange open (4) | -
| MarketOnClose | MARKET_ON_CLOSE | -5 | -Market on close type - executed on exchange close (5) | -
| OptionExercise | OPTION_EXERCISE | -6 | -Option Exercise Order Type (6) | -
| LimitIfTouched | LIMIT_IF_TOUCHED | -7 | -Limit if Touched Order Type - a limit order to be placed after first reaching a trigger value (7) | -
| ComboMarket | COMBO_MARKET | -8 | -Combo Market Order Type - (8) | -
| ComboLimit | COMBO_LIMIT | -9 | -Combo Limit Order Type - (9) | -
| ComboLegLimit | COMBO_LEG_LIMIT | -10 | -Combo Leg Limit Order Type - (10) | -
| TrailingStop | TRAILING_STOP | -11 | -Trailing Stop Order Type - (11) | -
The following table describes the Period enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| TenSeconds | TEN_SECONDS | -10 | -Period Short Codes - 10 | -
| ThirtySeconds | THIRTY_SECONDS | -30 | -Period Short Codes - 30 Second | -
| OneMinute | ONE_MINUTE | -60 | -Period Short Codes - 60 Second | -
| TwoMinutes | TWO_MINUTES | -120 | -Period Short Codes - 120 Second | -
| ThreeMinutes | THREE_MINUTES | -180 | -Period Short Codes - 180 Second | -
| FiveMinutes | FIVE_MINUTES | -300 | -Period Short Codes - 300 Second | -
| TenMinutes | TEN_MINUTES | -600 | -Period Short Codes - 600 Second | -
| FifteenMinutes | FIFTEEN_MINUTES | -900 | -Period Short Codes - 900 Second | -
| TwentyMinutes | TWENTY_MINUTES | -1200 | -Period Short Codes - 1200 Second | -
| ThirtyMinutes | THIRTY_MINUTES | -1800 | -Period Short Codes - 1800 Second | -
| OneHour | ONE_HOUR | -3600 | -Period Short Codes - 3600 Second | -
| TwoHours | TWO_HOURS | -7200 | -Period Short Codes - 7200 Second | -
| FourHours | FOUR_HOURS | -14400 | -Period Short Codes - 14400 Second | -
| SixHours | SIX_HOURS | -21600 | -Period Short Codes - 21600 Second | -
The following table describes the PivotPointType enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Low | LOW | --1 | -Low pivot point (-1) | -
| None | NONE | -0 | -No pivot point (0) | -
| High | HIGH | -1 | -High pivot point (1) | -
| Both | BOTH | -2 | -Both high and low pivot point (2) | -
The following table describes the PortfolioBias enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Short | SHORT | --1 | -Portfolio can only have short positions (-1) | -
| LongShort | LONG_SHORT | -0 | -Portfolio can have both long and short positions (0) | -
| Long | LONG | -1 | -Portfolio can only have long positions (1) | -
The following table describes the PositionSide enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Short | SHORT | --1 | -A short position, quantity less than zero (-1) | -
| None | NONE | -0 | -No position, quantity equals zero (0) | -
| Long | LONG | -1 | -A long position, quantity greater than zero (1) | -
The following table describes the PredicateTargetValue enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Right | RIGHT | -0 | -Predicate matches on OptionPosition.Right (0) |
-
| Quantity | QUANTITY | -1 | -Predicate match on OptionPosition.Quantity (1) |
-
| Strike | STRIKE | -2 | -Predicate matches on OptionPosition.Strike (2) |
-
| Expiration | EXPIRATION | -3 | -Predicate matches on OptionPosition.Expiration (3) |
-
The following table describes the RenkoType enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Classic | CLASSIC | -0 | -Indicates that the RenkoConsolidator works in its original implementation; Specifically: - It only returns a single bar, at most, irrespective of tick movement - It will emit consecutive bars side by side - By default even bars are created (0) the Classic mode has only been retained for backwards compatibility with existing code. | -
| Wicked | WICKED | -1 | -Indicates that the RenkoConsolidator works properly; Specifically: - returns zero or more bars per tick, as appropriate. - Will not emit consecutive bars side by side - Creates (1) | -
The following table describes the Resolution enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Tick | TICK | -0 | -Tick Resolution (0) | -
| Second | SECOND | -1 | -Second Resolution (1) | -
| Minute | MINUTE | -2 | -Minute Resolution (2) | -
| Hour | HOUR | -3 | -Hour Resolution (3) | -
| Daily | DAILY | -4 | -Daily Resolution (4) | -
The following table describes the ScatterMarkerSymbol enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| None | NONE | -0 | -Circle symbol (0) | -
| Circle | CIRCLE | -1 | -Circle symbol (1) | -
| Square | SQUARE | -2 | -Square symbol (2) | -
| Diamond | DIAMOND | -3 | -Diamond symbol (3) | -
| Triangle | TRIANGLE | -4 | -Triangle symbol (4) | -
| TriangleDown | TRIANGLE_DOWN | -5 | -Triangle-down symbol (5) | -
The following table describes the SecurityType enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Base | BASE | -0 | -Base class for all security types (0) | -
| Equity | EQUITY | -1 | -US Equity Security (1) | -
| Option | OPTION | -2 | -Option Security Type (2) | -
| Commodity | COMMODITY | -3 | -Commodity Security Type (3) | -
| Forex | FOREX | -4 | -FOREX Security (4) | -
| Future | FUTURE | -5 | -Future Security Type (5) | -
| Cfd | CFD | -6 | -Contract For a Difference Security Type (6) | -
| Crypto | CRYPTO | -7 | -Cryptocurrency Security Type (7) | -
| FutureOption | FUTURE_OPTION | -8 | -Futures Options Security Type (8) Futures options function similar to equity options, but with a few key differences. Firstly, the contract unit of trade is 1x, rather than 100x. This means that each option represents the right to buy or sell 1 future contract at expiry/exercise. The contract multiplier for Futures Options plays a big part in determining the premium of the option, which can also differ from the underlying future's multiplier. | -
| Index | INDEX | -9 | -Index Security Type (9) | -
| IndexOption | INDEX_OPTION | -10 | -Index Option Security Type (10) For index options traded on American markets, they tend to be European-style options and are Cash-settled. | -
| CryptoFuture | CRYPTO_FUTURE | -11 | -Crypto Future Type (11) | -
The following table describes the SeriesType enumeration members:
| Member | -Value | -Description | -
|---|---|---|
| Line | -0 | -Line Plot for Value Types (0) | -
| Scatter | -1 | -Scatter Plot for Chart Distinct Types (1) | -
| Candle | -2 | -Charts (2) | -
| Bar | -3 | -Bar chart (3) | -
| Flag | -4 | -Flag indicators (4) | -
| StackedArea | -5 | -100% area chart showing relative proportions of series values at each time index (5) | -
| Pie | -6 | -Pie chart (6) | -
| Treemap | -7 | -Treemap Plot (7) | -
The following table describes the ServerType enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Server512 | SERVER512 | -0 | -Additional server (0) | -
| Server1024 | SERVER1024 | -1 | -Upgraded server (1) | -
| Server2048 | SERVER2048 | -2 | -Server with 2048 MB Ram (2) | -
The following table describes the SettlementType enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| PhysicalDelivery | PHYSICAL_DELIVERY | -0 | -Physical delivery of the underlying security (0) | -
| Cash | CASH | -1 | -Cash is paid/received on settlement (1) | -
The following table describes the SplitType enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Warning | WARNING | -0 | -Specifies a warning of an imminent split event (0) | -
| SplitOccurred | SPLIT_OCCURRED | -1 | -Specifies the symbol has been split (1) | -
The following table describes the StoragePermissions enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Public | PUBLIC | -0 | -Public Storage Permissions (0) | -
| Authenticated | AUTHENTICATED | -1 | -Authenticated Read Storage Permissions (1) | -
The following table describes the SubscriptionTransportMedium enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| LocalFile | LOCAL_FILE | -0 | -The subscription's data comes from disk (0) | -
| RemoteFile | REMOTE_FILE | -1 | -The subscription's data is downloaded from a remote source (1) | -
| Rest | REST | -2 | -The subscription's data comes from a rest call that is polled and returns a single line/data point of information (2) | -
| Streaming | STREAMING | -3 | -The subscription's data is streamed (3) | -
| ObjectStore | OBJECT_STORE | -4 | -The subscription's data comes from the object store (4) | -
The following table describes the SwissArmyKnifeTool enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Gauss | GAUSS | -0 | -Two Pole Gaussian Filter (0) | -
| Butter | BUTTER | -1 | -Two Pole Butterworth Filter (1) | -
| HighPass | HIGH_PASS | -2 | -High Pass Filter (2) | -
| TwoPoleHighPass | TWO_POLE_HIGH_PASS | -3 | -Two Pole High Pass Filter (3) | -
| BandPass | BAND_PASS | -4 | -BandPass Filter (4) | -
The following table describes the TickType enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Trade | TRADE | -0 | -Trade type tick object (0) | -
| Quote | QUOTE | -1 | -Quote type tick object (1) | -
| OpenInterest | OPEN_INTEREST | -2 | -Open Interest type tick object (for options, futures) (2) | -
The following table describes the TradeDirection enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Long | LONG | -0 | -Long direction (0) | -
| Short | SHORT | -1 | -Short direction (1) | -
The following table describes the TradingDayType enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| BusinessDay | BUSINESS_DAY | -0 | -Business day (0) | -
| PublicHoliday | PUBLIC_HOLIDAY | -1 | -Public Holiday (1) | -
| Weekend | WEEKEND | -2 | -Weekend (2) | -
| OptionExpiration | OPTION_EXPIRATION | -3 | -Option Expiration Date (3) | -
| FutureExpiration | FUTURE_EXPIRATION | -4 | -Futures Expiration Date (4) | -
| FutureRoll | FUTURE_ROLL | -5 | -Futures Roll Date (5) Not used yet. For future use. | -
| SymbolDelisting | SYMBOL_DELISTING | -6 | -Symbol Delisting Date (6) Not used yet. For future use. | -
| EquityDividends | EQUITY_DIVIDENDS | -7 | -Equity Ex-dividend Date (7) Not used yet. For future use. | -
| EconomicEvent | ECONOMIC_EVENT | -8 | -FX Economic Event (8) FX Economic Event e.g. from DailyFx (DailyFx.cs). Not used yet. For future use. | -
The following table describes the UpdateType enumeration members:
| Member | -Value | -Description | -
|---|---|---|
| Added | -0 | -A new Cash.Symbol was added (0) |
-
| Removed | -1 | -One or more Cash instances were removed (1) |
-
| Updated | -2 | -An existing Cash.Symbol was updated (2) |
-
The following table describes the WritePolicy enumeration members:
| Member | -Value | -Description | -|
|---|---|---|---|
| Overwrite | OVERWRITE | -0 | -Will overwrite any existing file or zip entry with the new content (0) | -
| Merge | MERGE | -1 | -Will inject and merge new content with the existings file content (1) | -
| Append | APPEND | -2 | -Will append new data to the end of the file or zip entry (2) | -
The following Market enumeration members are available for {name}:
The following table describes the {obj_name} enumeration members{extra}:
| Member | -Value | -Description | -|
|---|---|---|---|
| {enum} | {_to_upper_snake_case(enum)} | -{content["code"]} | -{content["description"].replace(" |
-
Market enumeration members are available for {x.title().replace("Option", "Options").replace("option", " Options").replace("Index", "Indices").replace("Indices Options", "Index Options")}:
-""")
\ No newline at end of file