Datasets

Polygon

Introduction

Polygon was founded by Quinton Pike in 2017 with the goal to "break down the barriers that have traditionally limited access to high-quality financial data for all". Polygon provides institutional-grade Equity, Option, Index, Forex, and Crypto data for business and educational purposes.

The Polygon data provider streams live asset prices from Polygon. Instead of using the data from QuantConnect or your brokerage, you can use data from Polygon if you're deploying a live algorithm and have an API key. To get an API key, see the API Keys page on the Polygon website If you use this data provider and request historical data, the historical data comes from Polygon.

To view the implementation of the Polygon integration, see the Lean.DataSource.Polygon repository.

QuantConnect Cloud currently only supported streaming Polygon data during live trading. To download Polygon for backtesting, research, and optimizations, use the CLI.

Supported Datasets

The Polygon data provider serves asset price data directly from Polygon. Our integration supports securities from the following asset classes:

To supplement the asset price data from Polygon, we provide the following auxiliary datasets from the Dataset Market:

For more information about the Polygon data source, see the Polygon API documentation.

Universe Selection

When you trade live on QuantConnect Cloud with the Polygon data provider, QuantConnect provides the universe selection data.

Alternative Data

The alternative datasets in QuantConnect Cloud works seamlessly with the data from Polygon.

Research

The Polygon data provider is not currently supported for research in QuantConnect Cloud.

Backtesting

The Polygon data provider is not currently supported for backtesting in QuantConnect Cloud.

Optimization

The Polygon data provider is not currently supported for optimizations in QuantConnect Cloud.

Live Trading

You must have an available live trading node for each live trading algorithm you deploy.

Follow these steps to deploy a live trading algorithm that uses the Polygon data provider:

  1. Open the project that you want to deploy.
  2. Click the Deploy live icon Deploy Live icon.
  3. On the Deploy Live page, click the Brokerage field and then click your brokerage from the drop-down menu.
  4. Enter the required brokerage authentication information.

    5. For more information about the required information for each brokerage, see the Deploy Live Algorithms section of your brokerage documentation.

  5. In the Data Provider section of the deployment wizard, click Show.
  6. Click the Data Provider 1 field and then click Polygon from the drop-down menu.
  7. Enter your Polygon API Key.
    8. Polygon selected as the data provider in the deployment wizard
  8. Click Save.
  9. (Optional) If your brokerage supports exisiting cash and position holdings, add them.
  10. (Optional) Set up notifications.
  11. Configure the Automatically restart algorithm setting.

    12. By enabling automatic restarts, the algorithm will use best efforts to restart the algorithm if it fails due to a runtime error. This can help improve the algorithm's resilience to temporary outages such as a brokerage API disconnection.

  12. Click Deploy.

Pricing

To view the prices of the Polygon API packages, see the Simple Pricing page on the Polygon website.

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