Datasets/LEAN sample data

Forex

Name: Forex
Creator: LEAN sample data

Available

Daily bars for four major currency pairs from OANDA.

Forex prices Daily Available now

Daily bars for EURUSD, GBPUSD, EURGBP and NZDUSD, quoted by OANDA, from January 2007 to December 2018.

Original source ↗

How the data works

Available pairs are EURUSD, GBPUSD, EURGBP and NZDUSD. Any other pair has no data.
Pass Market.OANDA, and use Resolution.DAILY: finer OANDA bars exist only for EURUSD and NZDUSD, mostly for a few days in May 2014.
Forex has no central exchange, so these prices are OANDA's own quotes. Other brokers' prices differ a little.
Bars are quote bars, not trades, so there is no volume. Orders fill at the bid or the ask.

Fields

4 columns

Field	Description
time	When the bar began, in the market's time zone
end_time	When the bar closed: the moment it reaches your algorithm
open, high, low, close	Prices in the bar
bid, ask	Bid and ask bars, each with its own open, high, low and close, read from data.quote_bars[symbol]

Example algorithm

Use in a new project

# region imports
from AlgorithmImports import *
# endregion


class MeanReversionAlgorithm(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2010, 1, 1)
        self.set_end_date(2018, 12, 1)
        self.set_cash(100000)
        self.eurusd = self.add_forex("EURUSD", Resolution.DAILY, Market.OANDA).symbol
        self.strength = self.rsi(self.eurusd, 14, resolution=Resolution.DAILY)
        self.set_warm_up(14, Resolution.DAILY)

    def on_data(self, slice):
        if self.is_warming_up or not self.strength.is_ready:
            return
        # Buy when oversold, and sell once the move has recovered.
        if self.strength.current.value < 30 and not self.portfolio.invested:
            self.set_holdings(self.eurusd, 1)
        elif self.strength.current.value > 50 and self.portfolio.invested:
            self.liquidate(self.eurusd)