Introduction
This repository hosts the Kraken Brokerage Plugin Integration with the QuantConnect LEAN Algorithmic Trading Engine. LEAN is a brokerage agnostic operating system for quantitative finance. Thanks to open-source plugins such as this LEAN can route strategies to almost any market.
LEAN is maintained primarily by QuantConnect, a US based technology company hosting a cloud algorithmic trading platform. QuantConnect has successfully hosted more than 200,000 live algorithms since 2015, and trades more than $1B volume per month.
About Kraken
Kraken was founded by Jesse Powell in 2011 with the goal to "accelerate the adoption of cryptocurrency so that you and the rest of the world can achieve financial freedom and inclusion". Kraken provides access to trading Crypto through spot and Futures markets for clients with a minimum deposit of around $0-$150 USD for currency and Crypto deposits. Kraken also provides staking services, educational content, and a developer grant program.
For more information about the Kraken brokerage, see the QuantConnect-Kraken Integration Page.
Using the Brokerage Plugin
Deploying Kraken with VSCode User Interace
You can deploy using a visual interface in the QuantConnect Cloud. For more information, see the QuantConnect-Kraken documentation page.
In the QuantConnect Cloud Platform, you can harness the QuantConnect Live Data Feed. For most users, this is substantially cheaper and easier than self-hosting.
Deploying Kraken with LEAN CLI
Follow these steps to start local live trading with the Kraken brokerage:
-
Open a terminal in your CLI root directory.
-
Run lean live "
<projectName>" to start a live deployment wizard for the project in ./<projectName>and then enter the brokerage number.$ lean live 'My Project' Select a brokerage: 1. Paper Trading 2. Interactive Brokers 3. Tradier 4. OANDA 5. Bitfinex 6. Coinbase Pro 7. Binance 8. Zerodha 9. Samco 10. Terminal Link 11. Atreyu 12. Trading Technologies 13. Kraken 14. FTX Enter an option: -
Enter the number of the organization that has a subscription for the Kraken module.
$ lean live "My Project" Select the organization with the Kraken module subscription: 1. Organization 1 2. Organization 2 3. Organization 3 Enter an option: -
Enter your Kraken credentials.
$ lean live "My Project" Create an API key by logging in and accessing the Kraken API Management page (https://www.kraken.com/u/security/api). API key: API secret: -
Enter your Kraken verification tier.
$ lean live "My Project" Select the Verification Tier (Starter, Intermediate, Pro) [Starter]: -
Enter the number of the data feed to use and then follow the steps required for the data connection.
$ lean live 'My Project' Select a data feed: 1. Interactive Brokers 2. Tradier 3. Oanda 4. Bitfinex 5. Coinbase Pro 6. Binance 7. Zerodha 8. Samco 9. Terminal Link 10. Trading Technologies 11. Kraken 12. FTX 13. IQFeed 14. Polygon Data Feed 15. Custom Data Only To enter multiple options, separate them with comma: -
View the result in the
<projectName>/live/<timestamp>directory. Results are stored in real-time in JSON format. You can save results to a different directory by providing the--output <path>option in step 2.
If you already have a live environment configured in your Lean configuration file, you can skip the interactive wizard by providing the --environment <value> option in step 2. The value of this option must be the name of an environment which has live-mode set to true.
Account Types
Kraken supports cash and margin accounts.
Order Types and Asset Classes
Kraken supports trading Crypto with the following order types:
- Market Order
- Limit Order
- Limit-If-Touch Order
- Stop-Market Order
- Stop-Limit Order
Downloading Data
For local deployment, the algorithm needs to download the following dataset:
- Kraken Crypto Price Data provided by CoinAPI
Brokerage Model
Lean models the brokerage behavior for backtesting purposes. The margin model is used in live trading to avoid placing orders that will be rejected due to insufficient buying power.
You can set the Brokerage Model with the following statements
SetBrokerageModel(BrokerageName.Kraken, AccountType.Cash);
SetBrokerageModel(BrokerageName.Kraken, AccountType.Margin);
Fees
We model the order fees of Kraken. For trading pairs that contain only Crypto assets, we model the lowest tier in their tiered fee structure, which is a 0.16% maker fee and a 0.26% taker fee. If you add liquidity to the order book by placing a limit order that doesn't cross the spread, you pay maker fees. If you remove liquidity from the order book by placing an order that crosses the spread, you pay taker fees. For trading pairs that have any of the following currencies as the base currency in the pair, the fee is 0.2%:
- CAD
- EUR
- GBP
- JPY
- USD
- USDT
- DAI
- USDC
Kraken adjusts your fees based on your 30-day trading volume, but we don't currently model trading volume to adjust fees.
To check the latest fees at all the fee tiers, see the Fee Schedule page on the Kraken website.
Margin
We model buying power and margin calls to ensure your algorithm stays within the margin requirements.
Buying Power
Kraken allows 1x leverage for most trades done in margin accounts. The following table shows pairs that have additional leverage available:
| Quote Currency | Base Currencies | Leverage |
|---|---|---|
| ADA | BTC, ETH, USD, EUR | 3 |
| BCH | BTC, USD, EUR | 2 |
| BTC | USD, EUR | 5 |
| DASH | BTC, USD, EUR | 3 |
| EOS | BTC, ETH, USD, EUR | 3 |
| ETH | BTC, USD, EUR | 5 |
| LINK | BTC, ETH, USD, EUR | 3 |
| LTC | BTC, USD, EUR | 3 |
| REP | BTC, ETH, USD, EUR | 2 |
| TRX | BTC, ETH, USD, EUR | 3 |
| USDC | USD, EUR | 3 |
| USDT | USD, EUR | 2 |
| XMR | BTC, USD, EUR | 2 |
| XRP | BTC, USD, EUR | 3 |
| XTZ | BTC, ETH, USD, EUR | 2 |
Margin Calls
Regulation T margin rules apply. When the amount of margin remaining in your portfolio drops below 5% of the total portfolio value, you receive a warning. When the amount of margin remaining in your portfolio drops to zero or goes negative, the portfolio sorts the generated margin call orders by their unrealized profit and executes each order synchronously until your portfolio is within the margin requirements.
Slippage
Orders through Kraken do not experience slippage in backtests. In live trading, your orders may experience slippage.
Fills
We fill market orders immediately and completely in backtests. In live trading, if the quantity of your market orders exceeds the quantity available at the top of the order book, your orders are filled according to what is available in the order book.
Settlements
Trades settle immediately after the transaction.
Deposits and Withdraws
You can deposit and withdraw cash from your brokerage account while you run an algorithm that's connected to the account. We sync the algorithm's cash holdings with the cash holdings in your brokerage account every day at 7:45 AM Eastern Time (ET).
LEAN Engine is an open-source algorithmic trading engine built for easy strategy research, backtesting, and live trading. We integrate with common data providers and brokerages, so you can quickly deploy algorithmic trading strategies.
The core of the LEAN Engine is written in C#, but it operates seamlessly on Linux, Mac and Windows operating systems. To use it, you can write algorithms in Python 3.8 or C#. QuantConnect maintains the LEAN project and uses it to drive the web-based algorithmic trading platform on the website.
Contributions
Contributions are warmly very welcomed but we ask you to read the existing code to see how it is formatted, commented and ensure contributions match the existing style. All code submissions must include accompanying tests. Please see the contributor guide lines.
Code of Conduct
We ask that our users adhere to the community code of conduct to ensure QuantConnect remains a safe, healthy environment for high quality quantitative trading discussions.
License Model
Licensed under the Apache License, Version 2.0 (the "License"); you may not use this file except in compliance with the License. You may obtain a copy of the License at
http://www.apache.org/licenses/LICENSE-2.0
Unless required by applicable law or agreed to in writing, software distributed under the License is distributed on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the License for the specific language governing permissions and limitations under the License.