Data Feeds
Crypto
Universe Selection
The Crypto data feeds enable you to create a dynamic universe of securities. The live data for Crypto universe selection arrives at 4 PM Coordinated Universal Time (UTC), so universe selection runs for live algorithms between 4 PM and 4:30 PM. Don't schedule anything for midnight because the universe selection data isn't ready yet.
AddUniverse(CryptoCoarseFundamentalUniverse(Market.Bitfinex, UniverseSettings, UniverseSelectionFilter));
self.AddUniverse(CryptoCoarseFundamentalUniverse(Market.Bitfinex, self.UniverseSettings, self.UniverseSelectionFilter))
To view an example for each Crypto market, see the Universe Selection section of the Crypto market in the Dataset Market.
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
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 Crypto data feed has a latency of 20-50 milliseconds. QuantConnect is not designed for high-frequency trading.
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