QuantConnect

The US Equity Coarse Universe dataset depends on the US Equity Security Master dataset because the US Equity Security Master contains information on splits, dividends, and symbol changes. Before you download US Equity Coarse Universe data, open the Pricing page of your organization and subscribe to the US Equity Security Master by QuantConnect data package. You need billing permissions to change the organization's subscriptions.

After you subscribe to local access (see Prerequisites), open a terminal in your organization workspace and run the following commands to bulk download the data and its prerequisites.

To download the US Equity Coarse Universe data, run:

$ lean data download --dataset "US Equity Coarse Universe" --data-type "Bulk"

To download the US Equity Security Master, run:

$ lean data download --dataset "US Equity Security Master"

After you bulk download the US Equity Coarse Universe dataset, new daily updates are available at 7 AM Eastern Time (ET) after each trading day. Instead of directly calling the lean data download command, you can place the following Python script in the data directory of your organization workspace and run it to update your data files:

import os
from datetime import datetime, time, timedelta
from pytz import timezone
from os.path import abspath, dirname
os.chdir(dirname(abspath(__file__)))

OVERWRITE = False

def __get_start_date() -> str:
    dir_name = f"equity/usa/fundamental/coarse"
    files = [] if not os.path.exists(dir_name) else sorted(os.listdir(dir_name)) 
    return files[-1].split(".")[0] if files else '19980101'

def __get_end_date() -> str:
    now = datetime.now(timezone("US/Eastern"))
    if now.time() > time(7, 0):
        return (now - timedelta(1)).strftime("%Y%m%d")
    print('New data is available at 07:00 AM EST')
    return (now - timedelta(2)).strftime("%Y%m%d")

if __name__ == "__main__":
    start, end = __get_start_date(), __get_end_date()
    if start >= end:
        exit("Your data is already up to date.")
            
    command = f'lean data download --dataset "US Equity Coarse Universe" --data-type "Bulk" --start {start} --end {end}'
    if OVERWRITE:
        command += " --overwrite"
    print(command)
    os.system(command)

The preceding script checks the date of the most recent US Equity Coarse Universe data you have. If there is new data available, it downloads the new data files.

To update your local copy of the US Equity Security Master, run:

$ lean data download --dataset "US Equity Security Master"

The US Equity Coarse Universe dataset provides one file per trading day, so you download it by date instead of by ticker. First, download the prerequisite US Equity Security Master:

$ lean data download --dataset "US Equity Security Master"

Then download the US Equity Coarse Universe data for the date range you need:

$ lean data download --dataset "US Equity Coarse Universe" --data-type "Trade" --start "20250701" --end "20260701"

To download data interactively or to use the CLI Command Generator, see Using the CLI.

The US Equity Coarse Universe dataset is 4 GB in size. We structure the data files so there is one file per day. For an example, see the Data / equity / usa / fundamental / coarse / 20140407.csv file in the LEAN repository.

The US Equity Coarse Universe dataset selects US Equities, so you also need the US Equities data to use the selected securities. Review the US Equity costs in addition to the prices below.

Download in Bulk

To download the US Equity Coarse Universe dataset in bulk, subscribe to it on the Pricing page of your organization. The bulk download also requires the US Equity Security Master subscription. The first bulk subscription downloads the full historical dataset for one year. After that subscription ends, renew with the cheaper updates subscription to keep your data current. The following table shows the annual price ($/year) of each subscription for every organization tier:

The following table shows the total cost of downloading the required datasets, including minute US Equities data for the selected securities, in bulk on the Quant Researcher tier. Other organization tiers apply their own rates.

Download by Date

When you download by date, the US Equity Coarse Universe data is one file per day and each file costs 5 QCC = $0.05 USD. The following table shows the cost of downloading one year of data by date on the Quant Researcher tier, assuming the universe selects 50 tickers and you download minute US Equities data for them:

This example assumes the universe selects 50 tickers. As the universe selects more tickers, compare the by-date US Equities cost with the bulk cost above to determine when downloading in bulk is cheaper.