Data Feeds

Crypto Futures

Introduction

The Crypto Futures data feed is a stream of security trades and quotes delivered to your trading algorithm during live execution. Live data feeds enable you to make real-time trades and update the value of the securities in your portfolio.

Sourcing

The Crypto Futures data feed uses WebSockets to gather market data from Binance.

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 Crypto Futures data feed has a latency of 20-50 milliseconds. QuantConnect is not designed for high-frequency trading.

Pricing

The Crypto Futures data feed is free.

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