QuantConnect
US Indices
Introduction
The QuantConnect data provider provides a stream of SPX and VIX index values 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 index values are the underlying prices of SPX and VIX US Index Options, so you can trade those contracts without another data provider.
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. 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 |
The live stream provides second resolution data for SPX. VIX only updates every 15 seconds, so its second resolution bars repeat the last value between updates.
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