QuantConnect
US Equity Options
Introduction
The QuantConnect data provider provides a stream of US Equity Option trades, quotes, and open interest to your trading algorithm during live execution. Live data enables you to make real-time trades and update the value of the securities in your portfolio.
The QuantConnect data provider also provides the US Equity Option Universe dataset, which lists the available contracts with their daily Greeks and implied volatility values.
Sourcing
The QuantConnect data provider consolidates US Equity Options market data across all of the US Options exchanges. The data is powered by the Options Price Reporting Authority (OPRA), which consolidates the last sale and quotation information that originates from the national securities exchanges that the Securities and Exchange Commission (SEC) approves, so it has 100% market coverage.
Bar Building
We aggregate ticks to build bars.
In live trading, bars are built using the exchange timestamps with microsecond accuracy. This microsecond-by-microsecond processing of the ticks can mean that the individual bars between live trading and backtesting can have slightly different ticks. As a result, it's possible for a tick to be counted in different bars between backtesting and live trading, which can lead to bars having slightly different open, high, low, close, and volume values.
Delivery
Most live trading algorithms run on co-located servers racked in Equinix. Co-location reduces several factors that can interfere with your algorithm, including downtime from internet outages, equipment repairs, and natural disasters.
Live data takes time to travel from the source to your algorithm. The QuantConnect latencies vary depending on the data provider, but for US Equities, we have a latency of 5-40 milliseconds. A much more significant source of latency is the round trip order times from brokers, which can vary from 100ms to 5 seconds. QuantConnect is not intended for high-frequency trading, but we have integrations to high-speed brokers if you need.
Historical Data
When you request historical data or run warm-up, the amount of historical data you can access depends on the resolution of your data subscriptions. The following table shows the amount of trailing historical data you can access for each data resolution:
| Resolution | Available History |
|---|---|
| Daily | All historical data |
| Hour | All historical data |
| Minute | 1 year |
Minute is the highest resolution of historical Options data. The live stream provides second resolution, but that data isn't available in history requests or warm-up.
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