Data Feeds
Futures
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.
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 |
| Second | 2 months |
| Tick | 1 month |
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