Datasets

Costs

Introduction

This page describes how to calculate the approximate cost of downloading local data for algorithms of each asset class. The prices on this page reflect the data prices at the time of writing. To view the current prices of each dataset, open a dataset listing in the Dataset Market and then click the Pricing tab. To download the data, you can use the lean data download command or the ApiDataProvider.

US Equity

US Equity algorithms require the US Equity Security Master and some data from the US Equities dataset. An annual subscription to the US Equity Security Master starts at $600, but it depends on your organization tier. The US Equities dataset is available is several resolutions. The resolution you need depends on the US Equity subscriptions you create in your algorithm and the resolution of data you get in history requests. The following table describes the file format and costs of each resolution:

ResolutionFile FormatCost per file
TickOne file per security per trading day per data format. Quote and trade data are separate files.6 QCC = $0.06 USD
SecondOne file per security per trading day per data format. Quote and trade data are separate files.5 QCC = $0.05 USD
MinuteOne file per security per trading day per data format. Quote and trade data are separate files.5 QCC = $0.05 USD
HourOne file per security.300 QCC = $3 USD
DailyOne file per security.100 QCC = $1 USD

If you add universes to your algorithm, the following table shows the additional datasets you need:

Universe TypeRequired DatasetFile FormatCost per file
Coarse or Dollar VolumeUS Coarse UniverseOne file per day.5 QCC = $0.05 USD
ETF ConstituentsUS ETF ConstituentsOne file per ETF per day.50 QCC = $0.50 USD

For example, the following algorithm creates a dollar volume universe with 100 securities and then subscribes to minute resolution data for each US Equity in the universe:

namespace QuantConnect.Algorithm.CSharp
{
    public class USEquityDataAlgorithm : QCAlgorithm
    {
        public override void Initialize()
        {
            SetStartDate(2020, 1, 1);
            SetEndDate(2021, 1, 1);
            AddUniverse(Universe.DollarVolume.Top(100));
        }
    }
}
class USEquityDataAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.SetStartDate(2020, 1, 1)
        self.SetEndDate(2021, 1, 1)
        self.AddUniverse(self.Universe.DollarVolume.Top(100))

The following table shows the data cost of the preceding algorithm:

DatasetPackageInitial CostOngoing Cost
US Equity Security MasterDownload On Premise$600 USD$600 USD/year
US Coarse UniverseOn Premise Download252 trading days
=> 252 files

252 files @ 5 QCC/file
=> 252 * 5 QCC
= 12,600 QCC
= $126 USD
1 trading day
=> 1 file

1 file/day @ 5 QCC/file
=> 5 QCC/day
= $0.05 USD/day
US EquityMinute Download100 securities over 252 trading days with 2 data formats
=> 100 * 252 * 2 files
= 50,400 files

50,400 files @ 5 QCC/file
=> 50,400 * 5 QCC
= 252,000 QCC
= $2,520 USD
100 securities with 2 data formats
=> 100 * 2 files/day
= 200 files/day

200 files/day @ 5 QCC/file
=> 200 * 5 QCC/day
= 1,000 QCC/day
= $10 USD/day

India Equity

India Equity algorithms require the India Equity Security Master and some data from the India Equities dataset. If you have a LEAN CLI subscription, the India Equity Security Master is free. The India Equities dataset is available is several resolutions. The resolution you need depends on the India Equity subscriptions you create in your algorithm and the resolution of data you get in history requests. The following table describes the file format and costs of each resolution:

ResolutionFile FormatCost per file
MinuteOne file per security per trading day.4 QCC = $0.04 USD
HourOne file per security.300 QCC = $3 USD
DailyOne file per security.100 QCC = $1 USD

For example, the following algorithm subscribes to minute resolution data for one security:

namespace QuantConnect.Algorithm.CSharp
{
    public class IndiaEquityDataAlgorithm : QCAlgorithm
    {
        public override void Initialize()
        {
            SetStartDate(2020, 1, 1);
            SetEndDate(2021, 1, 1);
            AddEquity("YESBANK", market: Market.India);
        }
    }
}
class IndiaEquityDataAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.SetStartDate(2020, 1, 1)
        self.SetEndDate(2021, 1, 1)
        self.AddEquity("YESBANK", market=Market.India)

The following table shows the data cost of the preceding algorithm:

DatasetPackageInitial CostOngoing Cost
India Equity Security MasterDownload On Premise$0 USD$0 USD
India EquityMinute Download1 security over 252 trading days
=> 252 files

252 files @ 4 QCC/file
=> 1,008 QCC
= $10.08 USD
1 security
=> 1 file/day

1 file/day @ 4 QCC/file
=> 4 QCC/day
= $0.04 USD/day

Equity Options

Equity Option algorithms require the US Equity Security Master, some data from the US Equity Options dataset, and data for the underlying US Equity universes and assets. An annual subscription to the US Equity Security Master starts at $600, but it depends on your organization tier. The US Equity Options dataset is available is several resolutions. The resolution you need depends on the US Equity Option subscriptions you create in your algorithm and the resolution of data you get in history requests. The following table describes the file format and costs of each resolution:

ResolutionFile FormatCost per file
MinuteOne file per Option per trading day per data format. Quote, trade, and open interest data are separate files.15 QCC = $0.15 USD
HourOne file per Option per year per data format. Trade and open interest data are separate files.900 QCC = $9 USD
DailyOne file per Option per year. Trade and open interest data are separate files.300 QCC = $3 USD

For example, the following algorithm subscribes to minute resolution data for an Equity Option and its underlying asset:

namespace QuantConnect.Algorithm.CSharp
{
    public class USEquityOptionsDataAlgorithm : QCAlgorithm
    {
        public override void Initialize()
        {
            SetStartDate(2020, 1, 1);
            SetEndDate(2021, 1, 1);
            var underlying = AddEquity("GOOG").Symbol;
            AddOption(underlying);
        }
    }
}
class USEquityOptionsDataAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.SetStartDate(2020, 1, 1)
        self.SetEndDate(2021, 1, 1)
        underlying = self.AddEquity("GOOG").Symbol
        self.AddOption(underlying)

The following table shows the data cost of the preceding algorithm:

DatasetPackageInitial CostOngoing Cost
US Equity Security MasterDownload On Premise $600 USD$600 USD/year
US EquityMinute Download1 security over 252 trading days with 2 data formats
=> 1 * 252 * 2 files
= 504 files

504 files @ 5 QCC/file
=> 504 * 5 QCC
= 2,520 QCC
= $25.20 USD
1 security with 2 data formats
=> 2 files/day

2 files/day @ 5 QCC/file
=> 2 * 5 QCC/day
= 10 QCC/day
= $0.10 USD/day
US Equity OptionsMinute Download1 Option over 252 trading days with 3 data formats
=> 1 * 252 * 3 files
= 756 files

756 files @ 15 QCC/file
=> 756 * 15 QCC
= 11,360 QCC
= $113.60 USD
1 Option with 3 data formats
=> 3 files/day

3 files/day @ 15 QCC/file
=> 3 * 15 QCC/day
= 45 QCC/day
= $0.45 USD/day

Crypto

Crypto algorithms require at least one of the CoinAPI datasets. The CoinAPI datasets are available is several resolutions. The resolution you need depends on the Crypto subscriptions you create in your algorithm and the resolution of data you get in history requests. The following table describes the file format and costs of each resolution:

ResolutionFile FormatCost per file
TickOne file per security per trading day per brokerage per data format. Quote and trade data are separate files.
100 QCC = $1 USD
SecondOne file per security per trading day per brokerage per data format. Quote and trade data are separate files.
25 QCC = $0.25 USD
MinuteOne file per security per trading day per brokerage per data format. Quote and trade data are separate files.
5 QCC = $0.05 USD
HourOne file per security per brokerage.
400 QCC = $4 USD
DailyOne file per security per brokerage.
100 QCC = $1 USD

If you add universes to your algorithm, you also need CryptoCoarseFundamental data. The file format of CryptoCoarseFundamental data is one file per day per brokerage and each file costs 100 QCC = $1 USD.

For example, the following algorithm creates a universe of 100 Cryptocurrencies and then subscribes to minute resolution data for each one in the universe:

namespace QuantConnect.Algorithm.CSharp
{
    public class CryptoDataAlgorithm : QCAlgorithm
    {
        public override void Initialize()
        {
            SetStartDate(2020, 1, 1);
            SetEndDate(2021, 1, 1);            
            AddUniverse(new CryptoCoarseFundamentalUniverse(Market.GDAX, UniverseSettings, 
                cryptoCoarse => cryptoCoarse.OrderByDescending(cf => cf.VolumeInUsd).Take(100).Select(x => x.Symbol))
            );
        }
    }
}
class CryptoDataAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.SetStartDate(2020, 1, 1)
        self.SetEndDate(2021, 1, 1)
        self.AddUniverse(CryptoCoarseFundamentalUniverse(Market.GDAX, self.UniverseSettings, self.universe_filter))

    def universe_filter(self, crypto_coarse: List[CryptoCoarseFundamental]) -> List[Symbol]:
        sorted_by_dollar_volume = sorted(crypto_coarse, key=lambda cf: cf.VolumeInUsd, reverse=True)
        return [cf.Symbol for cf in sorted_by_dollar_volume[:100]]

The following table shows the data cost of the preceding algorithm:

DatasetPackageInitial CostOngoing Cost
Coinbase Pro Crypto Price DataUniverse Download365 days
=> 365 files

365 files @ 100 QCC/file
=> 365 * 100 QCC
= 36,500 QCC
= $365 USD
1 file per day @ 100 QCC/file
=> 100 QCC/day
= $1 USD/day
Coinbase Pro Crypto Price DataMinute Download100 securities over 365 trading days with 2 data formats
=> 1 * 100 * 365 * 2 files
= 73,000 files

73,000 files @ 5 QCC/file
=> 73,000 * 5 QCC
= 365,000 QCC
= $3,650 USD
100 securities with 2 data formats
=> 100 * 2 files/day
= 200 files/day

200 files/day @ 5 QCC/file
=> 200 * 5 QCC/day
= 1,000 QCC/day
= $10 USD/day

Forex

Forex algorithms require some data from the FOREX dataset. The FOREX dataset is available is several resolutions. The resolution you need depends on the Forex subscriptions you create in your algorithm and the resolution of data you get in history requests. The following table describes the file format and costs of each resolution:

ResolutionFile FormatCost per file
SecondOne file per currency pair per trading day.3 QCC = $0.03 USD
MinuteOne file per currency pair per trading day.
3 QCC = $0.03 USD
HourOne file per currency pair.
3 QCC = $0.03 USD
DailyOne file per currency pair.
3 QCC = $0.03 USD

For example, the following algorithm subscribes to minute resolution data for one Forex pair:

namespace QuantConnect.Algorithm.CSharp
{
    public class ForexDataAlgorithm : QCAlgorithm
    {
        public override void Initialize()
        {
            SetStartDate(2020, 1, 1);
            SetEndDate(2021, 1, 1);
            AddForex("USDCAD");
        }
    }
}
class ForexDataAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.SetStartDate(2020, 1, 1)
        self.SetEndDate(2021, 1, 1)
        self.AddForex("USDCAD")

The following table shows the data cost of the preceding algorithm:

DatasetPackageInitial CostOngoing Cost
FOREX DataMinute Download1 currency pair over 312 trading days
=> 312 files

312 files @ 3 QCC/file
=> 312 * 3 QCC
= 936 QCC
= $9.36 USD
1 currency pair/day
=> 1 file/day

1 file/day @ 3 QCC/file
=> 3 QCC/day
= $0.03 USD/day

CFD

CFD algorithms require some data from the CFD dataset. The CFD dataset is available is several resolutions. The resolution you need depends on the CFD subscriptions you create in your algorithm and the resolution of data you get in history requests. The following table describes the file format and costs of each resolution:

ResolutionFile FormatCost per file
SecondOne file per contract per trading day.3 QCC = $0.03 USD
MinuteOne file per contract per trading day.
3 QCC = $0.03 USD
HourOne file per contract.
3 QCC = $0.03 USD
DailyOne file per contract.
3 QCC = $0.03 USD

For example, the following algorithm subscribes to minute resolution data for one CFD contract:

namespace QuantConnect.Algorithm.CSharp
{
    public class CFDDataAlgorithm : QCAlgorithm
    {
        public override void Initialize()
        {
            SetStartDate(2020, 1, 1);
            SetEndDate(2021, 1, 1);
            AddCfd("XAUUSD");
        }
    }
}
class CFDDataAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.SetStartDate(2020, 1, 1)
        self.SetEndDate(2021, 1, 1)
        self.AddCfd("XAUUSD")

The following table shows the data cost of the preceding algorithm:

DatasetPackageInitial CostOngoing Cost
CFD DataMinute Download 1 contract over 314 trading days
=> 314 files

314 files @ 3 QCC/file
=> 314 * 3 QCC
= 942 QCC
= $9.42 USD
1 contract/day
=> 1 file/day

1 file/day @ 3 QCC/file
=> 3 QCC/day
= $0.03 USD/day

Alternative Data

Algorithms that use alternative data require some data from the associated alternative dataset. To view the cost of each alternative dataset, open a dataset listing in the Dataset Market and then click the Pricing tab.

You can also see our Videos. You can also get in touch with us via Discord.

Did you find this page helpful?

Contribute to the documentation: