Data Feeds

Futures

Introduction

The Futures data feed is a stream of contracts trades, quotes and open interest 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 Futures data feed consolidates market data across the following markets:

  • CBOT
  • CME
  • COMEX
  • ICE
  • NYMEX

The data feed is powered by the Chicago Mercantile Exchange (CME).

The data feed doesn't include the CFE market. For Futures.Indices.VIX, use a combination of the QuantConnect and IB data feeds. For more details about this option, see Hybrid QuantConnect Data Feed.

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

Pricing

The Futures data feed is free.

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