Datasets

The Alpha Vantage data provider serves asset price data directly from Alpha Vantage. Our integration supports US Equity securities. It only provides the security price data, so you need to download the US Equity Security Master with the CLI. For more information about the Alpha Vantage data source, see the Alpha Vantage documentation.

Universe Selection is available with the Alpha Vantage data provider if you download the data from the Dataset Market. The dataset listings show how to download the universe selection data with the CLI. For live trading, you'll need to periodically download the new data from QuantConnect Cloud, which you can automate with Python scripts. For example, the following tutorials explain how to download historical data and download daily updates:

• US ETF Constituents
• US Equity Coarse Universe

If you have licensed alternative data with QuantConnect, it works as expected with the Alpha Vantage data provider for research, backtesting, and live trading.

To use Alpha Vantage data in the Research Environment on Local Platform, first start the Research Environment with the CLI and request the data you need. All the data you request will be cached in your hard drive, so you can then open the Research Environment with the Local Platform UX and access it.

To run an on-premise backtest on Local Platform with Alpha Vantage data, first backtest the algorithm on your local machine with the CLI. All the data your backtest requests will be cached in your hard drive, so you can then run the backtest on-premise with the Local Platform UX and access it.

To run an on-premise optimization on Local Platform with Alpha Vantage data, first backtest the algorithm on your local machine with the CLI. All the data your backtest requests will be cached in your hard drive, so you can then run the optimization on-premise with the Local Platform UX and access it.

The Alpha Vantage data provider is not currently supported for live trading on Local Platform.

To view the prices of the Alpha Vantage API packages, see the Premium API Key page on the Alpha Vantage website.