CFD Data


The CFD Data by OANDA serves 51 contracts for differences (CFD). The data starts as early as May 2002 and is delivered on any frequency from tick to daily. This dataset is created by QuantConnect processing raw tick data from OANDA.

For more information about the CFD Data dataset, including CLI commands and pricing, see the dataset listing.

About the Provider

OANDA was co-founded by Dr. Stumm, a computer scientist and Dr. Olsen, an economist, in 1997. The company was born out of the belief that the Internet and technology would open up the markets for both currency data and trading. OANDA uses innovative computer and financial technology to provide Internet-based forex trading and currency information services to everyone, from individuals to large corporations, from portfolio managers to financial institutions. OANDA is a market maker and a trusted source for currency data. It has access to one of the world's largest historical, high-frequency, filtered currency databases.

Getting Started

The following snippet demonstrates how to request data from the CFD dataset:

from QuantConnect.DataSource import *

self.symbol = self.add_cfd("XAUUSD", Resolution.DAILY).symbol
using QuantConnect.DataSource;

_symbol = AddCfd("XAUUSD", Resolution.Daily).Symbol;

Data Summary

The following table describes the dataset properties:

Start DateMixed, earliest starts May 2002
Asset Coverage51 Contracts
Data DensityDense
ResolutionTick, Second, Minute, Hour, & Daily
TimezoneMixed, in which the contract is listed*

* E.g.: DE30EUR tracks DAX30 Index, which is listed in Europe/Berlin timezone.

Data Point Attributes

The CFD dataset provides QuoteBar and Tick objects.

QuoteBar Attributes

QuoteBar objects have the following attributes:

Tick Attributes

Tick objects have the following attributes:

Supported Assets

The following table shows the available contracts:

Requesting Data

To add CFD data to your algorithm, call the AddCfd method. Save a reference to the CFD Symbol so you can access the data later in your algorithm.

class CfdAlgorithm (QCAlgorithm):
    def initialize(self) -> None:

        self.set_start_date(2019, 2, 20)
        self.set_end_date(2019, 2, 21)
        self.set_cash('EUR', 100000)

        self.symbol = self.add_cfd('DE30EUR').symbol

namespace QuantConnect.Algorithm.CSharp
    public class CfdAlgorithm : QCAlgorithm
        private Symbol _symbol;

        public override void Initialize()

            SetStartDate(2019, 2, 20);
            SetEndDate(2019, 2, 21);
            SetCash("EUR", 100000);

            _symbol = AddCfd("DE30EUR").Symbol;


For more information about creating CFD subscriptions, see Requesting Data.

Accessing Data

To get the current CFD data, index the QuoteBars or Ticks properties of the current Slice with the CFD Symbol. Slice objects deliver unique events to your algorithm as they happen, but the Slice may not contain data for your security at every time step. To avoid issues, check if the Slice contains the data you want before you index it.

def on_data(self, slice: Slice) -> None:
    if self.symbol in slice.quote_bars:
        quote_bar = slice.quote_bars[self.symbol]
        self.log(f"{self.symbol} bid at {slice.time}: {quote_bar.bid.close}")

    if self.symbol in slice.ticks:
        ticks = slice.ticks[self.symbol]
        for tick in ticks:
            self.log(f"{self.symbol} price at {slice.time}: {tick.price}")
public override void OnData(Slice slice)
    if (slice.QuoteBars.ContainsKey(_symbol))
        var quoteBar = slice.QuoteBars[_symbol];
        Log($"{_symbol} bid at {slice.Time}: {quoteBar.Bid.Close}");

    if (slice.Ticks.ContainsKey(_symbol))
        var ticks = slice.Ticks[_symbol];
        foreach (var tick in ticks)
            Log($"{_symbol} price at {slice.Time}: {tick.Price}");

You can also iterate through all of the data objects in the current Slice.

def on_data(self, slice: Slice) -> None:
    for symbol, quote_bar in slice.quote_bars.items():
        self.log(f"{symbol} bid at {slice.time}: {quote_bar.bid.close}")

    for symbol, ticks in slice.ticks.items():
        for tick in ticks:
            self.log(f"{symbol} price at {slice.time}: {tick.price}")
public override void OnData(Slice slice)
    foreach (var kvp in slice.QuoteBars)
        var symbol = kvp.Key;
        var quoteBar = kvp.Value;
        Log($"{symbol} bid at {slice.Time}: {quoteBar.Bid.Close}");

    foreach (var kvp in slice.Ticks)
        var symbol = kvp.Key;
        var ticks = kvp.Value;
        foreach (var tick in ticks)
            Log($"{symbol} price at {slice.Time}: {tick.Price}");

For more information about accessing CFD data, see Handling Data.

Historical Data

To get historical CFD data, call the History method with the CFD Symbol. If there is no data in the period you request, the history result is empty.

# DataFrame
history_df = self.history(self.symbol, 100, Resolution.MINUTE)

# QuoteBar objects
history_quote_bars = self.history[QuoteBar](self.symbol, 100, Resolution.MINUTE)

# Tick objects
history_ticks = self.history[Tick](self.symbol, timedelta(seconds=10), Resolution.TICK)
// QuoteBar objects 
var historyQuoteBars = History<QuoteBar>(_symbol, 100, Resolution.Minute);

// Tick objects 
var historyTicks = History<Tick>(_symbol, TimeSpan.FromSeconds(10), Resolution.Tick);

For more information about historical data, see History Requests.

Remove Subscriptions

To remove a CFD subscription, call the RemoveSecurity method.


The RemoveSecurity method cancels your open orders for the security and liquidates your holdings.

Example Applications

The CFD price data enables you to trade CFD assets in your algorithm. Examples include the following strategies:

  • Exploring the daily worldwide news cycles with CFDs that track international indices.
  • Trading price movements of commodities with no delivery of physical goods. For example, pairs trading between gold and silver, corn and wheat, brent and crude oil, etc.

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: