Datasets

Navigating the Market

Introduction

Datasets are a stream of data points you use in your algorithms to make trading decisions and fill orders. Our Dataset Market is a portal where we aggregate datasets for you to use in your algorithms. Our Dataset Market includes price, fundamental, and alternative datasets. Consider using fundamental and alternative datasets to incorporate more information in your trading decisions. Fundamental and alternative datasets contain information that is not present in the price. Price data is commonly researched for trading ideas, so you may find it easier to discover alpha in other types of datasets.

The Dataset Market enables you to easily load datasets into your trading algorithms for use in the cloud or locally. The datasets come configured ready to integrate into your research and backtesting without any need for cleaning. The datasets in our market are vetted by the QuantConnect team to be high-quality, contain actionable information, and be free of survivorship-bias. Our Dataset Market is growing quickly. New datasets are added frequently.

The Dataset Market is a place where you can view, subscribe to, and download datasets. We provide an example algorithm for each dataset that you can clone to easily get started using the new dataset. We also provide an example research notebook for most datasets to demonstrate how to use the dataset in the Research Environment. You can always view the dataset reviews to learn about the experience other members have had using the dataset. This page explains the layout of the Dataset Market to help you navigate the marketplace.

View All Listings

The Dataset Market displays all our supported datasets. To view the page, in the top navigation bar, click Data.

Each dataset displays the name, description, coverage, start date, and price of the dataset. Coverage is the number of assets, securities, contracts, currency pairs, or articles that are included in the dataset. To view the listing page of a dataset, click the dataset.

You can search the market by applying filters or searching for keywords.

Filter Listings by Category

Click the Category: All field and then select a category from the drop-down menu to only display datasets in that category.

Filter Listings by Delivery Options

Click the Delivery Options: All field and then select an option from the drop-down menu to only display datasets with that delivery option.

Search for Keywords

Enter keywords in the search bar to only display datasets that contain those keywords.

Homepage

The homepage of a dataset listing displays everything that you need to get started using the dataset. The following table describes the tabs on the homepage:

TabDescription
AboutHigh-level overview of the dataset and the data provider
DocumentationInstructions on using the dataset in backtests and the Research Environment
ResearchA demonstration research notebook of analyzing the dataset
ExamplesFull example algorithms that use the dataset
LicensesA list of licenses available for the dataset
CLICommand generator to download the dataset with the CLI
PricingThe price to access the dataset in the cloud or on your local machine
Data ExplorerA table to inspect the dataset files and report data issues

The following table describes the sections displayed under the About tab for most datasets:

TabDescription
IntroductionHigh-level overview of what the dataset includes, who it's created by, and how it's created.
About the ProviderDescription of the data provider and a link to their website.
Getting StartedThe line(s) of code that you need to use the dataset in algorithms.
Data SummaryA table that displays the dataset's start date, coverage, resolution, density, and timezone.
Example ApplicationsA list of ideas on using the dataset in your algorithm.
Data Point AttributesA set of widgets that display the factors in the dataset, the class members of objects that you use when accessing the dataset, and enumeration values that you can use to customize the dataset.
PricingThe price to access the dataset in the cloud or on your local machine.
ReviewsReviews from members who have purchased the dataset.

Sidebar

The sidebar of the dataset listing provides a brief summary of the dataset. The following table describes the summary content:

TabDescription
PricingThe number of licensing options available
Start DateThe date of the first data point.
CoverageThe number of assets, securities, contracts, currency pairs, or articles that the dataset includes.
Delivery MethodsThe various delivery methods the dataset supports.
About the ProviderA link to the data provider's website.

Documentation

The Documentation tab on a dataset listing demonstrates how to use the dataset. The documentation covers requesting the data, accessing the data in your algorithm, and performing history requests. We provide documentation in C# and Python so you can easily integrate the dataset into your algorithms, regardless of the programming language you use.

The Documentation tab also has a Data Point Attributes section to show the dataset's attributes. If an attribute has a custom data type, you can click the attribute to view the attributes of the custom data type.

Factor Research

Some dataset listings have a Research tab that displays an analysis of the data point attributes in the dataset. Follow these steps to clone the example research notebook of a dataset:

  1. Log in to the Algorithm Lab.
  2. Open a dataset listing page.
  3. Click the Research tab, if available.
  4. Click Clone This Notebook.
  5. Click Clone Algorithm.

Examples

The Examples tab on a dataset listing shows how to use the dataset in a trading algorithm. We provide examples in C# and Python for both of the classic and framework algorithm designs. Copy-paste these example algorithms to jumpstart your strategy research. Consider adjusting the strategy to make it your own or using the parameter optimization feature to improve the performance of the algorithms.

Licenses

The Licensing tab shows the available licenses for the dataset. Each dataset comes with its own licensing requirements, depending on the data vendor. For more information about licensing types, see Licensing.

Reviews

The bottom of the dataset listing page shows reviews published by QuantConnect members. You can sort, filter, and write dataset reviews.

Sort Reviews

Open a dataset listing page, click the Most Recent field, and then select a metric from the drop-down menu to sort the reviews by that metric.

Filter Reviews

Open a dataset listing page, click the All field, and then select a number of stars from the drop-down menu to only display the reviews with that rating.

Write Reviews

Follow these steps to write a review:

  1. Log in to the Algorithm Lab.
  2. Open a dataset listing page.
  3. At the bottom of the page, select a number of stars to give your review.
  4. Write your review.
  5. Click Submit Review.

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