Datasets

The Alpaca data provider sources data directly from Alpaca's Market Data API. If you use this data provider, Alpaca only provides the security price data. QuantConnect Cloud provides the auxiliary datasets.

The data feed is a stream of asset prices collected by WebSockets and distributed to algorithms on the platform.

When you deploy a live algorithm with the Alpaca brokerage, you can use a third-party data provider, the Alpaca data provider, or both. If you use multiple data providers, the order you select them in defines their order of precedence in Lean. For example, if you set QC as the first provider and Alpaca as the second provider, Lean only uses the Alpaca data provider for securities that aren't available from the QC data provider. This configuration makes it possible to use our data provider for Equity universe selection and then place Options trades on the securities in the universe.

Third-party data providers support most alternative datasets, except data that streams real-time intraday data. If you're using streaming datasets, like the Tiingo News Feed and Benzinga News Feed, include the QuantConnect data provider as an additional data provider.

The historical data that's available from the Alpaca data provider for history requests and warm-up periods depends on your Alpaca data plan. For more information about each plan, see the Data page on the Alpaca website.

The Alpaca data feed is free for Alpaca subscription accounts. Your Alpaca plan defines the quota for the number of assets you can track at one time. If your algorithm adds more assets than your quota, LEAN logs an error message from Alpaca. To view the latest prices of the plans, see the Data page on the Alpaca website.