US Equities - Intraday Pricing Data Back

About

QuantConnect provides tick data on all US stocks back to January 1st, 1998. Over this period a number of new stocks have entered the market, and others have been delisted. When a company name/symbol changes the data will be automatically be mapped over to the original name. All data is adjusted for splits and dividends, and all data is available in tick, second, minute, hourly and daily resolution.

Tick data is provided in order the trades were made, but the data itself is timestamped to the previous second.


Data Properties
Resolutions Available Tick, Second, Minute, Hourly, Daily
Data Providers QuantQuote, AlgoSeek
Start Date January 1st, 1998.
Symbol Universe ≈ 18,990 Tickers ( Download list )

Using the Data

Data must be added in the Initialize() method manually, or selected by universe selection.

//Manually adding inside your Initialize() method:
public override void Initialize() {
    AddEquity("IBM", Resolution.Minute);
}
// Accessing requested data
public override void OnData(Slice data) {
    //via a tradebar dictionary (symbol - bar)
    data.Bars["IBM"].Close
    //Or via a ticks list:
    data.Ticks["IBM"][0].Close
}

For more information on using this data in your algorithm see the QuantConnect Documentation.

About the Providers

QuantQuote is a leading provider of high resolution historical intraday stock data and live feeds. Their cost effective and easy to use datasets have given hundreds of customers around the world the competitive edge.

QuantQuote data files are available for all NASDAQ and NYSE listed stocks starting from January 1998 to the present. The dataset is research ready and contains split and dividend adjustments, earnings data, and accounts for corporate events and survivorship bias.

Data is available with a full array of format customization options designed to make the data instantly deployable and compatible with any trading software. For a full list of available data customizations, please visit QuantQuote's data order page.

A full data description and specification can be found in QuantQuote's whitepaper.

US Equities - Splits Data Back

About

QuantConnect provides split and merger data on all US stocks back to January 1st, 1998. When a symbol is requested with prior splits/mergers we automatically pass the previous symbol data into your algorithm. You can monitor on the split/merger events using the built in event handlers. Dividend data is also provided to perform dividend analysis.


Data Properties
Data Provider QuantQuote
Start Date January 1st, 1998.
Symbol Universe ≈ 18,990 Tickers ( Download list )

Using the Data

Data is automatically passed in when requesting equity data. Equity data must be added in the Initialize() method manually, or selected by universe selection.

// Manually adding inside your Initialize() method:
public override void Initialize() {
    AddEquity("IBM", Resolution.Minute);
}
// v2.0 Technique: Dedicated Event handler:
public void OnData(Splits data) {
    //access Split objects via Splits dictionary
    data["IBM"].SplitFactor // e.g. 1 -> 2 split-> split factor of 2.
}
// v3.0 Technique: Accessing via Slice object:
public override void OnData(Slice data) {
    data.Splits["IBM"].SplitFactor;
}

For more information on using this data in your algorithm see the QuantConnect Documentation.

About the Provider

QuantQuote is a leading provider of high resolution historical intraday stock data and live feeds. Their cost effective and easy to use datasets have given hundreds of customers around the world the competitive edge.

QuantQuote data files are available for all NASDAQ and NYSE listed stocks starting from January 1998 to the present. The dataset is research ready and contains split and dividend adjustments, earnings data, and accounts for corporate events and survivorship bias.

Data is available with a full array of format customization options designed to make the data instantly deployable and compatible with any trading software. For a full list of available data customizations, please visit QuantQuote's data order page.

A full data description and specification can be found in QuantQuote's whitepaper.

US Equities - Dividend Data Back

About

QuantConnect provides dividend payment data on all US stocks back to January 1st, 1998. Data is passed into your algorithm with dedicated event handlers. The dividend event is triggered on the payment date. Stock splits and price data is also available.


Data Properties
Data Provider QuantQuote
Start Date January 1st, 1998.
Symbol Universe ≈ 18,990 Tickers ( Download list )

Using the Data

Data is automatically passed in when requesting equity data. Equity data must be added in the Initialize() method manually, or selected by universe selection.

// Manually adding inside your Initialize() method:
public override void Initialize() {
    AddEquity("IBM", Resolution.Minute);
}
// v2.0 Technique: Dedicated Event handler:
public void OnData(Dividends data) {
    //access Dividend objects via Dividends dictionary
    data["IBM"].Distribution; // Cash dividend
}
// v3.0 Technique: Accessing via Slice object:
public override void OnData(Slice data) {
    data.Dividends["IBM"].Distribution;
}

For more information on using this data in your algorithm see the QuantConnect Documentation.

About the Provider

QuantQuote is a leading provider of high resolution historical intraday stock data and live feeds. Their cost effective and easy to use datasets have given hundreds of customers around the world the competitive edge.

QuantQuote data files are available for all NASDAQ and NYSE listed stocks starting from January 1998 to the present. The dataset is research ready and contains split and dividend adjustments, earnings data, and accounts for corporate events and survivorship bias.

Data is available with a full array of format customization options designed to make the data instantly deployable and compatible with any trading software. For a full list of available data customizations, please visit QuantQuote's data order page.

A full data description and specification can be found in QuantQuote's whitepaper.

US Equities - Corporate Fundamental Data Back

About

QuantConnect provides corporate fundamental data for all US Equities to perform stock selection based on fundamental criteria. See the Morningstar US Corporate Fundamentals data page for more information.

FOREX - FXCM Currency Pairs Back

About

QuantConnect provides 39 currency pairs from FXCM for backtesting and live trading; starting as early as April 2007. FXCM currencies have a lower spread than traditional market-makers as FXCM fills trades directly from a consortium 15 large liquidity providers competing to offer you the best spread. FXCM charges a fixed per lot transaction fee rather than a charging spread.

Data Properties
Data Provider FXCM
Start Date Mixed; Major symbols start April 1st, 2007.
Symbol Universe 39 Currency Pairs Tickers ( See More)
Pairs Available
AUDCAD (FXCM: 'AUD/CAD')AUDCHF (FXCM: 'AUD/CHF')AUDJPY (FXCM: 'AUD/JPY')
AUDNZD (FXCM: 'AUD/NZD')AUDUSD (FXCM: 'AUD/USD')CADCHF (FXCM: 'CAD/CHF')
CADJPY (FXCM: 'CAD/JPY')CHFJPY (FXCM: 'CHF/JPY')EURAUD (FXCM: 'EUR/AUD')
EURCAD (FXCM: 'EUR/CAD')EURCHF (FXCM: 'EUR/CHF')EURGBP (FXCM: 'EUR/GBP')
EURJPY (FXCM: 'EUR/JPY')EURNOK (FXCM: 'EUR/NOK')EURNZD (FXCM: 'EUR/NZD')
EURSEK (FXCM: 'EUR/SEK')EURTRY (FXCM: 'EUR/TRY')EURUSD (FXCM: 'EUR/USD')
GBPAUD (FXCM: 'GBP/AUD')GBPCAD (FXCM: 'GBP/CAD')GBPCHF (FXCM: 'GBP/CHF')
GBPJPY (FXCM: 'GBP/JPY')GBPNZD (FXCM: 'GBP/NZD')GBPUSD (FXCM: 'GBP/USD')
NZDCAD (FXCM: 'NZD/CAD')NZDCHF (FXCM: 'NZD/CHF')NZDJPY (FXCM: 'NZD/JPY')
NZDUSD (FXCM: 'NZD/USD')TRYJPY (FXCM: 'TRY/JPY')USDMXN (FXCM: 'USD/MXN')
USDCAD (FXCM: 'USD/CAD')USDCHF (FXCM: 'USD/CHF')USDCNY (FXCM: 'USD/CNH')
USDHKD (FXCM: 'USD/HKD')USDJPY (FXCM: 'USD/JPY')USDNOK (FXCM: 'USD/NOK')
USDSEK (FXCM: 'USD/SEK')USDTRY (FXCM: 'USD/TRY')USDZAR (FXCM: 'USD/ZAR')
ZARJPY (FXCM: 'ZAR/JPY')    

To use FXCM currency pairs in QuantConnect you must specify the QuantConnect symbol not the FXCM one.

Using the Data

Data is automatically passed into your algorithm on request. Requested data must be added in the Initialize() method.

// Manual add symbols required in your initialize method:
public override void Initialize() {
    AddForex("EURUSD", Resolution.Minute);
}
// v2.0 Technique: Access data via dedicated event handlers:
public void OnData(TradeBars data) {
    data["EURUSD"].Close;
}
// v3.0 Technique: Access data via grouped time slice method handlers:
public override void OnData(Slice data) {
    data.Bars["EURUSD"].Close;
}

About the Provider

Forex Capital Markets (NYSE:FXCM) is the world's leading online forex trading broker.

FXCM Inc. (NYSE: FXCM) is a global, online provider of foreign exchange (forex) trading and related services to retail and institutional customers world-wide. Founded in 1999 and headquartered in New York, NY, FXCM has operating subsidiaries regulated in a number of jurisdictions, including the United States, the United Kingdom, Hong Kong, Japan, and Australia.We also maintain offices in Italy, France, Germany, and Greece.

At the heart of FXCM's client offering is No Dealing Desk forex trading. Clients benefit from FXCM's large network of forex liquidity providers enabling FXCM to offer competitive spreads on major currency pairs. Clients have the advantage of mobile trading, one-click order execution and trading from real-time charts. FXCM's U.K. subsidiary, Forex Capital Markets Limited, also offers CFD products with no re-quote trading and allows clients to trade oil, gold, silver and stock indices along with forex on one platform. In addition, FXCM offers educational courses on forex trading and provides free news and market research through DailyFX.com.

While FXCM has made every effort to ensure the accuracy of the information provided to QuantConnect, FXCM does not guarantee its accuracy, and will not accept liability for any loss or damage that may arise directly or indirectly from the content or your inability to access the website, for any delay in or failure of the transmission or the receipt of any instruction or notifications sent through this website. Nothing on this website shall be considered a solicitation to buy or an offer to sell any product or service to any person in any jurisdiction where such offer, solicitation, purchase or sale would be unlawful under the laws or regulations of such jurisdiction.

Oanda Currency PairsBack

About

QuantConnect provides 72 Oanda currency pairs for backtesting and trading.


Data Properties
Data Provider Oanda
Start Date Mixed Dates: Earliest starts May 30th, 2004
Symbol Universe 71 Currency Pairs ( More Information)
Contracts Available
AUDCAD (Oanda: 'AUD_CAD')AUDCHF (Oanda: 'AUD_CHF')AUDHKD (Oanda: 'AUD_HKD')
AUDJPY (Oanda: 'AUD_JPY')AUDNZD (Oanda: 'AUD_NZD')AUDSGD (Oanda: 'AUD_SGD')
AUDUSD (Oanda: 'AUD_USD')CADCHF (Oanda: 'CAD_CHF')CADHKD (Oanda: 'CAD_HKD')
CADJPY (Oanda: 'CAD_JPY')CADSGD (Oanda: 'CAD_SGD')CHFHKD (Oanda: 'CHF_HKD')
CHFJPY (Oanda: 'CHF_JPY')CHFZAR (Oanda: 'CHF_ZAR')EURAUD (Oanda: 'EUR_AUD')
EURCAD (Oanda: 'EUR_CAD')EURCHF (Oanda: 'EUR_CHF')EURCZK (Oanda: 'EUR_CZK')
EURDKK (Oanda: 'EUR_DKK')EURGBP (Oanda: 'EUR_GBP')EURHKD (Oanda: 'EUR_HKD')
EURHUF (Oanda: 'EUR_HUF')EURJPY (Oanda: 'EUR_JPY')EURNOK (Oanda: 'EUR_NOK')
EURNZD (Oanda: 'EUR_NZD')EURPLN (Oanda: 'EUR_PLN')EURSEK (Oanda: 'EUR_SEK')
EURSGD (Oanda: 'EUR_SGD')EURTRY (Oanda: 'EUR_TRY')EURUSD (Oanda: 'EUR_USD')
EURZAR (Oanda: 'EUR_ZAR')GBPAUD (Oanda: 'GBP_AUD')GBPCAD (Oanda: 'GBP_CAD')
GBPCHF (Oanda: 'GBP_CHF')GBPHKD (Oanda: 'GBP_HKD')GBPJPY (Oanda: 'GBP_JPY')
GBPNZD (Oanda: 'GBP_NZD')GBPPLN (Oanda: 'GBP_PLN')GBPSGD (Oanda: 'GBP_SGD')
GBPUSD (Oanda: 'GBP_USD')GBPZAR (Oanda: 'GBP_ZAR')HKDJPY (Oanda: 'HKD_JPY')
NZDCAD (Oanda: 'NZD_CAD')NZDCHF (Oanda: 'NZD_CHF')NZDHKD (Oanda: 'NZD_HKD')
NZDJPY (Oanda: 'NZD_JPY')NZDSGD (Oanda: 'NZD_SGD')NZDUSD (Oanda: 'NZD_USD')
SGDCHF (Oanda: 'SGD_CHF')SGDHKD (Oanda: 'SGD_HKD')SGDJPY (Oanda: 'SGD_JPY')
TRYJPY (Oanda: 'TRY_JPY')USDCAD (Oanda: 'USD_CAD')USDCHF (Oanda: 'USD_CHF')
USDCNH (Oanda: 'USD_CNH')USDCZK (Oanda: 'USD_CZK')USDDKK (Oanda: 'USD_DKK')
USDHKD (Oanda: 'USD_HKD')USDHUF (Oanda: 'USD_HUF')USDINR (Oanda: 'USD_INR')
USDJPY (Oanda: 'USD_JPY')USDMXN (Oanda: 'USD_MXN')USDNOK (Oanda: 'USD_NOK')
USDPLN (Oanda: 'USD_PLN')USDSAR (Oanda: 'USD_SAR')USDSEK (Oanda: 'USD_SEK')
USDSGD (Oanda: 'USD_SGD')USDTHB (Oanda: 'USD_THB')USDTRY (Oanda: 'USD_TRY')
USDZAR (Oanda: 'USD_ZAR')ZARJPY (Oanda: 'ZAR_JPY')  

To use Oanda FX products in QuantConnect you must specify the QuantConnect symbol not the Oanda one.

Using the Data

Data is automatically passed into your algorithm on request. Requested data must be added in the Initialize() method.

// Manual add symbols required in your initialize method:
public override void Initialize() {
    AddForex("EURUSD", Resolution.Minute, Market.Oanda);
}
// v2.0 Technique: Access data via dedicated event handlers:
public void OnData(TradeBars data) {
    data["EURUSD"].Close;
}
// v3.0 Technique: Access data via grouped time slice method handlers:
public override void OnData(Slice data) {
    data.Bars["EURUSD"].Close;
}

About the Provider

OANDA uses innovative computer and financial technology to provide Internet-based forex trading and currency information services to everyone, from individuals to large corporations, from portfolio managers to financial institutions. OANDA is a market maker and a trusted source for currency data. It has access to one of the world's largest historical, high frequency, filtered currency databases.

Oanda Contracts for a Difference (CFD)Back

About

QuantConnect provides all Oanda CFD contracts for backtesting and trading.


Data Properties
Data Provider Oanda
Start Date Mixed Dates: Earliest starts May 30th, 2004
Symbol Universe 51 CFD Contracts ( More Information)
Contracts Available
AU200AUD (Oanda: 'AU200_AUD')BCOUSD (Oanda: 'BCO_USD')CORNUSD (Oanda: 'CORN_USD')
DE30EUR (Oanda: 'DE30_EUR')EU50EUR (Oanda: 'EU50_EUR')DE10YBEUR (Oanda: 'DE10YB_EUR')
CH20CHF (Oanda: 'CH20_CHF')FR40EUR (Oanda: 'FR40_EUR')HK33HKD (Oanda: 'HK33_HKD')
JP225USD (Oanda: 'JP225_USD')NAS100USD (Oanda: 'NAS100_USD')NATGASUSD (Oanda: 'NATGAS_USD')
NL25EUR (Oanda: 'NL25_EUR')SOYBNUSD (Oanda: 'SOYBN_USD')SPX500USD (Oanda: 'SPX500_USD')
SUGARUSD (Oanda: 'SUGAR_USD')SG30SGD (Oanda: 'SG30_SGD')UK100GBP (Oanda: 'UK100_GBP')
UK10YBGBP (Oanda: 'UK10YB_GBP')US2000USD (Oanda: 'US2000_USD')US30USD (Oanda: 'US30_USD')
USB02YUSD (Oanda: 'USB02Y_USD')USB05YUSD (Oanda: 'USB05Y_USD')USB10YUSD (Oanda: 'USB10Y_USD')
USB30YUSD (Oanda: 'USB30Y_USD')WHEATUSD (Oanda: 'WHEAT_USD')WTICOUSD (Oanda: 'WTICO_USD')
XAGAUD (Oanda: 'XAG_AUD')XAGCAD (Oanda: 'XAG_CAD')XAGCHF (Oanda: 'XAG_CHF')
XAGEUR (Oanda: 'XAG_EUR')XAGGBP (Oanda: 'XAG_GBP')XAGHKD (Oanda: 'XAG_HKD')
XAGJPY (Oanda: 'XAG_JPY')XAGNZD (Oanda: 'XAG_NZD')XAGSGD (Oanda: 'XAG_SGD')
XAGUSD (Oanda: 'XAG_USD')XAUAUD (Oanda: 'XAU_AUD')XAUCAD (Oanda: 'XAU_CAD')
XAUCHF (Oanda: 'XAU_CHF')XAUEUR (Oanda: 'XAU_EUR')XAUGBP (Oanda: 'XAU_GBP')
XAUHKD (Oanda: 'XAU_HKD')XAUJPY (Oanda: 'XAU_JPY')XAUNZD (Oanda: 'XAU_NZD')
XAUSGD (Oanda: 'XAU_SGD')XAUUSD (Oanda: 'XAU_USD')XAUXAG (Oanda: 'XAU_XAG')
XCUUSD (Oanda: 'XCU_USD')XPDUSD (Oanda: 'XPD_USD')XPTUSD (Oanda: 'XPT_USD')
     

To use Oanda FX products in QuantConnect you must specify the QuantConnect symbol not the Oanda one.

Using the Data

CFD data must be added in the Initialize() method manually. Specify Market.Oanda to backtest on Oanda historical data.

// Manual add symbols required in your initialize method:
public override void Initialize() {
    AddCfd("AU200AUD", Resolution.Minute, Market.Oanda);
}
// v2.0 Technique: Access data via dedicated event handlers:
public void OnData(TradeBars data) {
    data["AU200AUD"].Close;
}
// v3.0 Technique: Access data via grouped time slice method handlers:
public override void OnData(Slice data) {
    data.Bars["AU200AUD"].Close;
}

About the Provider

OANDA uses innovative computer and financial technology to provide Internet-based forex trading and currency information services to everyone, from individuals to large corporations, from portfolio managers to financial institutions. OANDA is a market maker and a trusted source for currency data. It has access to one of the world's largest historical, high frequency, filtered currency databases.

US Equities - Morningstar Fundamentals Data Back

About

QuantConnect provides Morningstar® corporate fundamentals data for US Equities symbols. Morningstar Data for equities is used by many leading asset management firms, media companies, broker dealers, and other large institutions to support internal research functions, power investment tools, and deliver meaningful information and analysis to investors.

For older symbols the file date is approximated as 45 days after the as of date. When a filing date is present on the Morningstar data it is used.

As we are a quant platform; all the data is loaded using "As Original Reported" figures. If there was a mistake reporting the figure this will not be fixed later. The market typically responds quickly to these initially reported figures. Data is available for multiple periods depending on the property. Periods available include: 1 mo, 2 mo, 3 mo, 6 mo, 9 mo, 12 mo, 1 Yr, 2 Yr, 3 Yr and 5 Yr.

Morningstar symbols cover the NYSE, NASDAQ, AMEX and BATS exchanges.

Fundamental data is currently only supported in backtesting.


Data Properties
Data Provider Morningstar
Start Date January 1st, 1998.
Symbol Universe ≈ 5,000 Tickers (Excluding 12,000 illiquid OTC stocks).
Corporate Indicators / Tracked Fields ≈ 900 Fields.
Data Categories
CompanyReferenceCompanyId, ShortName, StandardName, LegalName, CountryId, CIK, CompanyStatus, FiscalYearEnd, IndustryTemplateCode, PrimaryShareClassID, PrimarySymbol, PrimaryExchangeID, BusinessCountryID, LegalNameLanguageCode, Auditor, AuditorLanguageCode, Advisor, AdvisorLanguageCode, IsLimitedPartnership, IsREIT, PrimaryMIC, ReportStyle, YearofEstablishment
SecurityReferenceSecuritySymbol, ExchangeId, CurrencyId, Valoren, CUSIP, ISIN, SEDOL, IPODate, IsDepositaryReceipt, DepositaryReceiptRatio, SecurityType, ShareClassDescription, ShareClassStatus, IsPrimaryShare, IsDividendReinvest, IsDirectInvest, InvestmentId, IPOOfferPrice, DelistingDate, DelistingReason, MIC, CommonShareSubType, IPOOfferPriceRange, ExchangeSubMarketGlobalId
FinancialStatementsPeriodEndingDate, FileDate, AccessionNumber, FormType, PeriodAuditor, AuditorReportStatus, InventoryValuationMethod, NumberOfShareHolders, TotalRiskBasedCapital, IncomeStatement, BalanceSheet, CashFlowStatement
EarningReportsPeriodEndingDate, FileDate, AccessionNumber, FormType, BasicContinuousOperations, BasicDiscontinuousOperations, BasicExtraordinary, BasicAccountingChange, BasicEPS, DilutedContinuousOperations, DilutedDiscontinuousOperations, DilutedExtraordinary, DilutedAccountingChange, DilutedEPS, BasicAverageShares, DilutedAverageShares, DividendPerShare, BasicEPSOtherGainsLosses, ContinuingAndDiscontinuedBasicEPS, TaxLossCarryforwardBasicEPS, DilutedEPSOtherGainsLosses, ContinuingAndDiscontinuedDilutedEPS, TaxLossCarryforwardDilutedEPS, NormalizedBasicEPS, NormalizedDilutedEPS, TotalDividendPerShare
OperationRatiosRevenueGrowth, OperationIncomeGrowth, NetIncomeGrowth, NetIncomeContOpsGrowth, CFOGrowth, FCFGrowth, OperationRevenueGrowth3MonthAvg, GrossMargin, OperationMargin, PretaxMargin, NetMargin, TaxRate, EBITMargin, EBITDAMargin, SalesPerEmployee, CurrentRatio, QuickRatio, LongTermDebtTotalCapitalRatio, InterestCoverage, LongTermDebtEquityRatio, FinancialLeverage, TotalDebtEquityRatio, NormalizedNetProfitMargin, DaysInSales, DaysInInventory, DaysInPayment, CashConversionCycle, ReceivableTurnover, InventoryTurnover, PaymentTurnover, FixAssetsTuronver, AssetsTurnover, ROE, ROA, ROIC, FCFSalesRatio, FCFNetIncomeRatio, CapExSalesRatio, DebttoAssets, CommonEquityToAssets, CapitalExpenditureAnnual5YrGrowth, GrossProfitAnnual5YrGrowth, GrossMargin5YrAvg, PostTaxMargin5YrAvg, PreTaxMargin5YrAvg, ProfitMargin5YrAvg, ROE5YrAvg, ROA5YrAvg, AVG5YrsROIC, NormalizedROIC, RegressionGrowthOperatingRevenue5Years
EarningRatiosDilutedEPSGrowth, DilutedContEPSGrowth, DPSGrowth, EquityPerShareGrowth, RegressionGrowthofDividends5Years
ValuationRatiosPayoutRatio, SustainableGrowthRate, CashReturn, SalesPerShare, BookValuePerShare, CFOPerShare, FCFPerShare, EarningYield, PERatio, SalesYield, PSRatio, BookValueYield, PBRatio, CFYield, PCFRatio, FCFYield, FCFRatio, TrailingDividendYield, ForwardDividendYield, ForwardEarningYield, ForwardPERatio, PEGRatio, PEGPayback, TangibleBookValuePerShare, TangibleBVPerShare3YrAvg, TangibleBVPerShare5YrAvg, ForwardDividend, WorkingCapitalPerShare, WorkingCapitalPerShare3YrAvg, WorkingCapitalPerShare5YrAvg, EVToEBITDA, BuyBackYield, TotalYield, RatioPE5YearAverage, PriceChange1M, NormalizedPERatio, PricetoEBITDA, DivYield5Year, ForwardCalculationStyle, ActualForwardDividend, TrailingCalculationStyle, ActualTrailingDividend, ExpectedDividendGrowthRate

About the Provider

Morningstar, Inc. is a leading provider of independent investment research in North America, Europe, Australia, and Asia. THey offer an extensive line of products and services for individual investors, financial advisors, asset managers, and retirement plan providers and sponsors.

Morningstar provides data on approximately 525,000 investment offerings, including stocks, mutual funds, and similar vehicles, along with real-time global market data on nearly 18 million equities, indexes, futures, options, commodities, and precious metals, in addition to foreign exchange and Treasury markets. Morningstar also offers investment management services through its investment advisory subsidiaries, with more than $180 billion in assets under advisement or management as of March 31, 2016. Morningstar has operations in 27 countries.

Download the Morningstar factsheet for more information.

US Futures - Price DataBack

About

QuantConnect provides US Future prices for all assets listed on the CME, CBOT, NYMEX and Comex since January 2008. Data is timestamped to the millisecond. It is also survivorship-bias free (includes symbols no longer traded). Futures live trading only available through Interactive Brokers.


Data Properties
Data Provider AlgoSeek
Start Date Data is available starting January 1st, 2008
Symbol Universe ≈ 4000 Symbols. All symbols trading on future exchanges each day.
Data Type Trades and Quotes
Resolutions
  • Tick
  • Second
  • Minute
  • Hour
  • Daily

See AlgoSeek Futures for more information.

About the Provider

AlgoSeek is a leading provider of historical intraday US market data to banks, hedge funds, academia and individuals worldwide. Their high quality and affordable datasets are used for research and trading around the world.

AlgoSeek has been collecting US Equities and ETF data on all listed USA equities and ETFs since January 2007. Their data is ready for institutional researchers for back testing and quant research. Data is timestamped to the millisecond.

US Equity Options - Price Data Back

About

QuantConnect provides US options trade and quote price data from the OPRA feed. This includes approximately 4000 symbols; each which have roughly 10 strikes on average. For speed Options data is filtered to only load the data you want for your algorithm. You can set this filter with your code, or leave it open to pull in all strikes and expiry dates for a given symbol.

Options data is currently only supported in backtesting.


Data Properties
Data Provider AlgoSeek
Start Date Data is available starting January 1st, 2008
Symbol Universe ≈ 4000 Symbols. All symbols trading on the CBOE each day.
Data Type Trades and Quotes
Resolutions
  • Minute
  • Hour
  • Daily

See AlgoSeek Options for more information.

Using the Data

Options symbols are most commonly added using a filter or range of desired symbols.

// Manual add symbols required in your initialize method:
public override void Initialize() {
    var option = AddOption("SPY", Resolution.Minute);
    // set our strike/expiry filter for this option chain
    option.SetFilter(-2, +2, TimeSpan.Zero, TimeSpan.FromDays(10));
}
// v3.0 Technique: Access data via grouped time slice method handlers:
public override void OnData(Slice data) {
    OptionChain chain;
    if (slice.OptionChains.TryGetValue(OptionSymbol, out chain))
    {
        // find the second call strike under market price expiring today
        var contract = (
            from optionContract in chain.OrderByDescending(x => x.Strike)
            where optionContract.Right == OptionRight.Call
            where optionContract.Expiry == Time.Date
            where optionContract.Strike < chain.Underlying.Price
            select optionContract
            ).Skip(2).FirstOrDefault();

        if (contract != null)
        {
            var quantity = CalculateOrderQuantity(contract.Symbol, -1m);
            MarketOrder(contract.Symbol, quantity);
            MarketOnCloseOrder(contract.Symbol, -quantity);
        }
    }
}

About the Provider

AlgoSeek is a leading provider of historical intraday US market data to banks, hedge funds, academia and individuals worldwide. Their high quality and affordable datasets are used for research and trading around the world.

AlgoSeek has been collecting US Equities and ETF data on all listed USA equities and ETFs since January 2007. Their data is ready for institutional researchers for back testing and quant research. Data is timestamped to the millisecond.

QuantQuote Back

QuantQuote is a leading provider of high resolution historical intraday stock data and live feeds. Their cost effective and easy to use datasets have given hundreds of customers around the world the competitive edge.

QuantQuote data files are available for all NASDAQ and NYSE listed stocks starting from January 1998 to the present. The dataset is research ready and contains split and dividend adjustments, earnings data, and accounts for corporate events and survivorship bias.

Data is available with a full array of format customization options designed to make the data instantly deployable and compatible with any trading software. For a full list of available data customizations, please visit QuantQuote's data order page.

A full data description and specification can be found in QuantQuote's whitepaper.

AlgoSeek Back

AlgoSeek is a leading provider of historical intraday US market data to banks, hedge funds, academia and individuals worldwide. Their high quality and affordable datasets are used for research and trading around the world.

AlgoSeek has been collecting US Equities and ETF data on all listed USA equities and ETFs since January 2007. Their data is ready for institutional researchers for back testing and quant research. Data is timestamped to the millisecond.

FXCM Back

Forex Capital Markets (NYSE:FXCM) is the world's leading online forex trading broker.

FXCM Inc. (NYSE: FXCM) is a global, online provider of foreign exchange (forex) trading and related services to retail and institutional customers world-wide. Founded in 1999 and headquartered in New York, NY, FXCM has operating subsidiaries regulated in a number of jurisdictions, including the United States, the United Kingdom, Hong Kong, Japan, and Australia.We also maintain offices in Italy, France, Germany, and Greece.

At the heart of FXCM's client offering is No Dealing Desk forex trading. Clients benefit from FXCM's large network of forex liquidity providers enabling FXCM to offer competitive spreads on major currency pairs. Clients have the advantage of mobile trading, one-click order execution and trading from real-time charts. FXCM's U.K. subsidiary, Forex Capital Markets Limited, also offers CFD products with no re-quote trading and allows clients to trade oil, gold, silver and stock indices along with forex on one platform. In addition, FXCM offers educational courses on forex trading and provides free news and market research through DailyFX.com.

While FXCM has made every effort to ensure the accuracy of the information provided to QuantConnect, FXCM does not guarantee its accuracy, and will not accept liability for any loss or damage that may arise directly or indirectly from the content or your inability to access the website, for any delay in or failure of the transmission or the receipt of any instruction or notifications sent through this website. Nothing on this website shall be considered a solicitation to buy or an offer to sell any product or service to any person in any jurisdiction where such offer, solicitation, purchase or sale would be unlawful under the laws or regulations of such jurisdiction.

Oanda Back

OANDA uses innovative computer and financial technology to provide Internet-based forex trading and currency information services to everyone, from individuals to large corporations, from portfolio managers to financial institutions. OANDA is a market maker and a trusted source for currency data. It has access to one of the world's largest historical, high frequency, filtered currency databases.

Morning Star Back

Morningstar, Inc. is a leading provider of independent investment research in North America, Europe, Australia, and Asia. THey offer an extensive line of products and services for individual investors, financial advisors, asset managers, and retirement plan providers and sponsors.

Morningstar provides data on approximately 525,000 investment offerings, including stocks, mutual funds, and similar vehicles, along with real-time global market data on nearly 18 million equities, indexes, futures, options, commodities, and precious metals, in addition to foreign exchange and Treasury markets. Morningstar also offers investment management services through its investment advisory subsidiaries, with more than $180 billion in assets under advisement or management as of March 31, 2016. Morningstar has operations in 27 countries.

Download the Morningstar factsheet for more information.

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